MFC Options History — September 2009

In September 2009, MFC traded between $19.12 and $21.51. ATM implied volatility averaged 42.5%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 4.4% (HV 20d: 38.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2009-09-22: Highest Volume — 13,974 contracts
  • 2009-09-30: Largest IV spike — 14.1% change
  • 2009-09-01: Highest IV Rank — 17.0%
  • 2009-09-30: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.28$19.12$21.51$19.65$20.94
Max Pain$20.36$20.00$22.50$22.50$20.00
ATM IV42.5%39.7%47.2%45.6%47.2%
Expected Move12.3%11.4%13.5%13.1%13.5%
HV 20d38.1%31.9%61.6%61.5%35.9%
HV 60d55.8%50.6%61.3%61.1%50.6%
IV Rank8.9%3.3%17.0%17.0%10.6%
IV Percentile6.2%1.6%19.0%14.3%19.0%
Term Structure3.6%-0.3%7.1%-0.3%1.6%
VWIV43.3%38.8%48.6%47.2%47.3%
Skew 25d4.2%-2.2%13.3%2.3%2.1%
Skew 10d10.6%-7.4%28.1%1.4%4.3%
Call IV 25d40.7%32.7%47.9%47.9%41.9%
Put IV 25d45.0%37.6%52.9%50.3%44.0%
Bid-Ask Spread %20.1810.8330.8312.0815.89
Gamma HHI0.420.240.630.420.62
Net GEX-253.6K-408.8K61.5K-331.4K-376.4K
Net DEX13.3M-2.7M20.0M17.2M8.1M
Net VEX-63.5K-98.3K-45.4K-59.3K-97.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.2312.490.310.23
Total Volume1,940.23826213,9741,4083,426
Total OI31,889.61917,73036,04334,04031,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$19.65$22.5045.6%13.1%61.5%17.0%47.2%2.3%-0.3%-331.4K17.2M-59.3K0.3112.08N/AN/A1,0733359,80524,235
2009-09-02$19.12$22.5044.3%12.7%61.6%15.8%44.6%8.7%0.6%-251.7K19.7M-53.7K0.4012.78N/AN/A4571849,86624,306
2009-09-03$19.18$22.5042.3%12.1%35.9%14.0%42.4%-1.1%2.7%-245.7K20.0M-52.5K0.5612.39N/AN/A2161229,79724,303
2009-09-04$19.85$20.0041.5%13.4%37.2%13.4%48.6%9.4%1.9%-332.8K18.0M-55.5K1.0223.01N/AN/A3643709,84824,318
2009-09-08$20.36$20.0043.5%13.4%37.8%15.1%47.2%3.7%2.0%-408.8K16.2M-54.9K0.3622.83N/AN/A238869,92024,276
2009-09-09$19.94$20.0042.5%13.1%37.1%12.3%45.3%3.3%2.1%-313.4K18.1M-50.7K0.3319.64N/AN/A197659,87224,299
2009-09-10$19.90$20.0043.6%12.5%35.8%11.6%43.9%5.6%3.1%-258.5K18.9M-48.1K0.3917.69N/AN/A2248710,01424,295
2009-09-11$19.91$20.0042.9%12.3%35.7%10.1%42.4%4.7%3.0%-257.0K18.8M-47.5K0.2920.37N/AN/A71720510,07624,321
2009-09-14$20.17$20.0042.5%12.2%35.3%9.7%42.4%4.9%2.4%-273.0K18.0M-45.8K1.1117.84N/AN/A26929910,22824,352
2009-09-15$19.90$20.0041.3%11.8%31.9%5.6%41.2%1.7%4.0%-249.3K18.8M-45.4K2.3520.58N/AN/A23154410,35424,278
2009-09-16$20.35$20.0041.7%12.0%32.7%5.5%41.9%3.3%3.1%-255.2K17.1M-45.8K6.5522.67N/AN/A1,1837,74410,48724,349
2009-09-17$20.68$20.0040.5%11.6%33.0%4.1%40.5%1.5%4.4%-82.2K14.5M-46.6K0.5426.56N/AN/A64534710,98824,470
2009-09-18$21.22$20.0041.0%11.7%34.0%4.5%38.8%8.5%3.4%-28.6K13.2M-49.5K0.8121.99N/AN/A50340711,46424,579
2009-09-21$20.75$20.0042.3%12.1%33.5%5.8%42.4%5.2%5.3%52.2K-1.0M-48.3K3.9730.28N/AN/A2831,1247,63810,092
2009-09-22$21.51$20.0039.7%11.4%35.3%3.3%43.9%13.3%7.1%61.5K-2.7M-51.3K12.4910.83N/AN/A1,03612,9387,8429,948
2009-09-23$21.05$20.0044.8%12.8%35.1%8.2%42.7%4.5%5.2%-297.8K6.7M-98.3K0.8317.45N/AN/A3442848,42221,671
2009-09-24$20.29$20.0040.5%11.6%36.9%4.1%40.6%1.7%7.1%-335.9K9.9M-95.9K1.6524.73N/AN/A5158488,48121,727
2009-09-25$19.91$20.0041.4%11.9%37.1%5.0%41.4%1.7%5.1%-374.8K11.9M-95.2K0.7826.74N/AN/A9717588,63922,270
2009-09-28$20.54$20.0041.9%12.0%38.8%5.4%0.0%6.3%6.3%-381.1K9.8M-96.4K9.9330.83N/AN/A272688,56422,482
2009-09-29$20.72$20.0041.4%11.9%38.9%4.9%41.2%-2.2%5.7%-385.6K9.4M-96.3K0.5716.66N/AN/A5182938,57122,649
2009-09-30$20.94$20.0047.2%13.5%35.9%10.6%47.3%2.1%1.6%-376.4K8.1M-97.5K0.2315.89N/AN/A2,7926348,75622,830