MFC Options History — August 2009

In August 2009, MFC traded between $19.44 and $24.55. ATM implied volatility averaged 48.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 14.4% (HV 20d: 62.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.78.

Notable Days

  • 2009-08-05: Highest Volume — 12,870 contracts
  • 2009-08-05: Largest IV spike — 8.9% change
  • 2009-08-06: Highest IV Rank — 26.8%
  • 2009-08-06: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.97$19.44$24.55$24.55$20.46
Max Pain$22.02$20.00$22.50$20.00$22.50
ATM IV48.5%41.3%56.3%47.9%42.8%
Expected Move13.8%11.8%16.1%13.7%12.3%
HV 20d62.9%40.7%72.7%40.8%60.5%
HV 60d63.6%60.5%68.3%64.6%60.5%
IV Rank19.9%13.5%26.8%19.3%14.9%
IV Percentile22.8%6.7%41.3%24.6%7.5%
Term Structure-0.1%-4.9%3.8%-1.8%3.4%
VWIV49.3%41.3%63.2%56.5%42.5%
Skew 25d3.6%-7.9%17.9%7.4%5.2%
Skew 10d12.5%-13.9%34.8%14.8%14.5%
Call IV 25d46.8%41.1%52.2%44.1%41.5%
Put IV 25d50.4%35.0%65.2%51.6%46.7%
Bid-Ask Spread %15.589.9821.1021.1020.81
Gamma HHI0.430.240.720.290.54
Net GEX-452.5K-720.7K76.7K76.7K-448.0K
Net DEX11.3M-14.8M23.3M-14.8M14.6M
Net VEX-70.3K-88.1K-50.9K-50.9K-63.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.780.2541.550.520.74
Total Volume1,908.90534712,870486489
Total OI41,169.76231,13348,88432,12433,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$24.55$20.0047.9%13.7%40.8%19.3%56.5%7.4%-1.8%76.7K-14.8M-50.9K0.5221.10N/AN/A31916710,35121,773
2009-08-04$24.24$20.0050.6%14.5%40.7%21.7%63.2%10.2%-4.7%65.9K-13.8M-52.7K41.5514.46N/AN/A421,74510,48021,841
2009-08-05$24.26$20.0055.1%15.8%41.2%25.7%59.9%17.9%-2.7%41.2K-13.9M-53.2K5.6715.16N/AN/A1,93010,94010,50623,174
2009-08-06$20.96$20.0056.3%16.1%71.8%26.8%52.2%7.1%-4.9%-516.3K9.7M-81.8K2.0813.40N/AN/A3,1996,65111,37832,374
2009-08-07$20.37$22.5053.3%14.7%72.7%24.2%51.4%4.1%-0.9%-632.8K15.7M-85.9K1.1513.72N/AN/A1,2911,48112,01235,105
2009-08-10$20.73$22.5054.9%14.8%71.3%25.6%51.3%4.9%-2.4%-670.6K14.0M-88.1K0.6713.34N/AN/A78352412,16936,126
2009-08-11$20.14$22.5052.2%14.8%71.7%23.2%51.8%3.1%-1.7%-688.7K17.6M-85.8K0.8311.08N/AN/A38231612,41436,221
2009-08-12$20.67$22.5049.9%14.5%68.0%21.1%51.6%4.7%-1.4%-650.2K14.1M-83.0K1.0717.27N/AN/A16817912,45536,353
2009-08-13$20.75$22.5050.3%14.4%67.9%21.5%50.7%3.7%-1.2%-496.0K12.8M-78.6K2.0818.01N/AN/A23548912,51936,365
2009-08-14$20.31$22.5048.9%14.0%68.5%20.2%48.4%5.4%-0.1%-586.2K18.1M-75.3K0.7619.01N/AN/A36828111,39536,529
2009-08-17$19.44$22.5051.1%14.6%69.2%22.2%49.2%6.4%-0.8%-720.7K23.3M-69.2K1.9316.44N/AN/A20238911,48936,462
2009-08-18$19.60$22.5050.4%14.4%69.1%21.5%52.7%3.4%0.0%-609.1K21.6M-69.4K1.4519.27N/AN/A25136311,42336,275
2009-08-19$19.61$22.5047.1%13.5%68.9%18.6%46.4%4.1%2.4%-449.1K22.4M-67.2K1.3017.06N/AN/A46059811,48636,333
2009-08-20$19.78$22.5047.6%13.7%65.2%19.1%47.6%4.1%0.7%-508.5K20.3M-67.1K0.2517.07N/AN/A43911111,66035,774
2009-08-21$20.41$22.5045.2%12.9%65.2%16.9%44.9%2.5%2.4%-491.8K13.9M-68.5K0.3915.81N/AN/A37214411,77135,823
2009-08-24$20.78$22.5044.6%12.8%61.6%16.4%44.0%1.5%1.3%-441.7K12.4M-68.6K0.3315.32N/AN/A9533198,67222,461
2009-08-25$21.30$22.5043.4%12.4%62.6%15.3%42.4%-3.1%0.9%-480.9K9.7M-70.5K0.7515.91N/AN/A4533409,11722,699
2009-08-26$20.91$22.5043.1%12.4%62.5%15.1%43.2%-2.6%3.6%-448.9K11.3M-68.1K2.499.98N/AN/A1543849,36922,751
2009-08-27$20.60$22.5043.4%12.4%61.0%15.3%43.2%-7.9%2.3%-418.7K13.1M-65.5K12.1111.55N/AN/A941,1389,36822,907
2009-08-28$20.45$22.5041.3%11.8%60.8%13.5%41.3%-6.1%3.8%-427.9K14.4M-64.0K1.1711.37N/AN/A4355099,39723,893
2009-08-31$20.46$22.5042.8%12.3%60.5%14.9%42.5%5.2%3.4%-448.0K14.6M-63.5K0.7420.81N/AN/A2812089,65524,240