MFC Options History — January 2010

In January 2010, MFC traded between $18.34 and $20.33. ATM implied volatility averaged 30.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.4% (HV 20d: 27.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.95.

Notable Days

  • 2010-01-13: Highest Volume — 1,618 contracts
  • 2010-01-14: Largest IV spike — 31.7% change
  • 2010-01-25: Highest IV Rank — 12.6%
  • 2010-01-25: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.42$18.34$20.33$19.14$18.34
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.5%23.0%37.1%29.2%33.5%
Expected Move9.2%8.1%10.6%9.1%9.6%
HV 20d27.1%22.4%31.4%22.4%31.4%
HV 60d35.2%31.4%36.6%35.5%31.5%
IV Rank5.9%0.0%12.6%3.6%9.3%
IV Percentile8.2%0.0%17.5%3.6%14.3%
Term Structure0.8%-1.9%2.7%2.7%0.9%
VWIV30.7%25.5%33.9%31.4%33.4%
Skew 25d4.2%-2.3%11.0%8.1%-2.3%
Skew 10d6.5%-2.4%17.7%9.9%-2.4%
Call IV 25d29.3%21.5%35.3%25.3%35.3%
Put IV 25d33.4%30.6%37.2%33.4%33.0%
Bid-Ask Spread %22.8113.7639.5215.3522.62
Gamma HHI0.320.250.380.350.38
Net GEX-104.3K-210.4K37.6K-200.2K-182.8K
Net DEX1.3M-2.7M5.6M2.3M5.6M
Net VEX-44.0K-48.0K-39.6K-45.6K-40.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.2434.000.3934.00
Total Volume781.368701,6181,57770
Total OI25,872.94719,86130,22828,11722,272

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$19.14$20.0029.2%9.1%22.4%3.6%31.4%8.1%2.7%-200.2K2.3M-45.6K0.3915.35N/AN/A1,13744010,46017,657
2010-01-05$19.84$20.0029.4%9.6%24.8%3.7%33.3%2.6%0.9%-127.1K-495.0K-47.5K0.5322.65N/AN/A59331610,74217,736
2010-01-06$20.33$20.0027.3%9.3%25.4%1.8%32.3%2.6%0.8%-71.6K-2.7M-45.7K0.3813.76N/AN/A1,05540410,92217,939
2010-01-07$20.08$20.0029.7%9.2%24.7%4.0%31.7%2.4%1.7%-65.2K-1.5M-48.0K0.3919.18N/AN/A71327911,49618,059
2010-01-08$20.15$20.0026.8%9.0%23.7%1.3%31.3%3.3%1.3%-50.6K-2.1M-47.5K1.9125.47N/AN/A6612612,02218,061
2010-01-11$20.00$20.0027.7%9.2%23.5%2.1%31.8%3.1%0.3%-60.9K-1.5M-45.2K0.2421.77N/AN/A2676412,04217,953
2010-01-12$19.68$20.0028.4%8.7%25.0%2.8%25.9%9.3%1.9%-94.2K647.1K-44.9K0.3418.16N/AN/A69223812,06617,983
2010-01-13$19.90$20.0023.0%8.8%24.8%0.0%25.5%3.3%1.3%-71.7K-1.2M-44.0K0.2826.42N/AN/A1,26335512,11718,060
2010-01-14$20.13$20.0030.3%8.7%24.8%6.5%30.3%3.9%1.7%37.6K-2.5M-43.7K0.5339.52N/AN/A36119212,26917,959
2010-01-15$19.80$20.0029.9%8.6%26.0%6.2%29.3%11.0%1.5%20.9K404.8K-42.6K0.3427.18N/AN/A45215312,14417,901
2010-01-19$20.00$20.0029.5%8.5%25.1%5.8%30.3%10.5%1.2%22.4K-845.4K-39.6K3.4721.75N/AN/A3431,1907,63512,226
2010-01-20$19.56$20.0028.3%8.1%27.0%4.7%28.3%6.6%0.8%-61.0K975.9K-42.4K2.6023.75N/AN/A2326047,93113,334
2010-01-21$19.01$20.0030.3%8.7%29.4%6.5%30.4%1.7%0.2%-210.4K4.2M-45.1K1.2519.95N/AN/A3514397,87114,746
2010-01-22$18.51$20.0033.4%9.6%31.1%9.3%33.2%0.4%1.4%-181.8K5.0M-43.9K1.9824.62N/AN/A3787507,84113,921
2010-01-25$18.71$20.0037.1%10.6%31.0%12.6%31.1%5.6%-1.9%-162.6K4.4M-43.7K0.5221.13N/AN/A167878,05013,920
2010-01-26$18.51$20.0035.5%10.2%31.3%11.2%33.9%1.5%0.2%-175.0K4.9M-42.7K0.8421.72N/AN/A3152648,04713,973
2010-01-27$18.68$20.0034.3%9.8%31.4%10.0%29.8%2.7%-0.0%-173.1K4.8M-42.1K0.4722.08N/AN/A2181028,04314,007
2010-01-28$18.60$20.0035.2%10.1%31.1%10.9%33.4%2.8%-1.0%-174.2K4.9M-41.5K5.5426.39N/AN/A261448,16014,021
2010-01-29$18.34$20.0033.5%9.6%31.4%9.3%0.0%-2.3%0.9%-182.8K5.6M-40.9K34.0022.62N/AN/A2688,15514,117