MFC Options History — July 2011

In July 2011, MFC traded between $15.89 and $17.79. ATM implied volatility averaged 30.3%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.1% (HV 20d: 31.4%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.93.

Notable Days

  • 2011-07-14: Highest Volume — 2,526 contracts
  • 2011-07-14: Largest IV spike — 33.5% change
  • 2011-07-29: Highest IV Rank — 61.3%
  • 2011-07-29: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.86$15.89$17.79$17.78$15.89
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV30.3%20.7%38.7%25.1%38.7%
Expected Move9.3%7.2%11.1%7.2%11.1%
HV 20d31.4%27.7%33.6%30.9%27.7%
HV 60d31.2%30.4%32.1%30.6%31.2%
IV Rank32.4%0.0%61.3%9.1%61.3%
IV Percentile31.7%0.0%69.0%2.0%69.0%
Term Structure-1.0%-7.2%3.2%3.2%-4.0%
VWIV32.6%25.7%39.1%25.7%39.1%
Skew 25d5.5%4.0%7.8%5.2%7.8%
Skew 10d10.8%-11.9%23.1%7.8%4.3%
Call IV 25d30.2%20.6%36.7%20.6%34.2%
Put IV 25d35.6%25.8%42.0%25.8%42.0%
Bid-Ask Spread %43.4322.3969.5466.1435.55
Gamma HHI0.180.150.230.210.15
Net GEX28.0K-61.7K179.0K171.7K-28.1K
Net DEX-783.4K-6.9M4.5M-6.8M4.5M
Net VEX-48.8K-52.9K-42.7K-52.9K-42.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0041.100.481.04
Total Volume436.05422,526239145
Total OI21,837.420,74823,36920,74823,227

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$17.78$17.0025.1%7.2%30.9%9.1%25.7%5.2%3.2%171.7K-6.8M-52.9K0.4866.14N/AN/A1617811,6689,080
2011-07-05$17.69$17.0020.7%8.0%30.4%0.0%28.1%6.0%0.4%169.1K-6.5M-51.3K0.3033.83N/AN/A1484411,7669,090
2011-07-06$17.60$17.0023.0%8.4%30.4%7.9%0.0%4.7%-0.4%148.8K-5.8M-51.2K0.7526.04N/AN/A403011,7799,129
2011-07-07$17.79$17.0023.3%8.4%30.5%8.7%28.8%4.4%0.0%179.0K-6.9M-50.9K0.2022.39N/AN/A2044111,8119,139
2011-07-08$17.56$17.0023.4%8.4%31.1%9.1%28.5%4.4%-0.6%157.9K-5.7M-51.3K0.0032.65N/AN/A269011,9779,122
2011-07-11$16.85$17.0029.7%9.3%33.6%30.4%36.2%7.0%-1.0%53.6K-1.5M-49.9K0.8535.90N/AN/A27022912,1739,122
2011-07-12$16.71$17.0028.8%9.4%33.6%27.4%32.4%4.3%-0.8%39.4K-1.2M-49.2K0.3151.40N/AN/A321012,2619,290
2011-07-13$16.90$17.0024.7%9.4%32.9%13.5%33.8%5.7%-0.9%30.0K-1.9M-49.3K2.5422.47N/AN/A133312,2699,290
2011-07-14$16.69$17.0033.0%9.4%30.8%41.6%33.6%5.8%-0.3%28.1K-374.7K-48.2K41.1027.92N/AN/A602,46612,2719,316
2011-07-15$16.77$17.0032.3%9.3%30.8%39.4%32.3%6.1%-0.8%-61.7K1.2M-51.3K8.2428.36N/AN/A1371,12912,29611,073
2011-07-18$16.25$17.0038.4%11.0%32.8%60.0%35.3%4.0%-7.2%-50.4K3.0M-47.9K0.1157.12N/AN/A6577011,43810,520
2011-07-19$16.73$17.0032.0%9.2%33.3%38.3%32.6%4.3%0.7%-33.8K1.2M-50.5K0.2156.38N/AN/A942011,39010,550
2011-07-20$16.80$17.0032.4%9.3%31.1%39.6%32.4%6.1%-1.6%-28.4K588.4K-50.0K0.1927.17N/AN/A1032011,48310,570
2011-07-21$17.05$17.0030.7%8.8%31.0%33.8%31.6%4.9%-1.5%-9.5K-656.0K-50.1K0.2863.27N/AN/A1223411,56810,590
2011-07-22$16.80$17.0031.5%9.0%31.0%36.8%30.4%7.0%-0.4%-24.2K454.5K-48.9K0.1738.34N/AN/A661111,61910,605
2011-07-25$16.72$17.0032.2%9.2%30.8%39.0%32.1%6.1%0.0%-32.2K946.4K-47.5K0.8059.27N/AN/A453611,65210,611
2011-07-26$16.56$17.0032.5%9.3%30.7%40.1%32.7%6.5%-1.6%-40.1K1.8M-46.7K0.2069.54N/AN/A1042111,68710,606
2011-07-27$16.00$17.0036.4%10.4%32.3%53.5%36.2%4.8%-1.2%-57.6K4.3M-42.7K0.3264.86N/AN/A38212211,76910,607
2011-07-28$16.13$17.0038.0%10.9%32.0%58.6%37.0%4.1%-2.3%-52.2K3.7M-43.6K0.4250.08N/AN/A89538011,66810,666
2011-07-29$15.89$17.0038.7%11.1%27.7%61.3%39.1%7.8%-4.0%-28.1K4.5M-42.8K1.0435.55N/AN/A717412,49110,736