MFC Options History — December 2009

In December 2009, MFC traded between $16.62 and $18.39. ATM implied volatility averaged 30.2%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.5% (HV 20d: 31.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2009-12-18: Highest Volume — 3,440 contracts
  • 2009-12-10: Largest IV spike — 28.4% change
  • 2009-12-14: Highest IV Rank — 8.6%
  • 2009-12-09: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.61$16.62$18.39$17.85$18.34
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.2%25.3%35.7%32.9%25.3%
Expected Move8.9%7.3%10.4%9.4%7.3%
HV 20d31.7%23.6%39.7%38.6%23.6%
HV 60d37.4%34.3%38.8%38.4%34.3%
IV Rank3.1%0.0%8.6%3.6%0.0%
IV Percentile1.8%0.0%6.0%1.2%0.0%
Term Structure5.5%1.5%8.7%1.5%7.6%
VWIV31.3%23.5%42.2%30.4%29.9%
Skew 25d7.4%-6.1%66.8%6.8%-6.1%
Skew 10d23.0%-8.7%112.3%8.8%-5.0%
Call IV 25d27.8%18.5%35.3%25.2%31.2%
Put IV 25d35.2%25.1%94.0%32.0%25.1%
Bid-Ask Spread %8.495.1415.638.7110.84
Gamma HHI0.470.310.670.310.49
Net GEX-64.1K-313.4K492.5K-150.2K-262.1K
Net DEX14.0M4.9M23.3M16.1M5.0M
Net VEX-50.1K-56.8K-46.1K-56.8K-46.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.095.011.080.51
Total Volume930.5452113,440813404
Total OI36,234.77325,08542,42839,87928,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$17.85$20.0032.9%9.4%38.6%3.6%30.4%6.8%1.5%-150.2K16.1M-56.8K1.088.71N/AN/A39042314,69225,187
2009-12-02$17.59$20.0030.5%8.7%38.1%1.3%30.5%66.8%5.1%-48.0K17.9M-54.4K2.848.40N/AN/A4201,19414,77925,292
2009-12-03$16.91$20.0032.9%9.4%39.7%3.5%32.9%-3.4%1.8%-94.8K21.0M-53.0K1.188.28N/AN/A73987115,02725,763
2009-12-04$17.05$20.0032.5%9.7%38.6%3.2%32.8%4.2%5.8%-122.0K21.5M-53.1K0.569.32N/AN/A24213615,03526,311
2009-12-07$17.11$20.0031.8%10.2%37.0%2.5%35.6%3.5%4.4%-57.7K20.7M-53.3K0.6411.71N/AN/A33221215,21426,274
2009-12-08$16.80$20.0029.4%10.0%32.9%0.3%35.7%8.6%5.2%-80.3K22.8M-49.5K2.178.26N/AN/A20243915,44626,299
2009-12-09$16.62$20.0026.4%10.4%32.9%0.0%42.2%10.8%4.1%-120.3K23.3M-48.7K5.017.37N/AN/A3541,77415,48226,328
2009-12-10$17.07$20.0033.8%9.7%34.4%6.9%33.7%12.5%5.0%-18.5K20.4M-51.1K0.418.44N/AN/A2309515,67526,272
2009-12-11$17.24$20.0034.0%9.7%34.0%7.0%33.5%2.2%5.2%57.9K18.6M-52.4K0.0913.21N/AN/A1,0109215,75525,706
2009-12-14$17.53$20.0035.7%10.2%34.7%8.6%35.6%6.9%3.8%142.8K16.3M-52.4K0.4015.63N/AN/A2218816,51925,693
2009-12-15$17.63$20.0033.6%9.6%34.8%6.7%34.3%4.0%6.5%215.0K15.0M-51.5K0.815.27N/AN/A15012116,57325,677
2009-12-16$17.60$20.0032.9%9.4%34.7%6.0%32.4%-4.8%6.2%265.2K15.3M-49.8K0.338.17N/AN/A98332116,56025,683
2009-12-17$17.38$20.0032.5%9.3%34.8%5.6%0.0%11.8%5.8%492.5K17.3M-49.2K0.576.51N/AN/A70640116,64525,783
2009-12-18$17.61$20.0030.3%8.7%26.8%3.6%29.9%3.5%8.7%305.6K15.6M-48.1K0.327.32N/AN/A2,60183916,54725,770
2009-12-21$17.81$20.0027.7%7.9%27.0%1.2%27.7%-4.4%6.7%-225.9K6.9M-46.1K2.885.14N/AN/A4411,2729,19915,886
2009-12-22$18.03$20.0027.5%7.9%27.3%1.1%27.4%-2.2%6.6%-288.7K6.7M-48.7K0.456.11N/AN/A3661639,42316,941
2009-12-23$18.24$20.0025.9%7.4%27.0%0.0%23.5%13.1%7.7%-279.1K5.7M-48.7K0.937.53N/AN/A1731619,69417,042
2009-12-24$18.26$20.0025.4%7.3%26.6%0.0%25.4%6.8%8.2%-281.2K5.6M-48.1K0.575.75N/AN/A134779,77217,158
2009-12-28$18.16$20.0028.4%8.2%24.8%2.8%28.4%6.7%5.2%-313.4K6.3M-47.5K1.097.76N/AN/A2222439,84517,192
2009-12-29$18.39$20.0029.3%8.4%25.0%3.6%29.3%8.8%3.7%-262.0K4.9M-47.5K0.948.82N/AN/A26324610,00517,303
2009-12-30$18.21$20.0026.8%7.7%24.3%1.3%26.8%5.6%5.7%-286.0K5.7M-46.6K0.648.27N/AN/A44028110,19317,405
2009-12-31$18.34$20.0025.3%7.3%23.6%0.0%29.9%-6.1%7.6%-262.1K5.0M-46.3K0.5110.84N/AN/A26713710,54517,575