MFC Options History — June 2010

In June 2010, MFC traded between $14.58 and $17.28. ATM implied volatility averaged 40.0%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 7.3% (HV 20d: 47.3%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2010-06-23: Highest Volume — 1,874 contracts
  • 2010-06-04: Largest IV spike — 41.3% change
  • 2010-06-07: Highest IV Rank — 74.0%
  • 2010-06-04: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.06$14.58$17.28$16.65$14.58
Max Pain$15.91$12.50$17.50$17.50$17.50
ATM IV40.0%27.5%50.6%35.9%39.1%
Expected Move11.3%7.9%14.2%10.3%11.2%
HV 20d47.3%33.7%54.4%49.6%38.4%
HV 60d36.1%32.8%38.7%32.8%38.7%
IV Rank50.2%21.0%74.0%40.1%50.1%
IV Percentile55.3%18.7%87.3%42.5%53.2%
Term Structure-0.6%-8.1%2.3%1.3%2.3%
VWIV36.2%19.3%50.1%36.0%39.2%
Skew 25d8.7%-2.9%18.1%8.4%16.0%
Skew 10d17.1%-2.2%31.3%14.1%24.3%
Call IV 25d33.0%22.5%40.0%34.9%36.5%
Put IV 25d41.7%30.1%52.5%43.3%52.5%
Bid-Ask Spread %21.9513.8829.5924.7726.89
Gamma HHI0.330.290.400.320.36
Net GEX21.4K-14.9K64.8K-12.1K-14.1K
Net DEX3.5M1.5M5.2M2.8M4.1M
Net VEX-27.4K-34.5K-21.6K-32.7K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0313.140.200.11
Total Volume568.3641051,874138770
Total OI16,085.22711,23218,44417,08413,956

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$16.65$17.5035.9%10.3%49.6%40.1%36.0%8.4%1.3%-12.1K2.8M-32.7K0.2024.77N/AN/A115239,6667,418
2010-06-02$17.16$17.5032.7%9.4%49.9%33.0%32.7%-1.1%2.0%-12.0K2.0M-33.6K0.1116.69N/AN/A95109,7567,428
2010-06-03$17.28$17.5035.4%10.2%49.4%39.1%35.4%-1.1%1.8%-1.1K1.5M-34.5K0.3915.03N/AN/A111439,8247,423
2010-06-04$16.23$12.5050.0%14.2%54.2%72.6%44.5%10.9%-8.1%-10.9K4.0M-30.5K1.4215.58N/AN/A861229,9247,460
2010-06-07$15.97$12.5050.6%13.6%54.4%74.0%42.8%8.8%-4.3%-14.9K4.6M-27.9K0.0522.74N/AN/A676379,9947,555
2010-06-08$16.03$12.5049.4%13.3%50.9%71.1%43.6%9.7%-2.0%8.0K4.6M-28.9K1.4322.03N/AN/A25836810,5417,578
2010-06-09$15.78$15.0049.8%13.4%50.8%72.0%40.0%10.2%-2.3%10.2K4.7M-27.8K0.0329.36N/AN/A150410,7497,679
2010-06-10$16.22$15.0044.8%12.8%51.5%60.6%37.7%10.6%-1.5%16.2K4.2M-28.9K0.4325.02N/AN/A75332210,7247,679
2010-06-11$16.05$15.0045.4%13.0%51.3%62.1%38.7%9.1%-1.9%4.2K4.8M-26.7K2.2722.97N/AN/A6214110,2807,774
2010-06-14$15.86$15.0045.9%13.1%50.2%63.0%50.1%11.7%-4.2%7.6K5.2M-25.5K0.9028.11N/AN/A1099810,3177,905
2010-06-15$16.39$15.0031.0%8.9%51.9%29.0%36.6%4.9%-2.6%38.7K4.7M-25.8K0.3029.59N/AN/A45013310,4057,942
2010-06-16$16.46$15.0034.4%9.9%51.7%36.8%36.2%6.3%-1.0%42.9K4.4M-26.8K1.8517.72N/AN/A8014810,5267,918
2010-06-17$16.24$15.0042.3%12.1%51.6%54.8%33.0%7.9%-3.8%53.7K4.8M-25.4K13.1424.41N/AN/A5167010,4567,920
2010-06-18$16.30$15.0032.3%9.2%45.1%31.9%33.5%5.2%1.1%61.9K3.4M-26.2K2.2121.92N/AN/A13128910,4727,164
2010-06-21$16.39$17.5027.5%7.9%45.1%21.0%36.9%7.9%2.3%64.8K1.7M-25.3K0.2623.46N/AN/A5721466,5304,702
2010-06-22$16.12$17.5038.5%11.0%45.6%46.1%29.3%6.5%2.3%53.1K1.7M-25.6K0.1427.34N/AN/A1,2031716,7654,826
2010-06-23$15.83$17.5038.4%11.0%45.0%47.4%19.3%18.1%1.9%42.2K2.1M-25.6K0.1220.82N/AN/A1,6791957,2564,986
2010-06-24$15.62$17.5038.6%11.1%45.2%48.8%28.7%17.7%0.7%51.6K2.2M-26.5K1.2013.88N/AN/A3374038,0725,123
2010-06-25$15.81$17.5037.0%10.6%33.7%45.0%0.0%14.0%2.2%50.2K2.2M-28.1K1.1520.06N/AN/A891028,1255,468
2010-06-28$15.68$17.5037.6%10.8%33.7%46.4%22.8%12.2%1.6%39.2K2.5M-27.0K0.3716.81N/AN/A166618,2045,568
2010-06-29$14.65$17.5043.5%12.5%40.8%60.7%43.5%-2.9%-1.9%-8.1K3.9M-22.5K0.0817.76N/AN/A996798,1945,623
2010-06-30$14.58$17.5039.1%11.2%38.4%50.1%39.2%16.0%2.3%-14.1K4.1M-21.6K0.1126.89N/AN/A693778,2795,677