MFC Options History — June 2011

In June 2011, MFC traded between $15.91 and $17.66. ATM implied volatility averaged 30.6%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.2% (HV 20d: 30.8%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2011-06-21: Highest Volume — 1,802 contracts
  • 2011-06-09: Largest IV drop — 16.3% change
  • 2011-06-08: Highest IV Rank — 42.3%
  • 2011-06-07: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.54$15.91$17.66$16.92$17.66
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV30.6%22.6%34.7%29.8%22.6%
Expected Move8.7%6.5%9.8%8.6%6.5%
HV 20d30.8%27.2%34.6%34.6%31.5%
HV 60d29.5%28.0%31.2%31.2%30.6%
IV Rank26.9%0.0%42.3%23.7%0.0%
IV Percentile25.5%0.0%46.4%17.5%0.0%
Term Structure2.3%-1.4%9.8%3.7%9.8%
VWIV30.3%25.3%36.2%33.7%26.1%
Skew 25d5.1%1.8%11.9%5.3%5.3%
Skew 10d10.4%-1.9%25.0%3.5%5.5%
Call IV 25d28.0%17.8%32.2%28.4%20.1%
Put IV 25d33.2%25.4%37.4%33.7%25.4%
Bid-Ask Spread %40.2622.3279.4235.9953.96
Gamma HHI0.190.140.430.160.19
Net GEX-20.0K-206.7K132.9K57.3K132.9K
Net DEX818.7K-5.6M4.8M-1.1M-5.6M
Net VEX-53.8K-62.7K-47.9K-62.4K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0210.730.770.06
Total Volume473.727181,802881760
Total OI27,265.59117,72133,07332,64320,425

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$16.92$17.0029.8%8.6%34.6%23.7%33.7%5.3%3.7%57.3K-1.1M-62.4K0.7735.99N/AN/A49738416,97315,670
2011-06-02$17.02$17.0030.8%8.8%34.6%27.1%36.2%5.9%-0.7%41.5K-1.1M-62.7K3.4322.84N/AN/A16255517,01315,879
2011-06-03$16.78$17.0029.5%8.4%34.5%22.4%33.1%4.0%1.5%-42.0K726.4K-62.4K0.5664.70N/AN/A21411916,94616,127
2011-06-06$16.55$17.0031.5%9.1%29.7%29.9%32.5%2.0%0.5%-100.5K2.3M-58.0K10.6423.38N/AN/A1061,12817,03115,708
2011-06-07$16.45$17.0034.4%9.8%27.9%41.3%0.0%5.1%-1.4%-74.2K2.0M-55.9K1.7122.32N/AN/A7713216,99115,498
2011-06-08$16.45$17.0034.7%9.6%27.5%42.3%0.0%4.6%0.2%-81.2K2.3M-55.4K2.7633.03N/AN/A11732316,97715,303
2011-06-09$16.51$17.0029.0%8.3%27.2%21.2%29.1%5.1%2.9%-54.3K1.8M-54.7K0.1926.07N/AN/A751417,00315,253
2011-06-10$16.12$17.0032.8%9.4%27.8%35.3%32.7%3.5%0.4%-155.7K4.0M-52.4K2.1435.46N/AN/A9319917,05215,259
2011-06-13$16.29$17.0032.9%9.4%27.2%35.8%28.9%4.0%1.2%-97.2K2.9M-51.0K0.6629.48N/AN/A1087117,07815,273
2011-06-14$16.67$17.0031.4%9.0%28.8%30.2%32.0%5.6%-0.3%13.7K668.5K-52.6K0.5224.52N/AN/A1015317,03115,322
2011-06-15$16.13$17.0033.9%9.7%30.6%39.3%0.0%1.8%0.5%-125.4K3.6M-49.9K0.0531.81N/AN/A3932017,06515,281
2011-06-16$16.05$17.0033.4%9.6%29.6%37.3%31.6%4.7%0.1%-97.4K4.0M-49.1K0.4753.03N/AN/A66230817,24815,280
2011-06-17$15.91$17.0032.6%9.4%29.1%34.6%32.8%6.2%1.1%-206.7K4.8M-47.9K10.7340.07N/AN/A2627917,31015,267
2011-06-20$16.30$17.0032.8%9.4%31.0%35.4%31.3%4.7%1.7%41.3K316.8K-48.2K0.4232.98N/AN/A5752429,9387,783
2011-06-21$16.86$17.0028.1%8.1%32.3%17.8%28.1%1.8%4.2%96.0K-2.2M-52.1K0.8951.94N/AN/A95285010,3498,005
2011-06-22$16.62$17.0027.9%8.0%32.7%16.8%27.9%2.6%2.0%52.7K-896.9K-54.3K0.0642.67N/AN/A98611,0138,798
2011-06-23$16.36$17.0030.3%8.7%33.0%26.0%28.8%6.7%2.7%36.4K431.6K-52.5K6.3730.75N/AN/A3522311,0898,804
2011-06-24$16.20$17.0030.5%8.7%33.1%26.7%0.0%5.2%4.0%10.3K1.4M-51.7K0.2656.58N/AN/A762011,0909,021
2011-06-27$16.41$17.0031.2%9.0%33.4%29.4%29.0%6.6%4.0%18.0K605.2K-52.2K0.0267.78N/AN/A104211,1549,039
2011-06-28$16.71$17.0026.5%7.6%33.2%11.8%26.5%11.9%5.4%41.4K-893.7K-53.3K1.0026.95N/AN/A9911,2189,036
2011-06-29$16.94$17.0025.6%7.3%27.8%8.2%25.3%10.3%6.3%53.6K-2.0M-52.5K0.2679.42N/AN/A1955011,2079,036
2011-06-30$17.66$17.0022.6%6.5%31.5%0.0%26.1%5.3%9.8%132.9K-5.6M-52.4K0.0653.96N/AN/A7144611,3499,076