MFC Options History — March 2010

In March 2010, MFC traded between $18.44 and $20.51. ATM implied volatility averaged 23.4%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.8% (HV 20d: 19.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.37.

Notable Days

  • 2010-03-02: Highest Volume — 1,913 contracts
  • 2010-03-09: Largest IV spike — 24.9% change
  • 2010-03-01: Highest IV Rank — 9.1%
  • 2010-03-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.62$18.44$20.51$18.58$19.69
Max Pain$18.80$17.50$20.00$20.00$20.00
ATM IV23.4%18.3%33.2%33.2%20.7%
Expected Move6.9%5.8%9.5%9.5%5.9%
HV 20d19.6%16.0%26.9%26.5%16.0%
HV 60d25.5%23.7%27.1%27.1%23.7%
IV Rank5.0%0.0%9.1%9.1%3.2%
IV Percentile3.1%0.0%17.5%17.5%1.2%
Term Structure2.9%-1.0%7.3%-1.0%5.7%
VWIV24.2%19.1%33.0%33.0%20.7%
Skew 25d4.8%-1.4%27.4%3.8%27.4%
Skew 10d7.4%-0.8%37.7%6.6%37.7%
Call IV 25d21.3%17.0%29.8%28.7%20.7%
Put IV 25d26.1%19.5%48.1%32.5%48.1%
Bid-Ask Spread %16.5410.1528.1714.4918.24
Gamma HHI0.490.400.630.560.43
Net GEX37.5K-165.0K210.6K-144.2K54.9K
Net DEX-1.8M-6.2M2.5M2.2M-1.6M
Net VEX-36.0K-38.4K-29.5K-29.5K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.009.932.210.00
Total Volume483.652331,91374533
Total OI18,654.73912,09222,64319,56012,571

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$18.58$20.0033.2%9.5%26.5%9.1%33.0%3.8%-1.0%-144.2K2.2M-29.5K2.2114.49N/AN/A2325136,99612,564
2010-03-02$18.44$20.0030.8%8.8%25.4%6.9%30.6%0.6%-0.3%-165.0K2.5M-30.7K1.1714.91N/AN/A8821,0317,21513,006
2010-03-03$18.70$20.0026.4%7.6%25.7%3.0%22.6%1.7%7.3%-151.5K2.0M-37.6K0.0014.63N/AN/A5308,04614,009
2010-03-04$19.13$20.0020.3%5.8%26.9%0.0%19.1%7.0%2.3%-92.2K609.8K-38.3K0.3115.35N/AN/A65208,03114,009
2010-03-05$19.33$17.5018.3%7.1%22.4%0.0%26.5%6.5%3.3%-25.2K-557.9K-36.6K0.2519.97N/AN/A276698,06614,004
2010-03-08$19.41$17.5018.4%7.1%21.8%0.1%24.8%7.4%2.8%-18.9K-469.0K-36.0K0.2418.83N/AN/A5491328,10613,973
2010-03-09$19.65$17.5023.0%6.9%20.0%4.0%23.9%6.9%3.1%32.4K-1.6M-37.7K2.4628.17N/AN/A3628928,56113,951
2010-03-10$19.90$17.5021.6%6.8%19.4%2.8%23.7%8.0%3.8%63.6K-2.9M-37.3K0.3210.71N/AN/A268868,58013,510
2010-03-11$20.01$17.5024.1%6.9%18.7%5.1%24.1%1.2%3.7%94.1K-3.3M-37.6K0.2811.80N/AN/A191538,76413,526
2010-03-12$20.03$17.5023.9%6.8%18.3%7.1%23.9%1.4%3.1%133.3K-3.7M-36.8K0.2117.02N/AN/A4791038,90413,486
2010-03-15$20.14$17.5025.3%7.3%17.2%8.9%25.3%2.9%2.3%154.5K-4.3M-38.4K0.3916.21N/AN/A2841129,05413,589
2010-03-16$20.38$17.5024.6%7.1%16.6%8.0%24.6%5.9%2.8%151.5K-5.5M-35.8K0.7614.25N/AN/A2952238,98013,497
2010-03-17$20.51$17.5025.5%7.3%16.2%9.1%25.7%0.6%1.8%116.1K-6.2M-35.1K0.2218.81N/AN/A179408,89513,498
2010-03-18$20.21$17.5024.7%7.1%17.6%8.1%26.4%3.8%-0.7%201.0K-5.1M-35.8K0.2315.14N/AN/A204478,92313,526
2010-03-19$19.80$17.5022.1%6.3%19.6%4.8%22.1%1.4%2.7%210.6K-1.6M-35.0K2.7014.03N/AN/A3669899,04513,527
2010-03-22$19.58$20.0023.7%6.8%19.8%6.8%23.7%-1.2%2.6%10.8K-1.2M-37.6K1.0710.15N/AN/A1461565,5776,515
2010-03-23$19.57$20.0022.5%6.4%17.8%5.3%22.5%-1.4%2.7%4.7K-1.2M-37.4K1.7319.19N/AN/A3726435,7136,666
2010-03-24$19.51$20.0022.1%6.3%17.9%4.8%22.0%-1.4%4.1%40.8K-1.3M-36.9K1.4716.10N/AN/A55815,9556,276
2010-03-25$19.63$20.0022.3%6.4%17.2%5.1%22.3%0.5%2.8%53.3K-2.1M-36.1K0.9819.49N/AN/A1661626,0096,357
2010-03-26$19.70$20.0022.4%6.4%17.2%5.2%20.3%0.8%4.2%42.0K-2.0M-36.5K4.0016.77N/AN/A11446,0006,498
2010-03-29$19.68$20.0022.1%6.3%16.7%4.8%0.0%24.7%3.8%47.9K-1.7M-35.6K0.5515.61N/AN/A62346,0006,498
2010-03-30$19.59$20.0021.0%6.0%16.5%3.4%0.0%0.8%4.1%48.2K-1.8M-35.5K9.9320.54N/AN/A151496,0616,522
2010-03-31$19.69$20.0020.7%5.9%16.0%3.2%20.7%27.4%5.7%54.9K-1.6M-35.1K0.0018.24N/AN/A3306,0636,508