MFC Options History — January 2011

In January 2011, MFC traded between $17.31 and $17.88. ATM implied volatility averaged 32.1%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 14.4% (HV 20d: 17.8%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2011-01-31: Highest Volume — 6,745 contracts
  • 2011-01-13: Largest IV spike — 21.9% change
  • 2011-01-31: Highest IV Rank — 57.9%
  • 2011-01-31: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$17.31$17.88$17.35$17.44
Max Pain$17.95$15.00$19.00$15.00$18.00
ATM IV32.1%27.1%37.6%31.9%37.6%
Expected Move9.6%8.8%10.8%9.2%10.8%
HV 20d17.8%14.0%25.6%24.3%19.0%
HV 60d34.6%33.6%35.4%35.0%34.2%
IV Rank41.5%26.5%57.9%41.0%57.9%
IV Percentile28.2%15.9%55.6%26.6%55.6%
Term Structure-0.7%-6.6%4.5%3.9%-6.6%
VWIV32.7%29.9%37.1%31.1%34.1%
Skew 25d3.6%0.0%10.4%6.5%3.0%
Skew 10d9.6%-4.5%16.2%14.7%2.7%
Call IV 25d31.1%21.8%34.6%26.3%34.2%
Put IV 25d34.7%30.4%37.3%32.9%37.2%
Bid-Ask Spread %31.1519.6359.1936.9923.61
Gamma HHI0.230.160.340.160.24
Net GEX249.6K175.9K472.4K205.4K434.4K
Net DEX-18.4M-22.3M-15.1M-18.5M-17.4M
Net VEX-52.2K-76.5K-37.2K-40.1K-73.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0311.330.270.32
Total Volume1,777.052006,7454526,745
Total OI31,229.2523,84043,29523,85740,696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$17.35$15.0031.9%9.2%24.3%41.0%31.1%6.5%3.9%205.4K-18.5M-40.1K0.2736.99N/AN/A3569614,9248,933
2011-01-04$17.31$16.0031.2%8.9%24.4%38.6%29.9%3.3%4.5%213.6K-18.0M-40.0K5.9334.11N/AN/A10059314,8678,973
2011-01-05$17.83$16.0034.2%9.8%25.6%47.8%32.7%10.4%3.2%183.5K-19.3M-39.2K0.8659.19N/AN/A62253514,9189,463
2011-01-06$17.75$16.0031.2%9.0%23.2%38.8%30.1%0.0%3.1%185.1K-19.9M-37.2K1.8137.22N/AN/A43278015,3129,941
2011-01-07$17.75$19.0028.5%9.8%23.3%30.7%33.7%2.8%0.5%175.9K-19.0M-40.7K0.2329.10N/AN/A46110615,61010,633
2011-01-10$17.58$19.0029.7%10.3%15.8%34.2%37.1%2.8%-0.3%205.3K-18.2M-41.7K0.4930.29N/AN/A44622015,97410,638
2011-01-11$17.69$19.0029.9%10.0%15.8%34.7%31.2%2.5%-0.1%198.3K-19.1M-42.2K0.3730.77N/AN/A2449116,19910,832
2011-01-12$17.72$19.0027.1%10.0%15.3%26.5%33.4%1.8%-1.0%200.8K-19.5M-40.7K0.3044.07N/AN/A1544616,29510,889
2011-01-13$17.55$19.0033.1%9.5%15.9%44.3%33.3%4.5%-1.6%212.7K-18.4M-40.5K0.4629.77N/AN/A3,6761,70116,36610,935
2011-01-14$17.74$18.0031.9%9.1%14.4%40.7%32.4%5.1%0.1%300.2K-20.7M-56.4K1.9929.60N/AN/A28757219,94112,521
2011-01-18$17.81$18.0032.9%9.4%14.0%43.8%32.8%4.1%-1.1%292.2K-20.8M-56.8K0.9024.63N/AN/A45240619,94313,034
2011-01-19$17.59$18.0033.9%9.7%15.0%46.9%33.9%3.4%-2.8%285.6K-19.3M-56.4K1.0928.63N/AN/A75482120,15513,139
2011-01-20$17.43$19.0034.0%9.7%15.1%47.1%34.1%2.6%-2.8%240.8K-17.0M-56.6K11.3328.43N/AN/A5461220,73613,866
2011-01-21$17.43$19.0034.6%9.9%15.0%48.9%33.1%3.4%-3.8%225.7K-17.0M-56.1K0.6826.27N/AN/A37725620,73513,981
2011-01-24$17.59$19.0032.6%9.4%15.0%43.1%33.9%3.8%-1.5%204.1K-15.1M-56.3K2.3319.63N/AN/A6991,62919,19413,573
2011-01-25$17.57$18.0034.1%9.8%14.9%47.3%33.0%2.9%-3.5%237.0K-15.2M-59.2K1.0624.99N/AN/A1,6821,78319,68814,389
2011-01-26$17.67$18.0030.7%8.8%14.9%37.2%30.1%3.1%-1.0%260.7K-16.2M-66.7K0.6429.52N/AN/A19512521,11315,871
2011-01-27$17.88$18.0031.8%9.1%15.4%40.5%31.4%3.8%-1.1%258.0K-17.8M-66.8K0.0325.48N/AN/A6,51916321,17815,835
2011-01-28$17.36$18.0031.5%9.0%19.0%39.6%32.5%2.0%-1.2%472.4K-22.3M-76.5K1.1630.69N/AN/A34840327,42415,871
2011-01-31$17.44$18.0037.6%10.8%19.0%57.9%34.1%3.0%-6.6%434.4K-17.4M-73.8K0.3223.61N/AN/A5,1281,61724,50816,188