MFC Options History — October 2010

In October 2010, MFC traded between $12.23 and $12.76. ATM implied volatility averaged 38.9%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 10.5% (HV 20d: 28.4%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2010-10-26: Highest Volume — 1,171 contracts
  • 2010-10-14: Largest IV spike — 40.9% change
  • 2010-10-14: Highest IV Rank — 63.4%
  • 2010-10-07: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.50$12.23$12.76$12.57$12.70
Max Pain$12.57$12.00$13.00$12.00$12.00
ATM IV38.9%31.7%44.7%37.2%38.5%
Expected Move11.9%10.5%13.0%10.7%11.0%
HV 20d28.4%22.6%36.7%36.7%24.5%
HV 60d46.5%37.4%48.8%48.6%37.4%
IV Rank49.6%32.2%63.4%45.3%48.6%
IV Percentile62.8%29.8%86.1%55.2%63.1%
Term Structure-0.2%-2.9%5.7%5.7%1.9%
VWIV40.7%34.8%46.6%34.8%40.8%
Skew 25d4.7%2.2%8.9%2.8%6.0%
Skew 10d12.6%-3.7%23.1%8.6%14.4%
Call IV 25d39.2%33.3%42.4%33.3%36.7%
Put IV 25d44.0%36.2%47.3%36.2%42.8%
Bid-Ask Spread %28.8818.9746.9518.9728.70
Gamma HHI0.350.300.470.470.31
Net GEX206.3K140.8K332.2K310.7K202.4K
Net DEX-269.1K-2.0M1.4M-2.0M-186.5K
Net VEX-68.0K-76.7K-63.2K-76.7K-64.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.052.070.230.32
Total Volume473.191121,171284574
Total OI39,38135,34743,17040,66537,624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$12.57$12.0037.2%10.7%36.7%45.3%34.8%2.8%5.7%310.7K-2.0M-76.7K0.2318.97N/AN/A2305427,03913,626
2010-10-04$12.48$13.0041.2%12.5%33.8%55.0%0.0%3.9%-0.5%288.1K-1.1M-73.2K0.3824.70N/AN/A2198327,24113,675
2010-10-05$12.73$13.0035.5%12.1%33.4%41.4%41.0%8.9%0.4%332.2K-2.0M-74.7K0.0525.79N/AN/A5703027,18113,716
2010-10-06$12.58$13.0033.3%12.3%33.6%36.1%42.3%3.4%1.0%273.6K-1.2M-71.5K0.8825.86N/AN/A32829027,47113,726
2010-10-07$12.38$13.0035.9%13.0%33.3%42.2%43.1%4.8%-1.8%220.8K-41.4K-69.7K0.1419.59N/AN/A82111427,68813,822
2010-10-08$12.29$13.0036.6%12.6%31.0%43.9%42.7%6.5%-1.8%220.5K329.2K-68.6K0.2421.81N/AN/A2415728,35213,889
2010-10-11$12.37$13.0044.3%12.7%30.0%62.4%41.9%5.0%-2.1%236.5K-505.6K-68.2K2.0027.18N/AN/A19939828,36413,928
2010-10-12$12.32$13.0037.2%12.5%30.0%45.5%46.6%4.5%-2.4%184.7K345.0K-68.1K1.1026.49N/AN/A10912028,45014,321
2010-10-13$12.40$13.0031.7%12.0%29.4%32.2%41.8%3.4%-0.3%177.1K-422.2K-68.0K0.4326.25N/AN/A27911928,45914,410
2010-10-14$12.33$13.0044.7%12.8%29.4%63.4%41.8%5.7%-1.9%150.3K225.2K-67.6K1.0126.84N/AN/A15415528,47914,483
2010-10-15$12.28$13.0043.0%12.3%29.1%59.5%40.3%6.8%-2.9%140.8K577.3K-66.4K0.1625.74N/AN/A2043228,56014,610
2010-10-18$12.52$13.0040.6%11.6%27.0%53.5%41.0%2.2%0.2%159.3K257.3K-66.5K0.3127.32N/AN/A78624521,96113,386
2010-10-19$12.23$12.0042.2%12.1%28.0%57.5%43.7%3.4%-1.8%141.0K1.4M-63.2K1.4131.24N/AN/A24134022,34913,449
2010-10-20$12.71$12.0039.7%11.4%25.5%51.4%39.9%5.1%1.3%187.5K-921.8K-68.6K0.5740.65N/AN/A41623922,38613,630
2010-10-21$12.62$12.0038.6%11.1%25.5%48.8%37.0%7.7%1.8%172.9K-126.0K-67.3K0.6531.83N/AN/A24816222,59713,613
2010-10-22$12.46$12.0041.8%12.0%22.6%56.5%38.4%4.1%-2.5%169.4K443.7K-64.2K0.5732.02N/AN/A754322,76213,704
2010-10-25$12.58$12.0038.3%11.0%22.7%48.1%39.0%3.2%1.8%180.5K-73.3K-64.7K1.5546.95N/AN/A6510122,79713,746
2010-10-26$12.76$12.0040.4%11.6%23.1%53.0%40.4%3.8%0.1%199.6K-1.1M-66.5K0.4037.17N/AN/A83433722,83713,802
2010-10-27$12.53$13.0040.2%11.5%24.1%52.6%41.0%4.1%-2.3%179.9K640.8K-63.3K2.0731.44N/AN/A10221123,34813,978
2010-10-28$12.72$12.0036.6%10.5%24.5%43.9%36.7%3.6%2.6%204.8K-192.8K-65.0K1.6730.04N/AN/A427023,35314,189
2010-10-29$12.70$12.0038.5%11.0%24.5%48.6%40.8%6.0%1.9%202.4K-186.5K-64.9K0.3228.70N/AN/A43513923,38514,239