MFC Options History — September 2011

In September 2011, MFC traded between $11.13 and $13.46. ATM implied volatility averaged 54.9%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 0.1% (HV 20d: 54.8%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2011-09-26: Highest Volume — 2,543 contracts
  • 2011-09-09: Largest IV spike — 33.8% change
  • 2011-09-12: Highest IV Rank — 65.3%
  • 2011-09-28: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.27$11.13$13.46$13.46$11.33
Max Pain$12.43$12.00$15.00$15.00$13.00
ATM IV54.9%43.2%67.9%50.9%60.1%
Expected Move15.3%12.4%17.8%14.6%17.2%
HV 20d54.8%46.9%73.2%72.2%58.5%
HV 60d52.3%49.6%56.5%49.6%56.5%
IV Rank47.3%31.1%65.3%41.8%54.5%
IV Percentile93.8%84.1%98.8%94.4%96.4%
Term Structure0.6%-4.5%4.5%-2.7%-0.9%
VWIV52.8%41.2%67.9%50.4%59.0%
Skew 25d12.4%6.7%21.1%21.1%14.5%
Skew 10d28.6%7.8%49.3%24.7%33.4%
Call IV 25d47.0%34.2%55.8%34.2%50.8%
Put IV 25d59.4%49.9%67.6%55.3%65.3%
Bid-Ask Spread %34.1922.7962.7222.7932.63
Gamma HHI0.390.150.810.480.20
Net GEX107.4K-8.1K525.2K137.2K-8.1K
Net DEX4.7M1.1M8.7M5.2M2.8M
Net VEX-19.3K-27.3K-14.7K-27.3K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.009.180.000.53
Total Volume583.429812,5438281
Total OI21,097.28610,26830,25829,12114,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$13.46$15.0050.9%14.6%72.2%41.8%50.4%21.1%-2.7%137.2K5.2M-27.3K0.0022.79N/AN/A82018,41710,704
2011-09-02$12.96$15.0051.1%14.7%73.2%42.1%49.2%9.3%2.0%140.8K6.2M-24.1K2.1938.60N/AN/A19843318,49910,301
2011-09-06$12.74$12.0053.2%14.8%63.4%45.0%51.1%11.9%0.5%143.5K6.7M-21.1K1.1641.77N/AN/A15718218,6589,996
2011-09-07$13.20$12.0051.2%14.2%60.1%42.3%49.5%10.9%0.4%168.1K5.8M-22.2K0.2725.19N/AN/A1123018,66410,039
2011-09-08$13.01$12.0049.1%14.1%53.6%39.2%44.1%14.1%-2.4%178.9K6.1M-21.8K1.6229.24N/AN/A6310218,74410,052
2011-09-09$12.41$12.0065.6%16.0%52.6%62.2%61.4%14.2%1.7%136.3K7.8M-18.7K0.1334.03N/AN/A6178018,76910,098
2011-09-12$12.15$12.0067.9%17.1%52.8%65.3%64.5%14.6%-4.5%105.7K8.4M-16.1K1.6132.46N/AN/A9615518,85610,112
2011-09-13$12.26$12.0062.6%15.7%48.9%58.1%53.7%10.5%-0.6%126.8K8.5M-16.5K2.6841.22N/AN/A22259518,90610,214
2011-09-14$12.28$12.0059.8%15.4%49.0%54.1%51.1%13.4%-1.9%109.9K8.7M-18.0K0.8335.73N/AN/A26822319,06710,639
2011-09-15$13.09$12.0048.2%13.8%54.3%38.1%50.6%11.1%-0.3%525.2K6.0M-21.3K0.3762.72N/AN/A55020319,25710,670
2011-09-16$12.75$12.0047.7%13.7%49.6%37.3%49.8%12.9%2.6%402.6K8.1M-19.8K2.9228.55N/AN/A27981519,46310,795
2011-09-19$12.53$12.0046.8%13.4%46.9%36.1%45.6%11.2%0.8%16.9K1.3M-17.9K0.1431.96N/AN/A412575,9954,273
2011-09-20$12.53$12.0043.2%12.4%46.9%31.1%41.2%9.7%3.2%19.6K1.3M-18.1K0.8234.38N/AN/A2762256,2064,329
2011-09-21$11.82$12.0051.3%14.7%48.3%42.3%46.7%9.3%1.8%5.3K1.9M-17.0K0.5641.57N/AN/A2641476,3464,550
2011-09-22$11.16$12.0061.0%17.5%51.2%55.8%57.1%11.8%3.4%-3.8K2.6M-14.7K0.2037.54N/AN/A6901406,4664,630
2011-09-23$11.13$12.0060.0%17.2%50.7%54.4%55.1%12.8%-0.9%-3572.4M-15.3K0.1424.51N/AN/A87126,6764,685
2011-09-26$11.62$12.0055.2%15.8%53.8%47.8%56.1%13.7%3.1%5.7K2.1M-16.7K0.0131.94N/AN/A2,526176,7574,696
2011-09-27$11.99$12.0051.9%14.9%52.0%43.2%52.8%6.7%4.5%46.6K1.1M-20.3K9.1836.64N/AN/A1451,3318,4204,707
2011-09-28$11.35$13.0062.1%17.8%54.8%57.3%67.9%12.8%0.0%-8022.6M-19.3K2.2526.17N/AN/A611378,4025,998
2011-09-29$11.84$13.0053.8%15.4%57.2%45.9%51.5%14.0%2.9%-1232.3M-20.4K0.2028.36N/AN/A152308,4026,129
2011-09-30$11.33$13.0060.1%17.2%58.5%54.5%59.0%14.5%-0.9%-8.1K2.8M-18.7K0.5332.63N/AN/A53288,3116,145