MFC Options History — June 2009

In June 2009, MFC traded between $17.35 and $22.42. ATM implied volatility averaged 52.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 13.7% (HV 20d: 65.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2009-06-23: Highest Volume — 10,583 contracts
  • 2009-06-22: Largest IV spike — 16.3% change
  • 2009-06-22: Highest IV Rank — 31.9%
  • 2009-06-22: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.28$17.35$22.42$22.26$17.35
Max Pain$18.86$17.50$20.00$17.50$17.50
ATM IV52.2%46.8%62.0%49.5%49.1%
Expected Move15.1%13.6%17.8%14.2%14.1%
HV 20d65.9%52.5%77.4%74.4%68.5%
HV 60d81.6%71.9%92.9%92.9%72.5%
IV Rank25.9%20.2%31.9%26.0%20.5%
IV Percentile37.8%30.6%44.0%37.3%30.6%
Term Structure1.9%-1.5%7.7%0.9%7.2%
VWIV53.7%47.5%65.5%50.7%49.1%
Skew 25d9.0%4.4%19.4%14.1%6.2%
Skew 10d15.9%3.9%38.3%6.4%9.5%
Call IV 25d48.6%38.2%58.7%43.4%49.5%
Put IV 25d57.6%53.2%66.4%57.5%55.8%
Bid-Ask Spread %24.6916.1235.0119.2528.65
Gamma HHI0.420.190.620.430.40
Net GEX3.4K-227.7K134.9K134.9K-227.7K
Net DEX-3.5M-9.3M6.9M-9.3M6.9M
Net VEX-38.8K-61.6K-28.2K-28.2K-57.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.0010.862.970.77
Total Volume1,356.1825810,583770410
Total OI20,629.59111,43425,02018,54625,020

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$22.26$17.5049.5%14.2%74.4%26.0%50.7%14.1%0.9%134.9K-9.3M-28.2K2.9719.25N/AN/A1945766,93411,612
2009-06-02$22.40$17.5049.5%14.2%72.9%26.0%56.0%8.4%1.3%122.7K-8.9M-30.6K1.0426.69N/AN/A1071116,92412,145
2009-06-03$21.04$17.5055.1%15.8%77.4%30.6%52.3%6.0%-0.4%116.4K-6.5M-31.8K2.5916.12N/AN/A2947617,00612,249
2009-06-04$21.82$17.5047.4%13.6%74.9%24.3%58.8%19.4%2.0%106.0K-7.6M-32.4K4.8518.03N/AN/A261266,99012,996
2009-06-05$21.44$20.0049.6%14.5%74.0%26.1%50.4%8.6%0.4%101.8K-7.2M-32.1K1.9427.09N/AN/A811577,00613,107
2009-06-08$21.41$20.0049.8%14.7%66.6%25.3%51.4%10.2%-0.6%95.0K-6.8M-31.6K0.0033.69N/AN/A5806,88013,140
2009-06-09$21.59$20.0046.8%14.7%64.4%22.8%0.0%8.5%0.3%104.7K-7.4M-30.3K0.8817.11N/AN/A6035326,90213,140
2009-06-10$21.72$20.0046.8%14.4%63.9%22.8%61.1%9.6%-0.1%83.6K-6.9M-33.9K0.4320.59N/AN/A176756,78413,660
2009-06-11$22.42$20.0050.8%14.6%55.5%26.2%51.5%5.7%-0.4%104.4K-8.5M-33.5K0.2718.92N/AN/A4271166,93213,695
2009-06-12$21.82$20.0049.9%14.3%56.7%25.4%52.1%5.8%1.0%86.0K-7.0M-33.7K0.0420.81N/AN/A12356,92213,806
2009-06-15$20.83$20.0055.2%15.8%58.9%29.9%53.4%9.4%-0.8%46.8K-5.5M-33.2K4.2525.51N/AN/A964086,98713,808
2009-06-16$20.68$20.0053.9%15.4%52.5%27.5%54.6%6.8%-1.5%14.8K-5.0M-33.3K0.2635.01N/AN/A201536,97313,953
2009-06-17$19.90$20.0053.9%15.4%54.3%27.5%53.3%4.4%0.3%-7.9K-3.7M-32.8K1.8619.88N/AN/A771437,00513,930
2009-06-18$20.35$20.0054.0%15.5%54.5%26.1%54.0%7.6%-1.1%-16.6K-4.4M-32.9K0.0629.94N/AN/A739426,99613,971
2009-06-19$20.57$20.0053.3%15.3%52.6%25.1%48.0%11.9%-0.7%5.4K-5.7M-34.2K0.0620.21N/AN/A259157,46713,953
2009-06-22$17.67$20.0062.0%17.8%75.9%31.9%62.5%7.3%1.8%-15.7K651.2K-29.6K2.3325.46N/AN/A2,5846,0134,8526,582
2009-06-23$17.59$17.5060.7%17.4%71.3%30.7%65.5%9.4%4.5%-60.3K1.8M-40.3K10.8625.49N/AN/A8929,6916,25410,323
2009-06-24$18.22$17.5056.7%16.3%72.4%27.1%56.1%9.7%5.3%-188.8K4.3M-59.6K1.0527.28N/AN/A8869266,69416,621
2009-06-25$18.57$17.5054.7%15.7%71.3%25.4%51.5%10.3%6.8%-162.8K3.0M-61.6K1.6032.36N/AN/A2874587,28717,057
2009-06-26$18.38$17.5051.6%14.8%70.2%22.7%47.6%9.4%6.9%-176.7K3.5M-61.1K1.5431.24N/AN/A1572427,31217,186
2009-06-29$18.12$17.5048.9%14.0%67.8%20.2%47.5%8.4%7.7%-190.7K4.1M-59.2K2.0323.84N/AN/A2344757,40917,381
2009-06-30$17.35$17.5049.1%14.1%68.5%20.5%49.1%6.2%7.2%-227.7K6.9M-57.5K0.7728.65N/AN/A2321787,44417,576