MFC Options History — May 2011

In May 2011, MFC traded between $17.22 and $18.61. ATM implied volatility averaged 29.8%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.3% (HV 20d: 31.1%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2011-05-12: Highest Volume — 5,370 contracts
  • 2011-05-12: Largest IV spike — 23.2% change
  • 2011-05-04: Highest IV Rank — 40.9%
  • 2011-05-04: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.84$17.22$18.61$18.39$17.85
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV29.8%26.0%34.9%32.3%26.0%
Expected Move8.5%7.4%10.0%9.3%7.4%
HV 20d31.1%22.8%33.3%22.8%32.3%
HV 60d30.6%29.3%32.5%30.2%29.6%
IV Rank23.0%9.2%40.9%31.6%9.5%
IV Percentile16.0%2.0%38.9%27.0%2.0%
Term Structure1.1%-4.0%4.7%-1.3%1.1%
VWIV29.4%24.6%38.5%32.0%24.9%
Skew 25d5.2%-3.2%9.8%7.7%8.2%
Skew 10d11.9%-1.3%20.8%13.1%7.2%
Call IV 25d26.3%19.4%33.5%26.9%19.4%
Put IV 25d31.4%22.7%39.4%34.6%27.6%
Bid-Ask Spread %30.4815.9850.8827.4050.88
Gamma HHI0.410.190.880.360.25
Net GEX1.2M112.2K7.5M886.5K303.9K
Net DEX-10.2M-21.0M-2.9M-16.6M-6.4M
Net VEX-71.8K-78.2K-63.0K-77.7K-63.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.012.430.620.12
Total Volume801.476665,370326323
Total OI35,613.47631,08738,22934,85732,409

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$18.39$17.0032.3%9.3%22.8%31.6%32.0%7.7%-1.3%886.5K-16.6M-77.7K0.6227.40N/AN/A20112521,53213,325
2011-05-03$17.65$17.0033.7%9.7%27.2%36.7%31.7%-1.1%-1.5%743.9K-10.5M-76.0K0.1039.19N/AN/A1,12711021,57613,396
2011-05-04$17.51$17.0034.9%10.0%26.7%40.9%34.2%5.9%-4.0%704.4K-8.6M-76.0K0.8050.83N/AN/A37129821,75413,496
2011-05-05$17.22$17.0030.2%8.6%27.0%24.0%25.4%-3.2%-1.4%656.2K-6.0M-70.9K1.9837.24N/AN/A44187421,84713,652
2011-05-06$18.04$17.0029.0%8.3%31.9%20.1%29.2%5.8%1.4%1.0M-13.1M-78.1K0.1728.90N/AN/A1,66327722,12014,311
2011-05-09$18.45$17.0030.8%8.9%32.8%26.4%38.5%2.9%1.8%1.2M-18.5M-76.6K0.0136.47N/AN/A765723,20614,554
2011-05-10$18.61$17.0028.3%7.9%32.5%17.4%28.8%4.3%2.6%1.2M-21.0M-75.7K0.2836.17N/AN/A42711823,30014,561
2011-05-11$18.23$17.0026.0%7.8%32.4%9.2%27.6%3.5%4.7%1.4M-16.9M-76.7K0.3837.78N/AN/A1044023,51314,575
2011-05-12$18.29$17.0032.0%9.2%32.2%30.5%34.1%9.6%0.4%1.4M-16.2M-74.8K0.4122.77N/AN/A3,8141,55623,57214,610
2011-05-13$17.79$17.0028.7%8.2%33.3%18.8%28.0%3.4%3.9%1.1M-10.0M-78.2K1.3823.90N/AN/A537322,14815,905
2011-05-16$17.64$17.0028.0%8.0%32.9%16.4%31.3%3.8%2.9%1.1M-8.4M-76.3K2.4340.95N/AN/A379022,20115,956
2011-05-17$17.69$17.0029.7%8.5%32.0%22.3%29.5%4.7%2.4%1.3M-7.7M-73.9K1.1325.40N/AN/A313522,23615,984
2011-05-18$17.98$17.0029.8%8.6%31.2%22.9%28.5%4.7%2.7%1.9M-11.7M-72.5K1.8723.91N/AN/A6211622,26315,966
2011-05-19$18.15$17.0028.9%8.3%31.1%19.4%25.7%6.5%2.5%2.8M-15.2M-69.3K0.5823.80N/AN/A1669722,08615,948
2011-05-20$17.97$17.0027.8%8.0%31.2%16.1%28.2%2.7%2.2%7.5M-10.8M-69.9K0.4220.50N/AN/A35414922,19516,002
2011-05-23$17.43$17.0031.4%9.0%33.1%29.3%30.0%4.4%1.3%178.9K-3.6M-65.7K0.7924.77N/AN/A1007916,12615,303
2011-05-24$17.42$17.0030.3%8.7%32.6%25.6%27.4%9.8%0.7%170.7K-3.4M-65.1K0.0115.98N/AN/A1,1201016,15315,376
2011-05-25$17.38$17.0030.0%8.6%32.6%24.2%30.4%8.6%-0.1%116.3K-2.9M-63.7K0.1316.68N/AN/A2994015,70115,386
2011-05-26$17.38$17.0029.3%8.4%32.6%21.8%26.9%7.8%0.3%112.2K-3.0M-63.0K0.0523.21N/AN/A9034415,98515,421
2011-05-27$17.48$17.0028.7%8.2%32.5%19.5%24.6%8.5%0.4%199.6K-4.4M-65.1K2.2533.38N/AN/A10223016,78115,452
2011-05-31$17.85$17.0026.0%7.4%32.3%9.5%24.9%8.2%1.1%303.9K-6.4M-63.0K0.1250.88N/AN/A2893416,75415,655