MFC Options History — October 2009

In October 2009, MFC traded between $18.57 and $21.92. ATM implied volatility averaged 45.2%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 8.8% (HV 20d: 36.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2009-10-23: Highest Volume — 4,365 contracts
  • 2009-10-14: Largest IV drop — 17.7% change
  • 2009-10-30: Highest IV Rank — 24.1%
  • 2009-10-30: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.71$18.57$21.92$20.18$18.59
Max Pain$21.36$20.00$22.50$20.00$22.50
ATM IV45.2%36.0%59.9%44.4%59.9%
Expected Move13.4%11.5%17.2%12.7%17.2%
HV 20d36.4%32.3%42.5%37.1%42.5%
HV 60d47.5%38.3%51.3%51.3%38.3%
IV Rank9.1%0.0%24.1%7.8%24.1%
IV Percentile15.9%0.0%49.6%10.3%49.6%
Term Structure-1.6%-7.8%4.9%4.6%-7.8%
VWIV46.2%40.7%57.3%44.2%57.3%
Skew 25d3.9%0.3%10.0%2.2%4.3%
Skew 10d7.9%-4.0%25.1%6.4%4.6%
Call IV 25d44.7%33.0%55.6%45.1%55.6%
Put IV 25d48.6%43.0%59.9%47.4%59.9%
Bid-Ask Spread %23.5816.9935.9229.6835.92
Gamma HHI0.490.400.560.480.51
Net GEX-300.2K-447.4K-100.8K-256.1K-430.1K
Net DEX7.4M-2.2M21.6M8.9M21.6M
Net VEX-97.5K-102.1K-83.7K-100.1K-83.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.083.460.562.74
Total Volume1,211.5453264,3659832,156
Total OI37,560.40933,96342,59233,96342,592

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$20.18$20.0044.4%12.7%37.1%7.8%44.2%2.2%4.6%-256.1K8.9M-100.1K0.5629.68N/AN/A63235110,75123,212
2009-10-02$19.95$20.0043.2%12.4%37.5%6.7%43.3%3.5%4.9%-249.6K10.1M-98.6K0.8033.95N/AN/A19815810,97223,319
2009-10-05$20.40$20.0044.1%13.8%36.3%7.5%47.5%6.3%0.5%-233.6K8.2M-98.7K1.0226.91N/AN/A20921411,03523,375
2009-10-06$21.16$20.0042.7%14.0%37.5%6.2%46.6%6.4%-2.8%-233.5K4.3M-98.2K0.7129.60N/AN/A63545111,04523,450
2009-10-07$21.24$20.0044.4%14.1%36.5%7.9%44.5%5.6%-4.2%-204.8K3.9M-98.5K0.0823.92N/AN/A4203411,36823,610
2009-10-08$21.59$20.0039.2%12.7%36.8%2.8%45.2%3.7%0.5%-218.9K1.1M-98.2K0.4418.15N/AN/A25711411,70523,630
2009-10-09$21.55$20.0036.0%12.7%36.8%0.0%44.5%4.7%-0.7%-206.9K1.5M-97.2K0.0817.01N/AN/A2,28918211,71523,649
2009-10-12$21.51$20.0040.8%12.7%36.7%4.6%47.1%4.9%-0.1%-100.8K-287.8K-99.9K2.3217.61N/AN/A32375013,68823,677
2009-10-13$21.38$20.0046.9%12.4%36.3%11.0%42.8%5.1%0.6%-129.0K1.2M-102.1K0.0919.65N/AN/A2982813,79824,139
2009-10-14$21.92$20.0038.6%12.4%36.5%2.6%44.6%3.7%-0.1%-180.8K-2.2M-99.5K2.6317.67N/AN/A31582913,87324,136
2009-10-15$21.49$22.5044.1%12.6%37.1%8.1%44.0%4.8%-1.0%-290.5K346.9K-99.2K0.6119.02N/AN/A24615013,85724,641
2009-10-16$21.23$22.5046.0%13.2%36.3%10.1%44.9%3.3%-0.5%-328.3K1.8M-99.1K0.7222.22N/AN/A1,6351,17014,00124,723
2009-10-19$21.73$22.5042.3%12.1%36.2%6.3%42.6%4.2%-0.9%-273.7K3.2M-100.3K1.7621.65N/AN/A42074112,33023,870
2009-10-20$21.27$22.5041.3%11.9%34.8%5.4%41.2%2.6%0.1%-352.7K6.6M-100.7K1.1831.23N/AN/A35441812,43924,439
2009-10-21$20.90$22.5044.5%12.7%34.5%8.5%42.1%3.8%-3.7%-406.0K8.4M-98.8K0.9316.99N/AN/A37034312,30824,528
2009-10-22$21.30$22.5040.2%11.5%32.3%4.2%40.7%10.0%-0.5%-400.0K6.8M-98.7K0.8525.85N/AN/A51043612,07524,716
2009-10-23$20.67$22.5046.4%13.3%33.5%10.5%45.4%0.6%-3.4%-447.4K10.2M-99.7K0.2226.65N/AN/A3,58777812,36124,944
2009-10-26$20.12$22.5049.1%14.1%33.1%13.2%48.7%1.9%-5.7%-397.0K13.0M-99.9K0.6121.12N/AN/A1,15770815,59925,493
2009-10-27$19.54$22.5050.9%14.6%34.4%15.1%51.0%0.3%-5.9%-427.3K16.0M-95.6K3.4619.92N/AN/A12743915,72525,643
2009-10-28$18.57$22.5054.5%15.6%37.9%18.6%55.1%3.6%-3.1%-428.2K21.2M-84.4K0.3023.91N/AN/A1,28538315,75425,720
2009-10-29$19.41$22.5054.9%15.7%40.0%19.1%54.4%1.1%-7.0%-409.2K17.4M-94.8K0.6320.20N/AN/A34021416,57125,853
2009-10-30$18.59$22.5059.9%17.2%42.5%24.1%57.3%4.3%-7.8%-430.1K21.6M-83.7K2.7435.92N/AN/A5771,57916,65725,935