MFC Options History — December 2010

In December 2010, MFC traded between $14.35 and $17.18. ATM implied volatility averaged 34.8%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.2% (HV 20d: 34.6%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-12-08: Highest Volume — 2,925 contracts
  • 2010-12-14: Largest IV spike — 68.5% change
  • 2010-12-14: Highest IV Rank — 88.7%
  • 2010-12-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.35$14.35$17.18$14.35$17.18
Max Pain$14.77$14.00$15.00$14.00$15.00
ATM IV34.8%28.4%47.8%39.1%32.6%
Expected Move9.8%8.7%11.2%11.2%9.3%
HV 20d34.6%24.3%51.0%50.5%24.3%
HV 60d36.7%35.3%38.6%37.3%35.3%
IV Rank49.7%30.2%88.7%62.5%42.8%
IV Percentile43.0%21.0%96.8%65.5%29.4%
Term Structure2.5%-0.9%4.8%-0.6%3.9%
VWIV34.6%29.6%39.2%38.8%34.0%
Skew 25d3.2%-4.0%8.5%-4.0%4.9%
Skew 10d9.1%-11.5%23.2%-11.5%7.9%
Call IV 25d32.4%25.2%39.5%39.5%29.0%
Put IV 25d35.6%31.6%38.8%35.5%33.9%
Bid-Ask Spread %36.4916.2682.1216.2623.13
Gamma HHI0.270.160.530.400.16
Net GEX317.4K211.6K582.1K373.7K215.2K
Net DEX-21.6M-33.4M-8.5M-8.5M-17.9M
Net VEX-49.8K-70.7K-40.9K-70.7K-40.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.138.290.590.20
Total Volume634.318782,925487336
Total OI35,630.81823,07044,85443,38123,982

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$14.35$14.0039.1%11.2%50.5%62.5%38.8%-4.0%-0.6%373.7K-8.5M-70.7K0.5916.26N/AN/A30618125,12718,254
2010-12-02$14.81$14.0036.9%10.6%51.0%55.8%36.7%2.3%0.5%454.2K-13.9M-67.9K0.4328.77N/AN/A34114725,32318,336
2010-12-03$14.95$14.0035.2%10.1%37.6%50.6%35.3%0.7%0.9%501.7K-15.2M-67.7K0.1340.79N/AN/A2222925,40018,362
2010-12-06$15.17$14.0040.2%10.9%34.8%65.7%38.2%4.5%-0.9%521.9K-16.9M-65.3K2.3130.94N/AN/A25358425,44918,377
2010-12-07$15.19$14.0035.1%10.2%32.2%50.6%36.0%3.4%1.6%582.1K-18.9M-60.9K0.8533.15N/AN/A42636125,64718,156
2010-12-08$15.79$15.0039.4%11.0%34.6%63.5%37.0%1.0%0.9%450.4K-24.3M-58.7K0.9534.94N/AN/A1,5021,42325,68618,204
2010-12-09$15.83$15.0036.2%10.1%34.6%53.7%35.0%0.7%2.1%522.6K-25.8M-53.0K0.3528.06N/AN/A43615326,11717,575
2010-12-10$16.69$15.0042.2%11.1%39.0%71.7%39.2%7.9%0.8%357.1K-31.6M-46.7K0.6942.38N/AN/A1,11277025,98117,677
2010-12-13$16.66$15.0028.4%10.0%37.5%30.2%36.3%-0.2%3.9%253.5K-32.3M-44.8K0.3127.40N/AN/A51315826,44017,703
2010-12-14$16.53$15.0047.8%9.8%37.2%88.7%37.5%3.3%3.5%326.3K-31.5M-46.1K1.2038.24N/AN/A18321926,40817,761
2010-12-15$16.50$15.0035.5%10.2%36.6%51.6%35.5%1.8%2.0%232.3K-31.4M-45.3K0.4531.30N/AN/A2129526,41717,947
2010-12-16$16.88$15.0032.9%9.4%37.1%43.8%32.8%4.7%2.7%243.5K-33.3M-43.4K0.2527.85N/AN/A96024426,46717,933
2010-12-17$16.77$15.0032.0%9.2%36.8%41.1%33.3%0.6%2.3%212.9K-33.4M-43.8K0.7325.32N/AN/A62945727,11817,736
2010-12-20$16.83$15.0031.7%9.1%35.8%40.3%31.3%4.3%3.1%214.3K-16.7M-43.9K0.5636.45N/AN/A1548614,7698,301
2010-12-21$17.03$15.0030.9%8.9%33.4%37.8%31.6%4.5%4.8%223.1K-17.4M-42.8K0.7354.41N/AN/A1188614,9058,306
2010-12-22$17.15$15.0030.5%8.7%28.7%36.5%29.6%8.5%4.6%220.6K-17.8M-43.0K4.5337.02N/AN/A8639014,9418,374
2010-12-23$17.04$15.0030.6%8.8%29.2%36.9%31.5%3.5%3.4%211.6K-17.4M-43.2K0.3030.26N/AN/A601814,9348,688
2010-12-27$16.99$15.0032.3%9.3%29.1%42.1%33.4%4.0%3.2%216.7K-17.4M-41.3K0.5382.12N/AN/A1749214,9638,705
2010-12-28$17.08$15.0032.2%9.2%28.9%41.7%31.0%5.0%4.4%216.5K-17.4M-42.1K0.3036.53N/AN/A1675014,9708,724
2010-12-29$17.11$15.0032.8%9.4%26.6%43.5%32.6%5.0%2.6%216.7K-17.7M-41.9K8.2928.51N/AN/A1411615,0478,774
2010-12-30$17.10$15.0032.1%9.2%25.7%41.4%0.0%4.9%4.2%215.9K-17.5M-41.1K0.7068.85N/AN/A543815,0438,851
2010-12-31$17.18$15.0032.6%9.3%24.3%42.8%34.0%4.9%3.9%215.2K-17.9M-40.9K0.2023.13N/AN/A2805615,0938,889