MFC Options History — July 2010

In July 2010, MFC traded between $13.95 and $15.91. ATM implied volatility averaged 36.8%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 1.6% (HV 20d: 35.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2010-07-29: Highest Volume — 11,215 contracts
  • 2010-07-29: Largest IV spike — 29.4% change
  • 2010-07-30: Highest IV Rank — 67.3%
  • 2010-07-30: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.88$13.95$15.91$14.50$15.91
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.8%29.9%46.3%39.9%46.3%
Expected Move10.8%8.6%13.3%11.4%13.3%
HV 20d35.1%29.3%43.0%38.0%38.5%
HV 60d40.2%38.7%42.7%38.7%42.5%
IV Rank44.4%27.9%67.3%51.9%67.3%
IV Percentile48.7%24.6%86.1%55.2%86.1%
Term Structure-0.5%-6.5%4.4%1.9%-5.6%
VWIV37.8%33.5%46.2%39.3%46.2%
Skew 25d9.1%-2.8%22.1%11.9%22.1%
Skew 10d12.8%-3.2%24.0%18.3%11.2%
Call IV 25d32.8%22.6%39.9%38.2%22.6%
Put IV 25d41.8%31.5%50.2%50.2%44.7%
Bid-Ask Spread %22.9714.2731.3519.3416.07
Gamma HHI0.390.320.660.350.66
Net GEX-19.0K-292.6K55.1K-13.0K-292.6K
Net DEX3.7M736.9K5.0M4.2M4.3M
Net VEX-26.4K-45.9K-21.4K-21.4K-45.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0217.880.145.94
Total Volume1,100.7145611,2152,368687
Total OI15,894.61914,14624,50814,14624,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$14.50$15.0039.9%11.4%38.0%51.9%39.3%11.9%1.9%-13.0K4.2M-21.4K0.1419.34N/AN/A2,0822868,4665,680
2010-07-02$14.55$15.0036.6%10.5%32.4%43.9%0.0%-2.8%4.4%-12.6K3.9M-23.8K0.2020.52N/AN/A111228,5595,897
2010-07-06$14.71$15.0038.8%12.0%32.7%49.2%42.0%7.4%-1.2%-17.4K3.9M-22.9K0.9524.29N/AN/A37358,4895,907
2010-07-07$14.94$15.0037.6%11.4%33.3%46.3%38.3%9.1%-0.9%-16.0K3.5M-24.4K0.9824.12N/AN/A81798,5005,937
2010-07-08$15.13$15.0035.4%11.5%33.5%41.0%40.0%7.3%-1.9%-18.6K3.5M-24.6K0.0826.20N/AN/A122108,5445,980
2010-07-09$15.31$15.0034.0%11.0%32.1%37.8%38.2%10.1%-0.3%-16.8K3.2M-25.0K3.0024.78N/AN/A14428,5295,990
2010-07-12$15.16$15.0036.2%11.1%32.0%43.1%0.0%8.3%-1.3%-25.1K3.4M-23.9K2.6124.84N/AN/A28738,5405,988
2010-07-13$15.22$15.0037.2%10.6%31.9%45.5%37.0%6.0%0.1%-26.8K3.2M-23.9K0.0531.35N/AN/A1,061578,5386,028
2010-07-14$15.02$15.0036.6%10.9%29.3%44.1%38.0%14.7%-0.8%-22.6K3.2M-24.6K7.3023.69N/AN/A1611,1759,2486,073
2010-07-15$15.09$15.0036.5%10.5%29.4%43.7%36.1%14.8%-0.5%-78.1K3.8M-27.8K0.1624.77N/AN/A8671389,3747,162
2010-07-16$14.49$15.0037.3%10.7%31.9%45.7%37.3%12.0%0.4%24.2K4.8M-25.4K0.0426.76N/AN/A1,2404710,0967,153
2010-07-19$14.02$15.0035.5%10.2%33.1%41.4%35.0%8.7%1.5%-8.4K4.9M-22.8K0.9618.83N/AN/A1181138,9076,444
2010-07-20$14.37$15.0035.0%10.0%34.8%40.2%35.0%10.9%0.3%-10.2K4.7M-23.9K0.4628.69N/AN/A130608,9836,516
2010-07-21$13.95$15.0029.9%8.6%35.6%27.9%37.8%8.1%2.8%-8.6K5.0M-22.4K0.8527.96N/AN/A2802379,0836,516
2010-07-22$14.68$15.0035.1%10.1%40.9%40.4%35.1%10.3%-1.2%-6624.3M-26.2K0.0225.16N/AN/A679129,2996,722
2010-07-23$14.55$15.0035.6%10.2%40.7%41.5%35.6%8.6%-1.6%13.5K4.1M-26.8K0.1524.29N/AN/A524799,7716,722
2010-07-26$14.66$15.0035.0%10.0%40.5%40.3%35.1%8.8%-0.1%12.2K3.9M-26.3K0.0517.53N/AN/A218109,5096,780
2010-07-27$15.22$15.0033.6%9.6%43.0%36.6%33.5%5.1%0.2%35.6K2.5M-29.5K0.1416.69N/AN/A629899,6876,790
2010-07-28$15.11$15.0034.8%10.0%35.3%39.5%34.8%3.2%-1.1%27.2K2.9M-28.6K2.3814.27N/AN/A791889,6036,801
2010-07-29$15.83$15.0045.0%12.9%38.6%64.1%44.7%5.4%-6.5%55.1K736.9K-33.9K17.8822.34N/AN/A59410,6219,5436,925
2010-07-30$15.91$15.0046.3%13.3%38.5%67.3%46.2%22.1%-5.6%-292.6K4.3M-45.9K5.9416.07N/AN/A995889,66014,848