MFC Options History — May 2009

In May 2009, MFC traded between $17.13 and $21.36. ATM implied volatility averaged 61.3%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 11.4% (HV 20d: 72.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2009-05-15: Highest Volume — 11,809 contracts
  • 2009-05-08: Largest IV spike — 36.2% change
  • 2009-05-13: Highest IV Rank — 51.8%
  • 2009-05-01: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.29$17.13$21.36$17.13$21.36
Max Pain$15.13$12.50$17.50$15.00$17.50
ATM IV61.3%44.5%80.7%72.1%44.5%
Expected Move16.8%12.8%20.7%20.7%12.8%
HV 20d72.7%66.6%76.9%70.6%73.7%
HV 60d107.8%96.0%112.6%111.5%96.0%
IV Rank35.8%21.9%51.8%44.7%21.9%
IV Percentile48.9%34.5%70.6%59.1%34.5%
Term Structure-0.9%-5.5%7.8%-5.5%7.8%
VWIV65.1%50.8%129.0%73.1%54.3%
Skew 25d12.2%5.4%17.4%15.4%17.4%
Skew 10d27.1%4.5%39.9%34.6%37.2%
Call IV 25d53.2%38.3%60.1%60.1%38.3%
Put IV 25d65.4%55.7%75.5%75.5%55.7%
Bid-Ask Spread %19.1613.2534.3134.3116.57
Gamma HHI0.330.220.540.480.38
Net GEX81.4K39.9K132.6K65.6K132.6K
Net DEX-8.6M-14.7M-3.5M-8.7M-7.6M
Net VEX-23.0K-28.6K-18.9K-22.6K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.014.841.621.63
Total Volume1,259.0516811,809238492
Total OI19,865.6515,61924,25520,20918,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$17.13$15.0072.1%20.7%70.6%44.7%73.1%15.4%-5.5%65.6K-8.7M-22.6K1.6234.31N/AN/A911478,92011,289
2009-05-04$18.06$12.5078.0%19.3%71.7%49.6%72.2%14.2%-5.0%80.5K-10.2M-20.1K0.7821.95N/AN/A4043168,93011,412
2009-05-05$18.26$12.5075.1%18.7%71.7%47.2%66.0%15.2%-1.9%80.9K-10.8M-21.4K0.7320.54N/AN/A1,2499119,04311,658
2009-05-06$19.54$12.5070.7%17.4%70.6%43.5%63.0%14.6%0.3%74.0K-12.8M-19.7K0.9219.20N/AN/A4384019,17711,965
2009-05-07$18.90$12.5046.3%17.3%73.2%23.4%60.0%15.3%-4.4%71.8K-11.8M-19.9K0.6424.19N/AN/A1,0596829,37512,280
2009-05-08$20.74$12.5063.1%16.9%66.6%37.2%55.6%13.3%-0.6%39.9K-14.7M-18.9K0.4120.16N/AN/A1,2264979,23912,771
2009-05-11$19.84$12.5072.2%17.2%69.6%44.8%62.0%13.8%-2.4%79.6K-13.5M-20.8K0.8316.25N/AN/A927610,15613,069
2009-05-12$19.50$12.5069.4%17.2%70.1%42.4%72.6%11.6%-3.1%79.4K-12.8M-20.0K4.8420.93N/AN/A3215510,20113,104
2009-05-13$17.97$12.5080.7%18.8%76.9%51.8%71.2%13.9%-3.8%86.7K-9.5M-21.0K1.5520.46N/AN/A53182310,21213,175
2009-05-14$18.48$15.0064.1%18.4%76.6%38.1%67.0%12.3%-1.7%69.1K-10.8M-22.3K1.2318.84N/AN/A11514110,45613,743
2009-05-15$18.03$15.0063.7%18.3%76.8%37.8%129.0%10.2%-2.7%78.8K-10.2M-21.8K0.0114.44N/AN/A11,67813110,48013,775
2009-05-18$19.52$17.5057.6%16.5%73.1%32.7%60.8%10.5%-0.4%66.1K-4.2M-22.8K0.2120.02N/AN/A7521565,35910,260
2009-05-19$19.28$17.5052.5%15.1%73.2%28.5%57.2%12.6%0.3%71.7K-4.1M-23.1K2.9818.95N/AN/A1614795,65610,300
2009-05-20$19.58$17.5053.9%15.5%72.6%29.7%60.0%10.8%-0.9%75.6K-4.4M-23.7K1.2018.88N/AN/A1361635,68310,636
2009-05-21$18.86$17.5051.1%14.6%74.5%27.3%0.0%8.1%2.1%66.0K-3.5M-23.6K4.4717.53N/AN/A401795,74210,727
2009-05-22$19.30$17.5051.9%14.9%72.3%28.0%57.7%7.6%1.0%83.1K-4.5M-26.8K0.7117.46N/AN/A2111506,27210,889
2009-05-26$20.59$17.5052.2%15.0%73.5%28.2%51.3%8.4%2.9%107.3K-6.3M-27.1K1.3613.25N/AN/A1992706,46611,021
2009-05-27$20.00$17.5053.2%15.2%73.7%29.0%52.4%5.4%0.5%103.4K-5.6M-27.3K0.6513.93N/AN/A2051346,60111,208
2009-05-28$20.76$17.5054.4%15.6%73.6%30.1%50.8%12.9%-0.9%116.0K-6.7M-28.1K0.2815.27N/AN/A203566,65311,304
2009-05-29$21.36$17.5044.5%12.8%73.7%21.9%54.3%17.4%7.8%132.6K-7.6M-28.6K1.6316.57N/AN/A1873056,78611,320