MFC Options History — April 2011

In April 2011, MFC traded between $16.80 and $17.99. ATM implied volatility averaged 28.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.1% (HV 20d: 26.3%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-04-28: Highest Volume — 1,823 contracts
  • 2011-04-12: Largest IV spike — 24.9% change
  • 2011-04-29: Highest IV Rank — 34.2%
  • 2011-04-11: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.56$16.80$17.99$17.99$17.97
Max Pain$17.60$17.00$19.00$19.00$17.00
ATM IV28.4%23.4%33.0%25.7%33.0%
Expected Move8.7%7.4%9.9%7.4%9.5%
HV 20d26.3%20.7%33.7%33.7%22.0%
HV 60d31.2%30.5%32.1%30.5%30.7%
IV Rank22.7%9.9%34.2%20.9%34.2%
IV Percentile11.1%0.8%31.0%4.8%31.0%
Term Structure-0.4%-4.8%5.2%5.2%-2.4%
VWIV30.1%25.1%39.6%25.1%32.1%
Skew 25d5.9%3.4%10.7%10.7%3.4%
Skew 10d9.2%-0.2%15.8%11.3%14.9%
Call IV 25d27.4%17.9%30.4%17.9%30.3%
Put IV 25d33.3%28.5%35.3%28.5%33.8%
Bid-Ask Spread %33.6220.3768.4220.4732.80
Gamma HHI0.280.200.360.200.35
Net GEX431.7K81.0K849.8K117.9K821.3K
Net DEX-6.2M-12.2M1.1M-8.4M-12.2M
Net VEX-85.9K-98.7K-75.0K-98.7K-78.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.005.542.291.26
Total Volume461.95581,823303852
Total OI35,981.5532,66438,22236,58134,521

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$17.99$19.0025.7%7.4%33.7%20.9%25.1%10.7%5.2%117.9K-8.4M-98.7K2.2920.47N/AN/A9221120,07216,509
2011-04-04$17.97$17.0027.7%8.7%32.9%26.8%27.3%6.5%0.4%118.2K-8.2M-96.4K0.0226.49N/AN/A227420,10416,570
2011-04-05$17.67$17.0028.2%8.7%33.3%28.3%31.3%4.9%2.7%106.9K-5.3M-94.7K4.9730.56N/AN/A11557220,08016,574
2011-04-06$17.84$18.0027.8%8.9%33.3%27.3%30.9%5.6%0.5%81.0K-6.4M-95.2K0.2028.11N/AN/A91818820,17017,059
2011-04-07$17.73$18.0023.5%8.7%32.8%14.1%28.1%4.7%0.1%119.4K-6.3M-96.4K0.0030.45N/AN/A206121,06117,043
2011-04-08$17.67$18.0024.6%8.7%32.7%17.3%30.0%5.4%1.0%149.0K-5.7M-94.5K0.2233.29N/AN/A1363021,12917,044
2011-04-11$17.48$18.0023.4%9.9%30.4%13.7%30.0%5.3%-4.8%197.1K-2.7M-88.9K0.4730.96N/AN/A432021,08217,074
2011-04-12$17.11$18.0029.2%9.3%23.3%31.6%31.6%5.5%-1.9%308.6K1.1M-84.4K5.5432.44N/AN/A6536021,11317,074
2011-04-13$17.01$18.0026.2%9.6%23.5%9.9%30.0%5.3%-1.3%239.6K738.2K-83.5K0.6731.41N/AN/A18412321,02017,046
2011-04-14$17.39$18.0031.1%8.9%23.7%27.2%28.3%6.6%0.1%449.3K-764.2K-84.3K0.8141.05N/AN/A15212321,06017,080
2011-04-15$17.13$18.0030.8%8.8%23.3%26.4%29.6%5.4%-0.6%414.9K164.0K-81.7K2.3727.60N/AN/A4610921,10217,120
2011-04-18$16.80$18.0030.7%8.8%20.7%25.9%30.2%5.9%-0.2%351.6K-2.6M-75.0K0.7433.55N/AN/A26419620,20212,462
2011-04-19$17.24$18.0030.7%8.8%22.9%26.0%30.2%6.6%0.3%481.2K-4.9M-80.8K0.0754.15N/AN/A4283220,34412,518
2011-04-20$17.47$17.0030.0%8.6%23.3%23.4%26.4%5.1%-1.3%642.1K-8.2M-80.5K0.0568.42N/AN/A1,0595520,66812,550
2011-04-21$17.65$17.0027.3%7.8%23.4%14.0%26.4%5.1%-0.1%762.2K-10.1M-83.8K0.4126.79N/AN/A512121,58012,595
2011-04-25$17.59$17.0028.1%8.1%23.4%16.8%33.5%7.6%0.5%745.5K-9.4M-79.9K0.1222.38N/AN/A3293821,58312,615
2011-04-26$17.85$17.0029.5%8.5%23.0%21.7%31.0%4.9%-1.1%849.8K-12.2M-80.6K0.2320.37N/AN/A882021,90512,653
2011-04-27$17.80$17.0029.9%8.6%22.8%23.1%39.6%8.1%-2.8%833.6K-11.3M-80.1K1.2330.39N/AN/A263221,98412,649
2011-04-28$17.81$17.0030.5%8.7%21.8%25.2%30.1%5.8%-2.1%845.6K-11.3M-78.7K0.2450.65N/AN/A1,47634721,97012,646
2011-04-29$17.97$17.0033.0%9.5%22.0%34.2%32.1%3.4%-2.4%821.3K-12.2M-78.8K1.2632.80N/AN/A37747521,59512,926