MFC Options History — April 2010

In April 2010, MFC traded between $17.99 and $20.39. ATM implied volatility averaged 25.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.4% (HV 20d: 17.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2010-04-15: Highest Volume — 1,400 contracts
  • 2010-04-15: Largest IV spike — 37.8% change
  • 2010-04-28: Highest IV Rank — 26.2%
  • 2010-04-28: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.48$17.99$20.39$20.05$17.99
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV25.3%18.9%34.8%20.1%34.3%
Expected Move7.9%5.8%10.0%5.8%9.8%
HV 20d17.9%15.3%23.8%15.3%23.8%
HV 60d21.9%21.0%22.8%22.8%22.8%
IV Rank10.9%0.9%26.2%2.7%25.6%
IV Percentile13.2%0.8%36.5%0.8%36.5%
Term Structure-0.8%-3.5%5.7%5.7%-2.3%
VWIV27.4%20.1%34.9%20.1%34.9%
Skew 25d6.2%-2.7%24.2%24.2%-2.5%
Skew 10d10.6%-4.4%40.1%40.1%-4.4%
Call IV 25d23.8%17.5%35.0%19.4%35.0%
Put IV 25d29.9%18.8%43.6%43.6%32.5%
Bid-Ask Spread %21.668.8532.9818.9925.95
Gamma HHI0.430.340.540.440.37
Net GEX11.2K-92.8K140.8K75.8K-20.5K
Net DEX-750.1K-3.7M3.7M-2.8M3.7M
Net VEX-37.1K-40.2K-34.7K-35.7K-37.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.055.001.450.61
Total Volume451.667241,4003091,098
Total OI14,329.66712,58317,01312,58317,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$20.05$20.0020.1%5.8%15.3%2.7%20.1%24.2%5.7%75.8K-2.8M-35.7K1.4518.99N/AN/A1261836,0756,508
2010-04-05$20.39$20.0021.1%7.6%15.9%4.2%26.3%3.4%-0.5%76.4K-3.7M-35.2K0.1425.89N/AN/A72106,1676,691
2010-04-06$20.27$20.0022.1%7.5%16.2%5.7%26.0%4.3%-1.2%80.4K-3.7M-34.8K4.6732.98N/AN/A15706,2066,691
2010-04-07$20.12$20.0021.3%7.6%16.1%4.5%26.6%11.2%-0.7%80.1K-3.0M-35.0K0.7823.58N/AN/A80626,2216,741
2010-04-08$19.96$20.0019.9%7.6%15.8%2.4%26.5%11.9%-0.8%83.4K-2.5M-35.2K0.1818.33N/AN/A203366,2216,741
2010-04-09$20.00$20.0021.2%7.5%15.7%4.3%26.3%9.6%-1.2%84.3K-2.9M-35.3K1.5224.35N/AN/A21326,4446,798
2010-04-12$19.97$20.0021.3%7.6%15.7%4.6%26.4%8.5%-0.6%105.0K-2.9M-34.9K5.009.31N/AN/A4206,4646,828
2010-04-13$19.81$20.0020.3%7.7%15.8%3.0%0.0%8.0%-1.4%104.5K-2.2M-34.7K0.0824.38N/AN/A180156,4626,848
2010-04-14$19.97$20.0018.9%7.5%15.4%0.9%26.3%9.9%-1.1%140.8K-2.8M-34.7K0.5726.19N/AN/A2711556,5486,863
2010-04-15$19.76$20.0026.1%7.5%15.5%11.7%26.1%7.3%-1.9%105.4K-1.9M-35.1K4.3824.37N/AN/A2601,1406,6667,016
2010-04-16$19.15$20.0024.9%7.1%18.2%9.9%25.3%5.5%1.1%-68.7K902.4K-36.7K2.1221.75N/AN/A2525336,7888,037
2010-04-19$19.30$20.0026.5%7.6%17.3%12.4%26.9%5.2%-0.7%-92.8K852.7K-37.5K0.4819.36N/AN/A6763246,3957,547
2010-04-20$19.63$20.0025.5%7.3%18.0%10.9%25.5%-0.3%-0.9%-90.9K-920.8K-39.6K0.298.85N/AN/A3631066,8807,738
2010-04-21$19.64$20.0025.1%7.2%18.0%10.3%25.1%-2.7%-0.7%-77.7K-831.6K-40.0K0.5615.19N/AN/A107607,1157,794
2010-04-22$19.38$20.0026.6%7.6%18.6%12.8%26.6%7.6%-1.4%-67.2K123.8K-39.8K0.8823.24N/AN/A109967,2017,796
2010-04-23$19.21$20.0026.4%7.6%18.7%12.5%27.0%6.5%0.0%-69.5K497.9K-39.4K0.0523.28N/AN/A278147,2197,845
2010-04-26$19.22$20.0027.5%7.9%18.6%14.6%27.8%6.2%-2.4%-65.4K95.8K-39.3K2.1016.20N/AN/A2314857,3817,858
2010-04-27$18.61$20.0034.0%9.7%21.6%24.9%32.7%0.2%0.6%-70.3K2.3M-39.7K0.3918.74N/AN/A6332497,5418,235
2010-04-28$18.22$20.0034.8%10.0%22.6%26.2%34.4%1.3%-3.5%-51.7K3.5M-38.7K0.0726.29N/AN/A724498,0538,369
2010-04-29$18.52$20.0033.6%9.6%23.5%24.5%30.5%4.2%-2.9%-26.2K2.3M-40.2K0.1127.63N/AN/A129148,5118,408
2010-04-30$17.99$20.0034.3%9.8%23.8%25.6%34.9%-2.5%-2.3%-20.5K3.7M-37.6K0.6125.95N/AN/A6844148,5928,421