MFC Options History — February 2009

In February 2009, MFC traded between $9.99 and $17.55. ATM implied volatility averaged 70.5%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 18.1% (HV 20d: 88.6%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.15.

Notable Days

  • 2009-02-25: Highest Volume — 1,438 contracts
  • 2009-02-06: Largest IV spike — 39.0% change
  • 2009-02-23: Highest IV Rank — 59.1%
  • 2009-02-23: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$9.99$17.55$16.38$10.15
Max Pain$17.37$15.00$20.00$17.50$15.00
ATM IV70.5%44.0%89.5%44.0%87.2%
Expected Move19.9%12.6%25.7%12.6%25.0%
HV 20d88.6%77.5%102.1%102.1%85.2%
HV 60d89.0%81.8%93.6%93.6%85.4%
IV Rank43.4%21.4%59.1%21.4%57.2%
IV Percentile77.0%64.7%87.7%64.7%85.3%
Term Structure-3.5%-10.3%8.4%7.3%-6.2%
VWIV68.7%34.3%86.8%56.4%59.5%
Skew 25d8.8%-5.8%18.4%18.4%7.9%
Skew 10d12.5%-17.9%39.9%20.1%6.8%
Call IV 25d70.0%56.6%93.4%57.1%86.7%
Put IV 25d78.8%68.6%94.6%75.6%94.6%
Bid-Ask Spread %21.6811.2432.2227.3229.86
Gamma HHI0.370.160.760.370.37
Net GEX-15.7K-83.2K19.4K19.4K-5.4K
Net DEX2.0M309.7K4.8M309.7K2.0M
Net VEX-7.9K-12.7K-3.1K-12.6K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.0014.432.037.83
Total Volume453.632421,43810353
Total OI7,010.8954,3557,9777,3766,648

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$16.38$17.5044.0%12.6%102.1%21.4%56.4%18.4%7.3%19.4K309.7K-12.6K2.0327.32N/AN/A34694,1273,249
2009-02-03$16.38$17.5046.9%13.4%93.3%23.9%34.3%15.0%1.3%15.0K579.0K-12.4K14.4330.28N/AN/A142024,1513,270
2009-02-04$16.39$17.5045.6%13.1%89.3%22.8%53.2%12.6%8.4%12.1K385.4K-12.4K0.0016.06N/AN/A1,08004,1593,446
2009-02-05$16.63$17.5045.5%13.0%86.9%22.7%62.7%11.6%4.6%13.6K527.0K-12.7K0.5032.22N/AN/A28144,2553,446
2009-02-06$17.33$20.0063.2%18.1%86.9%37.4%64.6%10.6%-3.5%-29.1K464.7K-11.9K1.8819.65N/AN/A2554803,2833,458
2009-02-09$17.55$20.0067.2%18.9%86.7%40.6%66.4%15.4%-6.1%-30.4K370.2K-12.1K4.0822.72N/AN/A261063,5083,860
2009-02-10$16.09$20.0085.9%20.5%91.1%56.1%67.6%14.2%-5.6%-50.5K1.9M-10.8K5.7625.00N/AN/A331903,5283,919
2009-02-11$15.75$17.5073.6%19.8%91.0%45.9%69.5%9.9%-7.5%-63.3K2.4M-9.7K2.4523.47N/AN/A852083,5403,944
2009-02-12$14.81$17.5065.3%18.7%91.4%39.1%68.4%12.4%-4.3%-76.0K3.3M-7.9K3.1626.26N/AN/A1354263,6164,025
2009-02-13$14.15$17.5062.8%18.0%91.6%37.0%61.5%7.9%-2.9%-83.2K4.0M-7.8K1.0818.02N/AN/A36393,5894,336
2009-02-17$12.35$17.5076.4%21.9%101.5%48.3%76.8%6.9%-5.3%-3.2K4.8M-4.0K6.6611.24N/AN/A775133,6074,370
2009-02-18$11.99$17.5073.8%21.2%92.4%46.1%69.2%11.9%-6.5%-2.4K4.3M-3.7K2.3316.89N/AN/A1323073,6454,043
2009-02-19$11.54$17.5072.8%20.9%85.6%45.3%78.1%10.5%-6.7%-3.1K3.9M-3.7K1.6517.00N/AN/A2313823,6733,930
2009-02-20$10.52$17.5087.5%25.1%82.7%57.5%86.8%0.9%-10.3%-2.2K3.3M-3.1K0.4113.41N/AN/A133553,8023,610
2009-02-23$9.99$17.5089.5%25.7%77.5%59.1%85.1%-5.8%-4.1%-6981.0M-3.9K0.7712.71N/AN/A5974592,7251,630
2009-02-24$10.86$15.0089.3%25.6%85.6%58.9%81.1%8.4%-6.5%2.4K1.1M-4.5K0.8519.73N/AN/A1501283,2021,951
2009-02-25$10.89$15.0083.8%24.0%81.4%54.4%84.4%-5.7%-5.8%4.3K1.1M-5.0K3.8930.54N/AN/A2941,1443,3031,991
2009-02-26$11.27$15.0079.8%22.9%81.6%51.1%79.2%3.8%-6.6%-16.0K1.7M-6.6K0.0119.51N/AN/A49773,3722,996
2009-02-27$10.15$15.0087.2%25.0%85.2%57.2%59.5%7.9%-6.2%-5.4K2.0M-5.0K7.8329.86N/AN/A6473,6552,993