MFC Options History — September 2010

In September 2010, MFC traded between $11.89 and $13.25. ATM implied volatility averaged 40.8%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 5.4% (HV 20d: 46.3%). Max pain ranged from $12.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-09-03: Highest Volume — 5,932 contracts
  • 2010-09-24: Largest IV drop — 11.6% change
  • 2010-09-23: Highest IV Rank — 61.5%
  • 2010-09-08: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.67$11.89$13.25$11.89$12.63
Max Pain$12.52$12.00$17.50$17.50$12.00
ATM IV40.8%38.0%43.9%40.0%39.5%
Expected Move11.8%11.0%12.7%11.5%11.3%
HV 20d46.3%37.7%61.4%61.4%37.7%
HV 60d48.6%47.3%50.1%47.3%48.7%
IV Rank54.2%47.2%61.5%52.1%50.8%
IV Percentile68.6%57.9%81.3%63.5%63.5%
Term Structure2.7%-1.5%5.6%5.6%3.7%
VWIV41.6%38.4%43.9%42.3%40.1%
Skew 25d3.1%-6.4%12.1%7.2%-3.5%
Skew 10d7.8%-12.4%27.1%5.9%-12.4%
Call IV 25d40.0%34.2%43.1%39.3%42.5%
Put IV 25d43.1%35.0%46.5%46.5%39.0%
Bid-Ask Spread %23.1113.7931.4420.8120.19
Gamma HHI0.490.270.640.280.49
Net GEX284.9K49.9K420.0K49.9K332.9K
Net DEX96.0K-5.9M7.1M7.1M-2.3M
Net VEX-79.5K-86.1K-66.4K-66.4K-77.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.052.440.480.44
Total Volume1,208.9524615,9321,586950
Total OI44,222.38137,51850,84041,61740,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$11.89$17.5040.0%11.5%61.4%52.1%42.3%7.2%5.6%49.9K7.1M-66.4K0.4820.81N/AN/A1,06951723,65617,961
2010-09-02$12.21$17.5038.4%11.0%47.9%48.4%38.9%12.1%4.6%76.0K6.2M-70.3K0.2813.79N/AN/A91325524,15618,185
2010-09-03$12.71$12.0038.0%11.7%50.3%47.2%42.3%3.2%1.0%123.4K3.4M-76.9K0.0522.35N/AN/A5,67026224,89518,342
2010-09-07$12.41$12.0040.3%12.5%50.1%52.8%42.6%4.1%0.4%241.0K3.6M-78.8K2.4419.59N/AN/A27867929,64618,494
2010-09-08$12.32$12.0041.9%12.7%49.7%56.7%42.5%3.4%-1.5%226.7K4.1M-79.5K0.4031.44N/AN/A38515529,62119,017
2010-09-09$12.58$12.0041.3%11.8%46.0%55.3%42.0%2.7%4.6%272.0K2.8M-80.5K0.3727.11N/AN/A37313829,77319,108
2010-09-10$12.99$12.0040.7%11.7%44.8%53.8%43.9%4.4%4.6%317.9K838.1K-84.4K0.5624.17N/AN/A91051229,80719,178
2010-09-13$13.25$12.0041.4%11.9%45.0%55.6%41.6%2.3%3.7%356.6K-1.3M-86.1K0.1722.84N/AN/A92515330,34619,575
2010-09-14$13.17$12.0041.8%12.0%45.2%56.5%41.5%1.5%4.0%360.0K-1.0M-86.1K0.1524.85N/AN/A5678630,82119,603
2010-09-15$12.89$12.0042.3%12.1%46.0%57.6%41.9%2.6%2.2%322.3K835.3K-83.4K1.4827.07N/AN/A56283430,84219,662
2010-09-16$12.85$12.0041.3%11.8%46.0%55.2%42.3%6.0%2.2%320.9K1.3M-83.0K0.4622.26N/AN/A49122430,95519,798
2010-09-17$12.67$12.0041.2%11.8%44.8%54.9%40.3%2.5%2.5%252.0K2.6M-80.0K0.9826.44N/AN/A63662530,98119,859
2010-09-20$13.12$12.0039.4%11.3%45.9%50.7%40.4%4.8%4.8%397.7K-5.8M-82.9K0.2824.77N/AN/A1,22033825,48712,031
2010-09-21$13.09$12.0039.3%11.3%45.9%50.5%39.8%6.6%1.4%420.0K-5.9M-83.1K0.8520.93N/AN/A75964525,83512,254
2010-09-22$12.43$12.0042.7%12.2%43.8%58.7%41.5%-6.4%3.3%305.5K-2.2M-77.3K1.8125.57N/AN/A38569626,45012,545
2010-09-23$12.34$12.0043.9%12.6%44.1%61.5%43.1%9.0%-0.2%271.0K-881.5K-75.7K1.0427.20N/AN/A25526626,37713,136
2010-09-24$12.78$12.0038.8%11.1%45.1%49.3%38.4%4.6%3.6%353.4K-3.5M-82.1K0.1823.55N/AN/A4548426,44113,329
2010-09-27$12.68$12.0042.7%12.2%44.3%58.6%42.8%1.6%0.5%347.4K-3.4M-79.9K0.5024.38N/AN/A30815326,73213,391
2010-09-28$12.58$12.0042.4%12.2%43.9%57.9%43.5%-1.8%0.5%322.8K-2.4M-79.2K1.2818.20N/AN/A46459526,85313,451
2010-09-29$12.54$12.0040.6%11.6%43.6%53.6%42.8%-1.2%4.4%312.4K-2.1M-77.2K0.3917.79N/AN/A42816926,73413,259
2010-09-30$12.63$12.0039.5%11.3%37.7%50.8%40.1%-3.5%3.7%332.9K-2.3M-77.2K0.4420.19N/AN/A66128926,69813,386