MFC Options History — August 2010

In August 2010, MFC traded between $11.05 and $16.27. ATM implied volatility averaged 43.5%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 13.4% (HV 20d: 57.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-08-05: Highest Volume — 11,351 contracts
  • 2010-08-10: Largest IV spike — 53.5% change
  • 2010-08-04: Highest IV Rank — 76.4%
  • 2010-08-04: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.70$11.05$16.27$16.27$11.14
Max Pain$17.05$15.00$17.50$15.00$17.50
ATM IV43.5%26.1%50.1%35.3%44.3%
Expected Move12.6%10.1%14.4%10.1%12.7%
HV 20d57.0%39.0%64.7%39.0%54.2%
HV 60d47.0%42.1%50.2%42.8%45.0%
IV Rank60.7%18.7%76.4%40.9%62.4%
IV Percentile77.7%14.7%93.7%46.0%82.5%
Term Structure-0.4%-10.0%4.3%-3.0%2.1%
VWIV44.5%37.2%50.2%42.5%42.8%
Skew 25d6.7%-6.1%25.2%9.3%4.8%
Skew 10d10.9%-10.6%23.9%8.7%3.2%
Call IV 25d40.4%23.9%47.4%36.9%45.1%
Put IV 25d47.2%35.8%52.1%46.2%49.9%
Bid-Ask Spread %17.558.9724.8217.0013.44
Gamma HHI0.410.220.770.640.28
Net GEX-101.3K-354.5K31.9K-300.1K22.4K
Net DEX11.2M3.0M16.6M3.0M9.5M
Net VEX-49.2K-62.5K-33.1K-44.9K-57.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.155.090.710.55
Total Volume2,092.04524611,351909912
Total OI34,810.40925,00842,73325,00840,858

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$16.27$15.0035.3%10.1%39.0%40.9%42.5%9.3%-3.0%-300.1K3.0M-44.9K0.7117.00N/AN/A5323779,67915,329
2010-08-03$15.73$15.0046.2%13.2%41.3%67.0%46.1%15.8%-7.7%-354.5K5.0M-45.8K0.6115.75N/AN/A155959,86515,390
2010-08-04$15.76$15.0050.1%14.4%41.1%76.4%50.2%25.2%-10.0%-325.2K4.9M-44.0K0.178.97N/AN/A1,1702009,87315,419
2010-08-05$13.95$15.0042.7%12.2%60.1%58.7%43.8%9.9%-1.0%-305.6K13.4M-34.1K5.0919.20N/AN/A1,8649,48710,46515,497
2010-08-06$13.66$17.5047.7%12.9%60.1%70.7%42.9%5.7%-3.8%-236.4K13.3M-39.1K1.0911.75N/AN/A1,1391,23611,52216,220
2010-08-09$13.91$17.5026.1%10.5%60.7%18.7%37.6%7.2%-0.3%-230.4K12.5M-44.7K1.6313.39N/AN/A46976513,38016,992
2010-08-10$13.60$17.5040.1%11.6%60.9%52.3%38.4%5.8%-0.5%-242.5K14.3M-41.2K0.3117.52N/AN/A1885812,68817,542
2010-08-11$12.81$17.5045.1%12.1%63.9%64.5%42.4%-6.1%-1.3%-146.8K16.1M-33.5K0.3419.78N/AN/A1,77760512,61517,550
2010-08-12$12.29$17.5043.9%12.6%64.7%61.5%49.3%6.9%-1.9%-109.3K16.6M-33.1K1.4023.35N/AN/A1,4051,96713,41318,013
2010-08-13$12.19$17.5042.0%12.0%63.7%56.9%37.2%4.9%-1.0%-100.2K16.4M-37.8K0.3018.37N/AN/A4,0711,20814,63819,714
2010-08-16$12.20$17.5042.8%12.3%63.2%58.8%44.8%8.3%1.0%-38.9K15.4M-48.8K0.1924.82N/AN/A3,91173418,18820,406
2010-08-17$12.30$17.5044.0%12.6%62.3%61.9%44.7%5.1%0.2%18.4K13.3M-62.5K0.4319.65N/AN/A65428321,90120,832
2010-08-18$12.24$17.5042.9%12.3%61.8%59.0%41.9%7.7%1.1%31.9K11.0M-62.3K0.4421.92N/AN/A57125022,38718,901
2010-08-19$11.87$17.5042.9%12.3%58.4%59.0%47.6%4.2%-0.3%11.2K11.9M-59.0K0.4822.91N/AN/A89643322,85218,916
2010-08-20$11.77$17.5042.7%12.2%58.4%58.7%44.6%10.8%2.5%2.8K12.0M-58.2K0.5011.84N/AN/A42421023,09019,063
2010-08-23$11.78$17.5043.3%12.4%58.2%60.2%42.7%4.4%2.6%2.3K9.3M-58.0K1.6311.92N/AN/A11418620,18016,742
2010-08-24$11.06$17.5047.7%13.7%58.0%70.6%46.6%2.2%0.9%-6.9K10.6M-50.1K0.2912.80N/AN/A2,48871420,27016,800
2010-08-25$11.09$17.5047.5%13.6%58.3%70.1%47.1%6.0%3.9%15.3K10.1M-53.9K3.3917.10N/AN/A4501,52722,12016,857
2010-08-26$11.05$17.5048.6%13.9%53.8%72.8%48.6%2.5%1.3%14.2K9.6M-55.4K0.1520.05N/AN/A71710822,31117,370
2010-08-27$11.43$17.5045.2%13.0%56.4%64.8%50.0%3.4%2.0%27.4K9.0M-59.8K0.6622.73N/AN/A30320022,53017,410
2010-08-30$11.25$17.5046.8%13.4%54.5%68.6%46.9%4.3%4.3%22.2K9.0M-58.4K0.5921.91N/AN/A73843422,51717,524
2010-08-31$11.14$17.5044.3%12.7%54.2%62.4%42.8%4.8%2.1%22.4K9.5M-57.5K0.5513.44N/AN/A58732523,12717,731