MFC Options History — November 2009

In November 2009, MFC traded between $17.31 and $20.00. ATM implied volatility averaged 41.7%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 1.6% (HV 20d: 43.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 9.77.

Notable Days

  • 2009-11-19: Highest Volume — 16,968 contracts
  • 2009-11-27: Largest IV spike — 19.9% change
  • 2009-11-02: Highest IV Rank — 22.2%
  • 2009-11-02: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.67$17.31$20.00$18.71$17.46
Max Pain$20.50$20.00$22.50$22.50$20.00
ATM IV41.7%29.1%58.0%58.0%32.9%
Expected Move12.0%8.4%16.6%16.6%9.4%
HV 20d43.3%37.6%47.5%41.6%37.6%
HV 60d38.4%37.4%39.5%38.0%38.8%
IV Rank7.2%0.0%22.2%22.2%3.6%
IV Percentile12.7%0.0%49.6%49.6%1.2%
Term Structure0.5%-5.7%5.4%-5.2%4.5%
VWIV41.7%22.9%56.9%56.8%32.8%
Skew 25d0.6%-9.5%7.0%-4.3%-9.1%
Skew 10d2.1%-18.9%23.1%-18.9%-14.6%
Call IV 25d42.1%32.7%57.1%55.4%38.7%
Put IV 25d42.7%27.5%57.4%51.1%29.6%
Bid-Ask Spread %14.926.2126.1213.949.35
Gamma HHI0.460.310.590.510.32
Net GEX-550.2K-862.4K-110.0K-457.5K-110.0K
Net DEX21.2M16.1M31.8M21.3M19.0M
Net VEX-76.0K-99.5K-52.1K-81.9K-55.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.770.06144.594.612.53
Total Volume2,013.9510316,968320505
Total OI44,539.1536,34749,75942,63140,133

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$18.71$22.5058.0%16.6%41.6%22.2%56.8%-4.3%-5.2%-457.5K21.3M-81.9K4.6113.94N/AN/A5726316,66525,966
2009-11-03$19.04$22.5057.1%16.4%39.6%21.3%56.6%0.8%-5.7%-444.2K19.5M-86.7K0.0626.12N/AN/A1,2737716,68226,045
2009-11-04$19.23$22.5056.5%16.2%39.9%20.6%56.9%-0.5%-5.5%-394.1K16.9M-92.7K0.4922.20N/AN/A83340617,42826,097
2009-11-05$18.58$22.5050.3%14.4%40.3%14.5%49.1%0.4%-1.6%-544.8K23.6M-76.0K0.6715.78N/AN/A1,6911,13117,75826,393
2009-11-06$19.07$20.0044.7%12.7%42.0%8.8%46.6%3.5%-0.9%-574.2K20.4M-84.7K0.8515.01N/AN/A26022217,89126,881
2009-11-09$19.87$20.0042.8%12.6%45.3%6.8%45.5%6.4%-0.6%-596.3K16.1M-88.1K2.4316.51N/AN/A39194917,88426,947
2009-11-10$19.75$20.0044.6%12.6%45.3%8.6%48.0%4.7%-0.3%-589.1K16.7M-87.2K144.5916.43N/AN/A375,35017,92926,925
2009-11-11$20.00$20.0040.6%12.4%44.4%4.6%48.8%7.0%0.2%-690.2K16.7M-99.5K4.9216.64N/AN/A10752617,95731,481
2009-11-12$19.42$20.0042.2%12.1%45.0%6.2%42.1%3.6%0.8%-784.8K21.0M-91.7K9.0616.46N/AN/A8274317,99031,539
2009-11-13$19.12$20.0042.4%12.1%45.1%6.4%42.3%3.6%0.1%-812.0K22.9M-89.5K2.769.07N/AN/A15442517,90231,795
2009-11-16$19.20$20.0041.1%11.8%44.0%5.1%41.5%6.0%0.5%-862.4K22.3M-85.8K0.2214.83N/AN/A2715917,96631,567
2009-11-17$19.03$20.0039.6%11.4%43.6%3.6%39.7%4.7%0.8%-787.5K24.0M-81.6K0.1715.02N/AN/A881518,11331,558
2009-11-18$19.02$20.0039.9%11.5%43.4%3.9%39.9%2.9%1.6%-789.3K24.0M-80.7K0.9120.74N/AN/A11010018,12331,557
2009-11-19$17.81$20.0038.0%10.9%47.5%2.0%22.9%4.5%1.6%-695.5K31.8M-62.0K7.9716.10N/AN/A1,89215,07618,14731,612
2009-11-20$17.70$20.0035.1%10.1%46.8%0.0%35.6%5.4%3.1%-531.5K23.9M-59.4K2.6119.20N/AN/A29777618,39827,327
2009-11-23$17.78$20.0032.9%9.4%46.5%0.0%33.5%-6.3%3.8%-417.3K21.5M-53.7K1.2413.98N/AN/A31338711,12925,218
2009-11-24$17.53$20.0031.4%9.0%45.8%0.0%31.6%-7.1%3.8%-394.9K22.3M-52.1K1.226.21N/AN/A45154811,28825,481
2009-11-25$17.76$20.0029.1%8.4%42.9%0.0%29.1%-4.9%5.4%-386.0K21.6M-53.6K0.066.84N/AN/A3,29019511,61725,727
2009-11-27$17.31$20.0034.9%10.0%39.9%5.5%34.5%-9.5%3.1%-141.9K18.5M-57.2K8.118.06N/AN/A10282714,63025,037
2009-11-30$17.46$20.0032.9%9.4%37.6%3.6%32.8%-9.1%4.5%-110.0K19.0M-55.7K2.539.35N/AN/A14336214,64725,486