MFC Options History — July 2009 In July 2009, MFC traded between $16.32 and $24.31. ATM implied volatility averaged 48.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 11.8% (HV 20d: 60.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 5.52.
Notable Days 2009-07-08 : Highest Volume — 6,711 contracts2009-07-16 : Largest IV spike — 48.2% change2009-07-14 : Highest IV Rank — 26.3%2009-07-08 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.87 $16.32 $24.31 $17.77 $24.31 Max Pain $18.30 $17.50 $20.00 $17.50 $20.00 ATM IV 48.7% 36.3% 55.7% 48.1% 45.4% Expected Move 14.9% 12.9% 18.1% 13.8% 13.0% HV 20d 60.5% 44.8% 74.1% 67.0% 44.8% HV 60d 67.5% 65.0% 72.9% 72.7% 65.0% IV Rank 20.1% 9.1% 26.3% 19.6% 17.1% IV Percentile 28.1% 14.3% 40.5% 29.8% 19.0% Term Structure -1.2% -5.5% 8.1% 8.1% -0.7% VWIV 52.9% 45.0% 64.1% 47.3% 45.0% Skew 25d 9.1% 4.0% 15.6% 9.2% 4.5% Skew 10d 16.6% 1.6% 27.5% 16.1% 13.2% Call IV 25d 47.0% 37.8% 53.4% 46.1% 44.9% Put IV 25d 56.1% 49.0% 62.0% 55.2% 49.5% Bid-Ask Spread % 21.92 14.41 37.31 37.31 18.26 Gamma HHI 0.39 0.26 0.51 0.41 0.32 Net GEX -175.6K -375.8K 86.0K -224.3K 86.0K Net DEX 290.3K -14.5M 13.4M 5.7M -14.5M Net VEX -58.2K -65.7K -51.5K -58.2K -51.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.52 0.08 88.33 0.28 0.60 Total Volume 1,021.227 114 6,711 213 351 Total OI 29,245.409 25,149 32,109 25,149 32,109
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-07-01 $17.77 $17.50 48.1% 13.8% 67.0% 19.6% 47.3% 9.2% 8.1% -224.3K 5.7M -58.2K 0.28 37.31 N/A N/A 167 46 7,454 17,695 2009-07-02 $17.09 $17.50 46.4% 13.3% 65.6% 18.0% 47.9% 15.6% 7.1% -245.8K 7.8M -55.1K 9.40 18.90 N/A N/A 111 1,043 7,528 17,684 2009-07-06 $16.54 $17.50 51.9% 16.3% 66.0% 22.9% 57.0% 12.2% -2.9% -252.0K 9.6M -53.1K 1.02 19.67 N/A N/A 422 429 7,481 17,988 2009-07-07 $16.32 $17.50 54.7% 16.7% 65.9% 25.4% 57.8% 6.6% -3.2% -268.7K 10.3M -52.1K 0.41 15.31 N/A N/A 305 125 7,344 18,157 2009-07-08 $16.49 $17.50 49.8% 18.1% 66.0% 21.1% 64.1% 9.0% -4.2% -252.1K 9.8M -53.7K 12.40 14.41 N/A N/A 501 6,210 7,392 18,223 2009-07-09 $16.75 $17.50 49.6% 17.4% 66.4% 20.9% 60.8% 15.4% -3.1% -375.3K 12.5M -65.6K 0.95 24.60 N/A N/A 443 419 7,612 22,599 2009-07-10 $16.53 $17.50 50.0% 17.2% 64.3% 21.2% 56.0% 7.3% -2.9% -375.8K 13.4M -63.5K 88.33 22.46 N/A N/A 3 265 7,787 22,690 2009-07-13 $17.36 $17.50 53.3% 17.1% 68.0% 24.1% 60.0% 7.7% -3.3% -374.2K 10.4M -65.0K 0.29 18.74 N/A N/A 493 143 7,738 22,655 2009-07-14 $18.00 $17.50 55.7% 17.4% 68.7% 26.3% 62.7% 9.2% -5.5% -337.3K 6.8M -65.7K 1.26 27.66 N/A N/A 145 182 8,157 22,574 2009-07-15 $19.32 $17.50 36.3% 16.0% 74.1% 9.1% 55.8% 9.9% -2.5% -257.2K 1.4M -64.2K 0.51 20.96 N/A N/A 385 197 8,135 22,676 2009-07-16 $19.57 $17.50 53.8% 15.4% 73.1% 24.6% 53.8% 8.4% -1.7% -231.7K 306.6K -62.5K 0.43 17.68 N/A N/A 228 97 8,274 22,810 2009-07-17 $19.55 $17.50 49.0% 14.0% 72.6% 20.3% 50.3% 10.4% 1.1% -265.6K 1.2M -60.8K 0.08 24.50 N/A N/A 1,250 96 8,075 22,531 2009-07-20 $20.23 $17.50 51.6% 14.8% 73.6% 22.7% 49.7% 10.7% -2.0% -218.4K 103.5K -60.1K 0.49 24.80 N/A N/A 193 94 7,254 20,041 2009-07-21 $20.47 $17.50 47.1% 13.5% 47.2% 18.7% 47.3% 11.3% 0.3% -193.5K -761.0K -58.5K 1.66 19.06 N/A N/A 641 1,064 7,407 20,089 2009-07-22 $20.71 $17.50 50.4% 14.5% 47.0% 21.6% 49.7% 4.3% -1.8% -191.2K -1.9M -58.7K 0.40 20.56 N/A N/A 1,831 739 7,680 20,868 2009-07-23 $21.95 $20.00 45.9% 13.2% 49.4% 17.6% 48.3% 4.0% -0.3% -45.6K -6.7M -58.4K 0.30 18.86 N/A N/A 297 88 9,221 21,178 2009-07-24 $22.67 $20.00 45.1% 12.9% 50.0% 16.9% 53.5% 8.4% -0.5% -4.3K -8.8M -55.9K 0.61 22.51 N/A N/A 408 250 9,128 21,203 2009-07-27 $24.00 $20.00 45.9% 13.2% 52.0% 17.6% 49.9% 8.4% -2.4% 25.2K -12.4M -53.0K 0.38 25.97 N/A N/A 1,368 520 9,443 21,289 2009-07-28 $23.93 $20.00 45.0% 12.9% 51.4% 16.7% 47.1% 10.9% -1.3% 41.5K -12.5M -55.2K 0.21 27.58 N/A N/A 94 20 9,976 21,642 2009-07-29 $23.42 $20.00 51.0% 14.6% 48.7% 22.1% 50.7% 9.1% -3.8% 41.9K -11.4M -56.0K 0.94 25.00 N/A N/A 238 224 10,028 21,651 2009-07-30 $24.19 $20.00 45.5% 13.0% 48.9% 17.2% 49.9% 6.9% -0.9% 54.8K -13.8M -53.6K 0.43 17.47 N/A N/A 239 103 10,151 21,782 2009-07-31 $24.31 $20.00 45.4% 13.0% 44.8% 17.1% 45.0% 4.5% -0.7% 86.0K -14.5M -51.5K 0.60 18.26 N/A N/A 220 131 10,280 21,829
« Jun 2009 | All History | Aug 2009 » Home MFC History July 2009