MFC Options History — October 2011

In October 2011, MFC traded between $10.77 and $14.02. ATM implied volatility averaged 52.0%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 11.9% (HV 20d: 63.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2011-10-24: Highest Volume — 1,425 contracts
  • 2011-10-31: Largest IV spike — 18.8% change
  • 2011-10-03: Highest IV Rank — 61.5%
  • 2011-10-03: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.36$10.77$14.02$10.77$13.21
Max Pain$12.19$12.00$13.00$13.00$12.00
ATM IV52.0%40.8%65.2%65.2%48.5%
Expected Move15.1%11.7%18.7%18.7%13.9%
HV 20d63.9%59.5%70.0%59.6%59.8%
HV 60d61.6%56.8%65.1%57.2%64.7%
IV Rank43.3%27.8%61.5%61.5%38.5%
IV Percentile86.1%70.6%98.0%98.0%80.6%
Term Structure-1.4%-6.8%4.9%-0.2%-2.6%
VWIV54.1%40.8%68.6%68.6%40.8%
Skew 25d12.4%9.6%15.2%15.2%15.2%
Skew 10d30.1%11.8%44.7%11.8%30.9%
Call IV 25d47.1%35.3%57.8%57.2%40.1%
Put IV 25d59.5%48.7%72.4%72.4%55.3%
Bid-Ask Spread %35.5224.4257.0950.1529.67
Gamma HHI0.230.180.350.230.27
Net GEX35.6K-18.2K132.6K-14.9K116.5K
Net DEX1.1M-2.5M3.6M3.3M-805.2K
Net VEX-20.1K-24.0K-15.2K-15.9K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.112.971.440.20
Total Volume414.048301,4254030
Total OI15,243.57113,36216,96214,52414,827

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$10.77$13.0065.2%18.7%59.6%61.5%68.6%15.2%-0.2%-14.9K3.3M-15.9K0.0050.15N/AN/A0408,3576,167
2011-10-04$10.79$13.0061.1%17.5%59.6%55.9%66.0%14.4%4.9%-18.2K3.6M-15.2K1.4433.78N/AN/A1171688,3576,170
2011-10-05$11.48$13.0058.5%16.8%62.8%52.3%60.9%10.3%2.4%-13.4K2.8M-18.4K2.0639.13N/AN/A1132338,4276,323
2011-10-06$11.82$13.0053.2%15.2%64.0%44.9%53.6%10.8%4.3%-9.9K2.4M-18.9K0.3026.70N/AN/A117358,4846,323
2011-10-07$11.42$12.0059.2%18.2%63.1%53.3%58.3%13.8%-6.8%-14.2K2.8M-17.9K0.8032.90N/AN/A44358,5716,358
2011-10-10$11.97$12.0053.3%16.2%65.2%45.1%54.3%14.9%-4.8%-4.7K2.2M-18.3K0.1835.28N/AN/A199368,6006,342
2011-10-11$11.97$12.0051.1%16.0%65.1%42.1%49.1%14.5%-2.4%-5.1K2.2M-18.4K0.1130.03N/AN/A114138,6016,362
2011-10-12$12.59$12.0044.8%13.9%67.7%33.3%48.1%10.1%-0.0%17.7K995.8K-20.3K1.6542.20N/AN/A3245358,6426,366
2011-10-13$12.24$12.0051.6%14.8%64.2%42.7%53.5%11.5%-1.7%3.9K1.7M-18.7K0.4736.55N/AN/A8654048,7276,243
2011-10-14$12.78$12.0048.7%14.0%65.6%38.7%50.3%10.8%-0.7%39.0K291.6K-21.9K0.5028.24N/AN/A6053009,5616,634
2011-10-17$12.07$12.0056.1%16.1%68.5%48.9%56.9%13.0%-2.4%9.0K1.8M-20.4K2.9757.09N/AN/A351049,9696,790
2011-10-18$12.55$12.0050.0%14.3%70.0%40.6%0.0%11.0%-1.3%19.0K882.1K-21.5K2.7928.92N/AN/A902519,9646,842
2011-10-19$12.21$12.0054.6%15.6%67.4%46.8%63.7%12.0%-1.2%32.1K1.5M-20.4K1.4824.42N/AN/A15923510,0156,845
2011-10-20$12.33$12.0055.1%15.8%63.7%47.6%53.7%14.0%-4.1%58.9K1.2M-20.1K2.2434.30N/AN/A4911010,1046,838
2011-10-21$12.68$12.0050.2%14.4%64.1%40.9%50.9%11.1%-1.2%25.1K660.8K-20.7K0.3129.72N/AN/A1645110,1096,853
2011-10-24$13.06$12.0049.3%14.1%63.3%39.6%52.5%11.8%-2.7%77.8K4.9K-21.5K1.3650.17N/AN/A6048218,1585,204
2011-10-25$12.79$12.0048.3%13.8%63.2%38.1%51.3%10.6%-1.4%81.3K129.0K-21.8K0.2037.05N/AN/A333688,6745,649
2011-10-26$12.99$12.0049.5%14.2%59.5%39.9%51.0%12.0%-3.9%88.5K-130.2K-22.5K0.1834.33N/AN/A149278,7465,717
2011-10-27$14.02$12.0042.5%12.2%63.3%30.2%43.6%13.4%-2.6%126.8K-2.5M-24.0K0.5736.50N/AN/A4722718,8385,725
2011-10-28$13.74$12.0040.8%11.7%61.2%27.8%40.8%9.6%-0.7%132.6K-2.0M-23.7K2.7528.87N/AN/A1002758,9945,639
2011-10-31$13.21$12.0048.5%13.9%59.8%38.5%0.0%15.2%-2.6%116.5K-805.2K-22.3K0.2029.67N/AN/A2559,0595,768