MFC Options History — February 2010

In February 2010, MFC traded between $17.59 and $18.93. ATM implied volatility averaged 34.9%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.3% (HV 20d: 27.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.54.

Notable Days

  • 2010-02-11: Highest Volume — 1,263 contracts
  • 2010-02-19: Largest IV drop — 17.8% change
  • 2010-02-08: Highest IV Rank — 18.0%
  • 2010-02-10: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.37$17.59$18.93$18.74$18.30
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV34.9%26.5%43.2%37.5%30.9%
Expected Move9.8%7.6%11.2%10.7%8.9%
HV 20d27.6%25.0%32.2%32.2%26.4%
HV 60d29.6%27.2%31.6%31.6%27.2%
IV Rank10.6%3.1%18.0%12.9%7.1%
IV Percentile17.0%2.0%34.5%19.4%11.5%
Term Structure1.5%-2.5%14.1%-1.6%2.4%
VWIV33.7%29.1%40.6%33.1%29.1%
Skew 25d4.0%-0.5%8.2%3.6%1.9%
Skew 10d9.3%-2.5%20.1%15.8%1.8%
Call IV 25d32.7%26.5%39.4%33.5%29.2%
Put IV 25d36.7%31.1%43.3%37.1%31.1%
Bid-Ask Spread %18.2413.6425.6523.1515.88
Gamma HHI0.420.340.580.370.58
Net GEX-166.2K-253.8K-105.7K-177.0K-165.9K
Net DEX5.0M2.5M8.1M4.8M2.9M
Net VEX-35.3K-40.6K-29.7K-40.4K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.126.670.320.21
Total Volume382.789261,263253148
Total OI22,503.31619,22624,48022,33519,543

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$18.74$20.0037.5%10.7%32.2%12.9%33.1%3.6%-1.6%-177.0K4.8M-40.4K0.3223.15N/AN/A192618,15514,180
2010-02-02$18.93$20.0033.0%9.5%28.5%8.9%33.7%3.6%-0.8%-140.2K3.8M-40.1K0.1223.24N/AN/A466558,31914,189
2010-02-03$18.87$20.0032.7%9.4%25.0%8.6%32.4%4.3%-0.7%-132.7K4.5M-40.6K0.1424.89N/AN/A148208,68314,204
2010-02-04$18.13$20.0036.8%10.5%26.2%12.3%36.4%1.6%0.4%-188.5K6.9M-38.9K2.7925.65N/AN/A2065748,67614,224
2010-02-05$17.95$20.0042.0%11.0%26.2%16.9%37.3%5.4%-1.6%-210.7K7.6M-39.9K0.4015.94N/AN/A4251708,74114,481
2010-02-08$17.59$20.0043.2%10.8%26.4%18.0%40.6%6.3%1.4%-213.2K8.1M-37.8K0.7713.64N/AN/A3192458,99714,447
2010-02-09$17.96$20.0041.3%10.9%28.2%16.4%37.4%6.5%-1.1%-187.2K7.2M-37.7K0.8514.52N/AN/A2672279,24314,532
2010-02-10$18.31$20.0040.0%11.2%29.2%15.2%37.5%8.2%-2.5%-147.4K5.8M-38.2K1.9221.42N/AN/A1392679,34914,586
2010-02-11$18.19$20.0037.0%10.6%28.7%12.4%36.2%6.2%-1.1%-186.6K6.6M-35.6K3.6419.43N/AN/A2729919,35014,547
2010-02-12$17.98$20.0034.4%9.9%28.1%10.2%34.5%3.3%3.0%-253.8K7.5M-36.2K6.3421.46N/AN/A442799,33415,028
2010-02-16$18.34$20.0036.7%10.5%29.2%12.2%35.7%6.0%-0.4%-204.8K6.1M-35.9K0.5716.39N/AN/A124719,34915,131
2010-02-17$18.61$20.0036.0%10.3%29.5%11.6%30.4%3.8%0.6%-156.5K4.4M-33.3K0.4914.79N/AN/A134669,41514,905
2010-02-18$18.72$20.0033.2%9.5%28.8%9.1%31.6%2.5%1.9%-118.2K3.9M-32.5K0.1513.87N/AN/A342539,43514,913
2010-02-19$18.85$20.0027.3%7.8%27.3%3.8%29.3%7.6%6.8%-105.7K3.9M-32.8K0.3717.50N/AN/A76289,35114,918
2010-02-22$18.70$20.0026.5%7.6%25.6%3.1%32.5%5.1%14.1%-107.7K2.6M-31.0K2.7817.55N/AN/A722006,90512,691
2010-02-23$18.30$20.0030.7%8.8%26.5%6.8%31.6%-0.5%4.8%-150.7K3.1M-30.0K0.4516.96N/AN/A105476,94712,317
2010-02-24$18.41$20.0031.5%9.0%26.3%7.6%31.9%0.4%2.7%-142.3K2.5M-29.7K0.2416.22N/AN/A2157,05212,200
2010-02-25$18.22$20.0032.5%9.3%26.3%8.5%29.1%1.2%0.8%-169.3K3.1M-29.8K6.6714.02N/AN/A543607,02112,205
2010-02-26$18.30$20.0030.9%8.9%26.4%7.1%29.1%1.9%2.4%-165.9K2.9M-30.0K0.2115.88N/AN/A122267,00312,540