MFC Options History — April 2009

In April 2009, MFC traded between $11.87 and $17.10. ATM implied volatility averaged 75.3%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 30.3% (HV 20d: 105.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2009-04-21: Highest Volume — 2,773 contracts
  • 2009-04-21: Largest IV spike — 16.3% change
  • 2009-04-21: Highest IV Rank — 55.1%
  • 2009-04-06: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.27$11.87$17.10$11.87$17.10
Max Pain$12.74$12.50$15.00$12.50$15.00
ATM IV75.3%65.5%84.7%75.3%72.3%
Expected Move21.7%18.8%24.4%21.6%20.7%
HV 20d105.6%80.6%129.0%129.0%80.6%
HV 60d113.5%111.0%117.4%112.9%111.5%
IV Rank47.4%39.2%55.1%47.3%44.9%
IV Percentile66.3%56.3%75.4%68.7%60.3%
Term Structure-3.5%-10.1%5.8%3.8%-6.1%
VWIV76.6%65.2%88.5%74.8%79.6%
Skew 25d17.5%9.4%41.6%41.6%13.8%
Skew 10d35.3%18.4%81.9%81.9%23.8%
Call IV 25d65.2%59.2%70.6%59.7%68.0%
Put IV 25d82.7%75.6%101.3%101.3%81.8%
Bid-Ask Spread %26.1612.6537.5731.0031.08
Gamma HHI0.340.220.530.250.53
Net GEX45.6K-27.5K83.3K-27.5K71.5K
Net DEX-6.5M-9.8M-1.4M-1.4M-8.6M
Net VEX-22.7K-24.7K-19.6K-23.0K-23.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.3815.878.883.16
Total Volume790.812072,773889827
Total OI19,626.57115,84122,21119,91719,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$11.87$12.5075.3%21.6%129.0%47.3%74.8%41.6%3.8%-27.5K-1.4M-23.0K8.8831.00N/AN/A907997,30012,617
2009-04-02$13.42$12.5077.6%22.2%126.0%49.2%77.0%16.7%5.8%-5.9K-3.8M-23.8K0.6820.39N/AN/A1,2468417,31312,663
2009-04-03$13.36$12.5075.6%23.0%125.0%47.6%76.2%17.3%-1.6%13.6K-4.1M-24.7K0.3829.22N/AN/A150578,05612,554
2009-04-06$13.48$12.5081.3%24.4%121.8%52.3%84.2%18.8%-5.0%15.5K-4.1M-24.3K0.9028.96N/AN/A2372138,12312,588
2009-04-07$12.92$12.5080.8%22.6%111.6%51.9%76.0%14.5%2.5%11.5K-3.5M-23.1K1.1630.93N/AN/A2913398,29912,695
2009-04-08$13.22$12.5077.8%23.3%111.6%49.4%71.4%18.3%-6.0%10.7K-3.9M-23.6K1.5226.91N/AN/A1051608,29512,857
2009-04-09$15.05$12.5071.8%20.6%111.2%44.4%76.6%17.2%-1.5%55.5K-6.9M-23.4K0.4433.42N/AN/A8083528,35812,978
2009-04-13$15.53$12.5073.8%21.2%111.2%46.1%88.5%16.9%-10.1%80.6K-7.8M-22.0K0.4225.37N/AN/A4441888,51913,009
2009-04-14$15.42$12.5070.7%20.3%111.1%43.5%65.2%10.9%-2.7%83.3K-7.9M-21.6K0.9126.09N/AN/A6766188,56213,130
2009-04-15$15.98$12.5075.5%21.7%111.2%47.5%0.0%13.2%-5.6%79.7K-8.7M-22.4K2.1430.76N/AN/A1112378,83513,376
2009-04-16$16.52$12.5065.5%18.8%108.2%39.2%0.0%17.5%-1.7%50.8K-9.1M-20.3K0.6118.98N/AN/A2151318,26013,061
2009-04-17$17.02$12.5065.9%18.9%107.9%39.6%74.6%9.4%-2.4%44.9K-9.8M-19.6K0.8912.65N/AN/A3272908,27013,123
2009-04-20$15.56$12.5072.8%20.9%112.0%45.3%70.5%16.2%-1.5%38.7K-6.1M-20.4K1.9537.57N/AN/A1492907,1648,677
2009-04-21$16.04$12.5084.7%24.3%97.7%55.1%86.4%21.4%-8.3%33.9K-6.3M-22.1K0.6028.20N/AN/A1,7311,0427,2168,858
2009-04-22$15.78$12.5081.9%23.5%94.9%52.8%74.7%17.9%-8.5%56.0K-6.5M-23.6K0.4429.90N/AN/A2501098,1309,296
2009-04-23$16.08$12.5082.9%23.8%93.8%53.6%71.4%16.1%-9.9%56.3K-6.8M-23.4K0.4117.29N/AN/A3501458,1889,318
2009-04-24$17.06$12.5072.2%20.7%95.0%44.7%73.1%18.2%-5.1%70.2K-8.4M-24.2K0.5321.56N/AN/A2671418,4009,401
2009-04-27$16.48$12.5073.2%21.0%94.8%45.6%81.1%16.7%-5.3%71.5K-7.8M-23.1K1.3515.92N/AN/A1942618,5669,495
2009-04-28$16.06$12.5081.2%23.3%82.1%52.2%84.8%19.6%-0.5%80.7K-7.2M-21.5K15.8720.73N/AN/A467308,6359,665
2009-04-29$16.70$15.0069.0%19.8%81.8%42.1%69.1%15.7%-3.1%66.9K-8.0M-22.6K6.4232.46N/AN/A1559958,64810,021
2009-04-30$17.10$15.0072.3%20.7%80.6%44.9%79.6%13.8%-6.1%71.5K-8.6M-23.0K3.1631.08N/AN/A1996288,77310,866