MFC Options History — November 2010

In November 2010, MFC traded between $12.51 and $15.35. ATM implied volatility averaged 40.1%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 3.1% (HV 20d: 43.2%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2010-11-11: Highest Volume — 13,935 contracts
  • 2010-11-29: Largest IV spike — 9.3% change
  • 2010-11-29: Highest IV Rank — 72.6%
  • 2010-11-04: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.42$12.51$15.35$12.56$13.91
Max Pain$13.81$13.00$14.00$13.00$14.00
ATM IV40.1%37.6%44.6%40.7%40.4%
Expected Move11.4%10.7%12.8%11.7%11.6%
HV 20d43.2%23.6%49.8%24.7%49.8%
HV 60d39.4%37.0%41.1%37.2%37.1%
IV Rank63.4%53.9%72.6%53.9%66.5%
IV Percentile71.1%60.3%88.9%73.4%73.4%
Term Structure-0.9%-5.2%2.3%-1.6%-0.8%
VWIV40.0%35.7%51.2%42.9%41.8%
Skew 25d2.4%-4.1%7.2%-4.1%-1.1%
Skew 10d5.3%-14.9%22.3%-14.9%-4.9%
Call IV 25d38.1%33.9%43.4%41.2%43.4%
Put IV 25d40.5%35.2%45.0%37.0%42.3%
Bid-Ask Spread %26.7410.0055.9426.2911.45
Gamma HHI0.350.290.400.300.32
Net GEX366.7K173.5K468.5K184.0K258.6K
Net DEX-11.3M-20.8M919.1K428.3K-4.7M
Net VEX-72.3K-77.6K-62.2K-62.8K-70.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.026.330.680.75
Total Volume1,836.9529013,935229406
Total OI40,846.09537,85043,28137,85043,259

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$12.56$13.0040.7%11.7%24.7%53.9%42.9%-4.1%-1.6%184.0K428.3K-62.8K0.6826.29N/AN/A1369323,51814,332
2010-11-02$12.51$13.0041.0%11.8%23.6%57.3%40.9%-3.8%-2.2%173.5K919.1K-62.2K4.2853.87N/AN/A16671023,53614,410
2010-11-03$12.79$13.0043.3%12.4%24.6%64.3%42.6%0.7%-3.0%202.3K-82.5K-66.0K0.3327.46N/AN/A70623123,62315,085
2010-11-04$14.13$13.0044.6%12.8%42.1%68.9%51.2%5.1%-5.2%365.9K-9.8M-74.7K0.3655.94N/AN/A2,8671,02724,03815,133
2010-11-05$14.76$14.0042.3%10.7%43.7%72.1%37.7%2.4%-0.5%369.6K-14.9M-76.6K0.1028.20N/AN/A5,17751824,32815,704
2010-11-08$15.31$14.0039.0%11.1%44.8%62.2%39.8%4.7%-1.3%439.3K-20.8M-76.3K0.3732.71N/AN/A1,02837826,35515,593
2010-11-09$15.11$14.0039.6%11.2%45.3%64.0%38.0%2.4%-0.1%466.3K-19.4M-77.2K0.1330.92N/AN/A1,21216026,63115,775
2010-11-10$15.13$14.0040.1%11.1%45.4%65.6%39.2%4.1%-1.2%465.8K-19.4M-77.6K0.6223.56N/AN/A35522126,78615,883
2010-11-11$15.10$14.0038.7%11.1%45.2%61.4%38.5%2.1%-1.7%468.5K-18.6M-77.6K0.0222.61N/AN/A13,72521026,73916,091
2010-11-12$14.73$14.0039.2%11.2%46.7%62.8%39.4%3.4%-0.2%397.9K-12.8M-76.0K2.3920.60N/AN/A11527523,97816,208
2010-11-15$15.08$14.0041.4%11.9%46.8%69.4%41.6%6.3%-2.4%386.2K-15.6M-75.3K0.4727.05N/AN/A44020524,05316,386
2010-11-16$14.87$14.0039.5%11.3%46.0%63.8%40.2%5.5%-0.6%419.7K-13.7M-74.5K0.7524.91N/AN/A13810324,19816,418
2010-11-17$14.99$14.0039.4%11.3%44.8%63.5%39.7%7.2%-0.7%427.2K-14.6M-73.7K0.3319.65N/AN/A1715624,15316,353
2010-11-18$15.35$14.0037.7%10.8%44.7%58.4%37.7%2.6%1.2%419.8K-17.9M-71.4K0.2727.30N/AN/A99626524,15016,355
2010-11-19$15.08$14.0037.6%10.8%45.1%58.0%35.7%4.9%2.3%466.6K-15.5M-70.4K0.6118.69N/AN/A26916524,25516,355
2010-11-22$14.64$14.0040.6%11.6%47.2%67.0%39.6%-3.5%1.1%446.1K-11.7M-66.4K1.0855.56N/AN/A72378423,96115,157
2010-11-23$14.09$14.0038.0%10.9%49.8%59.1%38.0%-0.4%0.3%399.6K-7.6M-69.4K6.3317.72N/AN/A4783,02624,28415,733
2010-11-24$14.30$14.0037.9%10.9%49.1%58.7%40.0%2.9%0.1%314.3K-7.6M-74.2K3.5010.00N/AN/A207024,62318,278
2010-11-26$14.25$14.0038.9%11.1%49.2%61.8%38.1%3.4%-0.2%315.9K-7.4M-72.8K0.4112.63N/AN/A45218424,64018,130
2010-11-29$14.22$14.0042.5%12.2%49.2%72.6%37.4%5.5%-2.7%312.8K-6.9M-71.3K2.3214.40N/AN/A9522025,01118,270
2010-11-30$13.91$14.0040.4%11.6%49.8%66.5%41.8%-1.1%-0.8%258.6K-4.7M-70.9K0.7511.45N/AN/A23217425,05118,208