MFC Options History — February 2011

In February 2011, MFC traded between $18.06 and $19.35. ATM implied volatility averaged 33.1%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.8% (HV 20d: 30.3%). Max pain ranged from $14.00 to $18.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2011-02-17: Highest Volume — 64,635 contracts
  • 2011-02-10: Largest IV drop — 30.4% change
  • 2011-02-09: Highest IV Rank — 76.3%
  • 2011-02-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.72$18.06$19.35$18.08$18.89
Max Pain$14.95$14.00$18.00$18.00$15.00
ATM IV33.1%26.6%43.7%34.3%30.2%
Expected Move9.0%7.6%11.3%9.8%8.6%
HV 20d30.3%22.6%38.3%22.6%36.3%
HV 60d28.1%26.6%29.0%28.7%27.9%
IV Rank44.4%24.9%76.3%48.1%35.6%
IV Percentile35.7%15.5%87.7%37.3%20.2%
Term Structure-0.0%-8.1%4.1%-6.8%0.2%
VWIV31.7%27.2%39.3%30.6%30.7%
Skew 25d3.9%0.6%9.7%6.9%1.6%
Skew 10d12.1%1.5%24.4%24.4%4.2%
Call IV 25d29.2%21.3%38.7%29.9%29.0%
Put IV 25d33.0%28.4%39.3%36.8%30.5%
Bid-Ask Spread %25.9414.7148.1332.1325.47
Gamma HHI0.240.180.380.230.20
Net GEX422.3K-159.3K646.3K494.5K332.7K
Net DEX-28.8M-39.9M-18.2M-24.8M-24.0M
Net VEX-87.4K-92.2K-83.2K-91.2K-84.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.002.510.312.40
Total Volume4,724.84214664,635761146
Total OI45,652.42138,13051,86644,77739,558

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$18.08$18.0034.3%9.8%22.6%48.1%30.6%6.9%-6.8%494.5K-24.8M-91.2K0.3132.13N/AN/A58217927,37917,398
2011-02-02$18.11$18.0035.3%10.1%22.6%50.9%35.2%5.5%-4.5%502.6K-25.6M-92.2K0.8829.68N/AN/A44939527,53617,428
2011-02-03$18.78$18.0039.3%11.3%23.7%63.0%39.3%0.6%-8.1%472.4K-31.4M-87.2K0.3534.77N/AN/A89331027,93417,812
2011-02-04$19.08$14.0035.6%8.9%24.0%52.0%31.4%4.8%1.0%458.3K-35.1M-87.8K0.1826.97N/AN/A5369928,44017,951
2011-02-07$19.34$14.0041.2%9.4%24.2%68.9%33.0%4.3%-0.3%426.9K-37.5M-85.0K0.5020.52N/AN/A1,10355228,62417,965
2011-02-08$19.27$14.0039.9%9.2%23.9%64.8%32.0%2.7%-0.9%477.8K-36.9M-85.7K1.0224.73N/AN/A1,3821,40829,40918,467
2011-02-09$18.97$14.0043.7%9.4%24.9%76.3%36.1%4.0%0.4%509.0K-34.4M-90.6K1.3825.18N/AN/A1,7772,44630,03619,003
2011-02-10$18.06$14.0030.4%8.7%31.2%36.4%30.1%3.1%2.4%646.3K-24.4M-84.6K0.5829.60N/AN/A1,9251,11730,46918,017
2011-02-11$18.17$14.0031.2%8.9%31.0%38.7%32.2%4.0%-0.5%636.3K-26.0M-89.2K1.0220.99N/AN/A1,0251,04330,84118,735
2011-02-14$18.43$14.0029.0%8.3%31.1%32.0%29.3%2.5%3.1%618.8K-28.2M-90.6K0.9517.28N/AN/A34833031,33719,528
2011-02-15$18.89$14.0028.2%8.1%32.1%29.6%27.7%5.8%2.3%434.0K-33.4M-88.6K1.7220.68N/AN/A7051,21331,43819,824
2011-02-16$19.35$14.0028.9%8.3%32.4%31.8%29.2%1.3%1.8%479.2K-39.9M-84.1K0.2621.33N/AN/A69918331,61419,988
2011-02-17$19.27$14.0027.6%7.9%32.2%28.0%28.8%1.6%3.0%462.5K-39.4M-83.8K0.0021.05N/AN/A64,44618931,84820,018
2011-02-18$19.18$15.0026.6%7.6%32.3%24.9%27.2%3.0%3.6%-159.3K-23.6M-83.2K1.7148.13N/AN/A38766223,47020,134
2011-02-22$18.30$15.0031.0%8.9%37.1%38.0%32.3%1.8%4.1%312.1K-20.2M-87.4K0.6625.07N/AN/A60940421,32916,801
2011-02-23$18.13$15.0034.4%9.9%37.3%48.3%33.6%6.9%-1.8%291.1K-18.2M-89.6K1.4419.78N/AN/A59986221,54217,085
2011-02-24$18.60$15.0031.4%9.0%38.3%39.3%32.7%9.7%0.6%312.7K-22.3M-88.0K2.5134.76N/AN/A17443721,75217,215
2011-02-25$18.73$15.0030.4%8.7%38.2%36.3%30.7%3.7%-0.3%315.6K-22.8M-86.8K0.1614.71N/AN/A1362221,85517,616
2011-02-28$18.89$15.0030.2%8.6%36.3%35.6%30.7%1.6%0.2%332.7K-24.0M-84.9K2.4025.47N/AN/A4310321,94917,609