MFC Options History — March 2009

In March 2009, MFC traded between $7.13 and $13.28. ATM implied volatility averaged 103.7%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded below realized volatility by 24.2% (HV 20d: 127.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 4.89.

Notable Days

  • 2009-03-10: Highest Volume — 4,422 contracts
  • 2009-03-12: Largest IV drop — 29.4% change
  • 2009-03-10: Highest IV Rank — 96.7%
  • 2009-03-04: Largest Expected Move — 37.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.27$7.13$13.28$8.91$11.20
Max Pain$11.48$10.00$15.00$15.00$12.50
ATM IV103.7%78.1%135.0%104.7%92.6%
Expected Move28.7%22.4%37.6%30.0%26.5%
HV 20d127.9%92.9%144.7%92.9%129.9%
HV 60d103.4%88.9%114.6%88.9%114.6%
IV Rank70.8%49.7%96.7%71.6%61.6%
IV Percentile88.9%72.2%99.6%95.2%83.3%
Term Structure-6.7%-26.6%3.8%-17.1%2.1%
VWIV98.4%78.0%127.0%101.4%87.8%
Skew 25d19.2%4.3%40.2%13.1%17.0%
Skew 10d36.1%-9.0%77.5%10.6%60.2%
Call IV 25d89.7%70.1%121.8%108.8%78.1%
Put IV 25d108.9%88.0%132.3%121.9%95.1%
Bid-Ask Spread %27.0010.4358.0141.6025.30
Gamma HHI0.430.190.840.260.24
Net GEX-27.7K-64.4K-104-104-33.6K
Net DEX420.8K-3.0M4.5M2.1M-508.0K
Net VEX-16.3K-23.1K-3.6K-3.6K-23.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.890.0826.222.440.78
Total Volume1,523.7732194,4223,366363
Total OI17,579.8186,66023,9026,66019,721

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$8.91$15.00104.7%30.0%92.9%71.6%101.4%13.1%-17.1%-1042.1M-3.6K2.4441.60N/AN/A9792,3873,6612,999
2009-03-03$7.90$12.50123.4%35.4%97.7%87.1%123.0%10.0%-18.7%-3.5K2.5M-3.6K16.2313.74N/AN/A2013,2634,4824,171
2009-03-04$8.53$12.50131.3%37.6%105.0%93.6%121.9%20.6%-26.6%-32.1K3.0M-7.0K3.5411.76N/AN/A1645814,6356,897
2009-03-05$7.69$12.50125.8%36.1%107.2%89.1%118.3%4.3%-16.3%-35.0K3.4M-7.5K26.2210.43N/AN/A1554,0644,7117,550
2009-03-06$7.49$10.00124.1%31.0%105.5%87.7%106.8%10.9%-11.5%-60.8K4.5M-10.3K0.1926.57N/AN/A1,3892654,82310,580
2009-03-09$7.13$10.00134.6%32.9%101.1%96.4%127.0%21.2%-16.5%-53.5K4.2M-11.2K7.3442.49N/AN/A866316,14610,788
2009-03-10$8.51$10.00135.0%32.0%126.9%96.7%104.1%40.2%-11.8%-64.4K3.5M-13.7K2.0738.96N/AN/A1,4412,9816,21711,336
2009-03-11$8.70$10.00130.3%32.6%127.0%92.8%87.0%28.7%-9.2%-47.8K2.5M-16.5K2.9537.46N/AN/A3491,0297,55711,670
2009-03-12$9.94$10.0092.1%26.4%139.7%61.2%94.5%21.3%-0.6%-29.4K1.1M-18.4K0.7030.27N/AN/A1,4621,0187,65712,528
2009-03-13$10.06$10.0094.8%27.2%139.5%63.4%91.2%21.4%-2.2%-34.1K867.5K-19.1K0.3258.01N/AN/A3721197,82313,425
2009-03-16$10.57$10.0096.5%27.7%141.2%64.8%95.3%21.4%-0.7%-25.8K-61.8K-17.7K0.4630.28N/AN/A5702627,92913,443
2009-03-17$10.91$10.0096.0%27.5%134.4%64.5%93.7%18.4%-1.0%-5.9K-812.3K-17.0K1.1728.24N/AN/A1011188,21613,522
2009-03-18$11.94$10.0085.6%24.6%138.3%55.9%91.8%20.1%-1.5%-29.5K-2.1M-19.0K0.7819.46N/AN/A5144008,28313,555
2009-03-19$11.86$10.0091.0%26.1%137.6%60.3%92.7%19.1%-6.1%-29.0K-2.2M-18.8K4.8822.22N/AN/A3371,6458,39713,875
2009-03-20$11.27$12.5097.1%27.8%134.6%65.4%104.3%19.2%-12.6%-20.5K-440.5K-20.1K8.5620.00N/AN/A685828,50815,394
2009-03-23$13.28$12.5095.3%27.3%144.4%63.9%95.2%24.2%-2.6%-12.2K-2.7M-21.2K0.1322.86N/AN/A1,2071535,66510,015
2009-03-24$12.52$12.5088.2%25.3%144.2%58.0%90.0%20.1%1.1%-2.9K-3.0M-21.8K7.7318.95N/AN/A1098436,59310,098
2009-03-25$12.18$12.5086.1%24.7%144.7%56.3%95.5%19.4%1.0%-14.1K-2.2M-22.0K8.2621.22N/AN/A1431,1816,64410,779
2009-03-26$12.52$12.5081.9%23.5%144.5%52.8%81.8%12.4%-0.5%-19.0K-2.4M-23.1K1.2917.05N/AN/A3134056,71611,681
2009-03-27$12.06$12.5078.1%22.4%139.6%49.7%78.0%21.8%3.8%-22.6K-1.9M-23.1K0.0829.02N/AN/A361286,90012,010
2009-03-30$10.70$12.5096.9%27.8%138.3%65.2%84.6%18.6%0.1%-33.0K-139.5K-22.0K11.4528.16N/AN/A718137,14512,011
2009-03-31$11.20$12.5092.6%26.5%129.9%61.6%87.8%17.0%2.1%-33.6K-508.0K-23.0K0.7825.30N/AN/A2041597,17812,543