MFC Options History — May 2010

In May 2010, MFC traded between $15.40 and $18.62. ATM implied volatility averaged 39.8%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 5.5% (HV 20d: 34.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-05-11: Highest Volume — 1,334 contracts
  • 2010-05-20: Largest IV spike — 41.5% change
  • 2010-05-20: Highest IV Rank — 76.1%
  • 2010-05-20: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.08$15.40$18.62$18.12$16.69
Max Pain$19.63$17.50$20.00$20.00$17.50
ATM IV39.8%32.7%51.6%37.5%34.9%
Expected Move11.3%9.6%14.8%10.8%10.0%
HV 20d34.3%22.9%50.5%22.9%49.7%
HV 60d25.5%21.4%33.3%21.4%32.9%
IV Rank42.9%23.1%76.1%30.8%38.0%
IV Percentile51.1%30.2%86.9%42.9%38.5%
Term Structure-0.3%-6.2%11.6%-5.7%1.7%
VWIV37.1%30.1%47.0%37.5%34.8%
Skew 25d6.8%-4.9%15.6%-2.0%7.3%
Skew 10d12.2%-8.3%29.2%-3.8%13.3%
Call IV 25d35.0%29.6%43.0%37.6%32.9%
Put IV 25d41.8%28.3%55.7%35.6%40.3%
Bid-Ask Spread %24.9310.5068.7326.9123.69
Gamma HHI0.330.270.380.380.32
Net GEX-14.5K-34.5K10.9K-21.8K-16.4K
Net DEX4.8M2.0M7.5M3.5M2.8M
Net VEX-35.8K-43.3K-25.0K-41.2K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.064.781.420.06
Total Volume548871,33487540
Total OI18,402.6515,82420,01817,83916,902

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$18.12$20.0037.5%10.8%22.9%30.8%37.5%-2.0%-5.7%-21.8K3.5M-41.2K1.4226.91N/AN/A36519,1058,734
2010-05-04$17.57$20.0040.1%11.5%24.5%34.9%37.7%15.6%-6.2%-18.7K5.2M-37.6K0.4425.42N/AN/A7393289,1088,773
2010-05-05$17.20$20.0039.5%11.3%25.0%34.0%40.2%12.3%-4.6%-6.1K6.0M-36.7K0.9825.35N/AN/A3123079,6138,991
2010-05-06$17.27$20.0033.6%9.6%25.4%24.4%34.4%4.5%11.6%10.9K5.8M-39.6K0.4568.73N/AN/A4972249,7459,236
2010-05-07$17.30$20.0043.4%11.8%25.4%40.2%40.9%6.4%-1.1%-8.8K5.5M-40.3K0.2025.92N/AN/A418859,7709,367
2010-05-10$18.15$20.0038.7%10.3%32.1%32.7%36.0%7.3%2.9%5.6K3.5M-41.7K0.1722.17N/AN/A302509,9369,379
2010-05-11$18.27$20.0037.6%10.3%32.3%31.0%35.3%5.7%0.3%1.2K2.7M-42.7K0.3524.67N/AN/A9853499,9769,411
2010-05-12$18.62$20.0032.7%9.9%33.0%23.1%30.9%3.0%1.0%-9.5K2.0M-43.3K0.6016.15N/AN/A20912510,0879,585
2010-05-13$18.28$20.0035.7%10.2%33.4%27.9%32.9%-0.9%-0.1%-6553.3M-41.9K0.3318.03N/AN/A57118610,1169,678
2010-05-14$17.65$20.0035.1%10.1%33.8%36.6%35.0%-4.9%1.5%-10.5K5.6M-39.4K4.1019.60N/AN/A3112710,2169,802
2010-05-17$17.44$20.0035.1%10.1%33.6%37.1%36.4%4.2%0.7%-6.8K4.8M-37.1K0.2721.89N/AN/A37710010,2198,956
2010-05-18$17.12$20.0037.1%10.6%32.9%42.9%37.1%12.3%-1.5%-9.1K5.6M-35.6K4.7817.68N/AN/A4923410,3608,921
2010-05-19$16.87$20.0036.4%10.4%32.9%41.5%36.1%13.0%-0.3%-20.5K6.0M-33.0K0.0810.50N/AN/A2392010,3968,656
2010-05-20$15.74$20.0051.6%14.8%39.5%76.1%37.5%12.6%-4.1%-24.3K7.1M-29.9K0.8528.80N/AN/A14312210,5608,641
2010-05-21$15.80$20.0049.5%14.2%39.8%71.2%46.9%13.3%-3.3%-30.1K7.5M-28.5K0.6028.28N/AN/A22413510,6048,674
2010-05-24$15.82$20.0047.7%13.7%39.9%67.3%30.1%6.3%3.7%-28.3K5.4M-28.8K0.2220.03N/AN/A216478,6507,458
2010-05-25$15.40$20.0047.2%13.5%39.5%66.1%47.0%10.7%-2.4%-27.8K6.4M-25.0K2.4732.27N/AN/A2907178,6637,468
2010-05-26$15.53$17.5046.5%13.3%39.7%64.4%41.4%2.3%-1.0%-34.5K5.0M-27.0K0.8521.91N/AN/A5034288,7407,084
2010-05-27$16.86$17.5035.1%10.1%50.5%38.3%34.0%7.7%-0.2%-33.0K3.0M-33.8K0.1320.61N/AN/A572729,0717,402
2010-05-28$16.69$17.5034.9%10.0%49.7%38.0%34.8%7.3%1.7%-16.4K2.8M-33.7K0.0623.69N/AN/A510309,4777,425