MFC Options History — November 2011

In November 2011, MFC traded between $10.28 and $12.97. ATM implied volatility averaged 49.8%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 8.0% (HV 20d: 57.9%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2011-11-01: Highest Volume — 2,327 contracts
  • 2011-11-09: Largest IV spike — 29.2% change
  • 2011-11-01: Highest IV Rank — 58.0%
  • 2011-11-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.52$10.28$12.97$12.20$10.77
Max Pain$13.67$12.00$14.00$12.00$13.00
ATM IV49.8%40.7%62.6%62.6%43.9%
Expected Move14.2%11.8%17.9%17.9%12.6%
HV 20d57.9%39.6%67.8%67.8%39.6%
HV 60d58.6%56.6%63.3%63.3%56.9%
IV Rank40.3%27.6%58.0%58.0%32.1%
IV Percentile80.4%68.3%96.8%96.8%68.3%
Term Structure0.6%-13.3%4.8%-13.3%3.9%
VWIV44.9%23.6%52.2%39.5%41.8%
Skew 25d12.0%5.3%20.9%9.4%19.7%
Skew 10d25.4%-15.0%41.0%-15.0%18.9%
Call IV 25d44.2%33.7%55.0%55.0%33.7%
Put IV 25d56.1%50.0%64.4%64.4%53.4%
Bid-Ask Spread %37.4814.3690.3939.6625.41
Gamma HHI0.210.180.380.210.21
Net GEX19.8K-53.0K121.3K53.9K-306
Net DEX2.0M213.0K2.6M1.3M2.3M
Net VEX-16.7K-21.4K-13.0K-19.4K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.026.300.810.57
Total Volume418.714612,3272,327519
Total OI16,798.23813,63119,48814,83114,438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$12.20$12.0062.6%17.9%67.8%58.0%39.5%9.4%-13.3%53.9K1.3M-19.4K0.8139.66N/AN/A1,2831,0449,0585,773
2011-11-02$12.40$12.0057.3%16.4%64.6%50.6%45.0%5.3%-6.0%64.1K1.1M-20.7K0.7541.01N/AN/A53539910,2606,797
2011-11-03$12.97$12.0044.6%12.8%65.7%33.1%47.2%8.3%-1.3%121.3K213.0K-21.4K1.5890.39N/AN/A6910910,6607,144
2011-11-04$12.57$14.0047.3%12.8%65.5%36.8%44.8%10.5%1.5%82.5K901.8K-20.5K2.0039.75N/AN/A306010,6887,186
2011-11-07$12.41$14.0048.0%13.7%63.8%37.8%50.3%12.4%1.6%59.0K1.5M-17.9K1.1845.45N/AN/A20424110,6957,193
2011-11-08$12.65$14.0040.7%11.8%64.0%27.6%23.6%9.3%4.0%85.9K1.1M-18.9K0.0337.40N/AN/A147410,8277,416
2011-11-09$11.88$14.0052.5%14.2%65.5%44.1%51.7%11.5%0.8%20.3K2.2M-17.3K2.4050.69N/AN/A6515610,9717,414
2011-11-10$11.81$14.0049.4%14.2%64.8%39.7%50.5%12.8%2.0%5.7K2.3M-17.0K1.2647.06N/AN/A273410,9297,499
2011-11-11$11.93$14.0048.3%13.9%62.8%38.2%45.0%16.4%1.1%17.1K2.0M-16.6K1.4220.18N/AN/A7310410,9347,368
2011-11-14$11.80$14.0048.7%14.0%59.6%38.8%47.9%10.9%0.6%-5.9K2.2M-15.6K0.0231.26N/AN/A9661510,9727,311
2011-11-15$11.56$14.0046.8%13.4%58.0%36.0%46.6%11.2%3.1%-7.1K2.1M-16.8K0.1130.43N/AN/A2622811,8467,233
2011-11-16$11.51$14.0045.3%13.0%57.3%34.0%44.8%10.2%4.8%3.4K2.2M-17.0K0.0333.96N/AN/A3701012,0697,243
2011-11-17$11.22$14.0052.8%15.1%57.7%44.4%49.7%11.0%2.5%-4.1K2.5M-16.2K0.2629.57N/AN/A3218412,0847,247
2011-11-18$11.02$14.0050.5%14.5%56.5%41.2%50.7%9.7%1.4%-53.0K2.4M-16.0K2.3514.36N/AN/A4811312,2917,197
2011-11-21$10.78$14.0049.8%14.3%55.0%40.3%38.1%11.8%1.1%-4322.4M-14.0K3.3854.22N/AN/A471598,4795,152
2011-11-22$10.67$14.0049.3%14.1%54.9%39.5%47.5%8.5%-0.3%-4.0K2.6M-13.9K0.5534.24N/AN/A114638,4985,311
2011-11-23$10.28$14.0055.3%15.8%54.9%47.8%51.1%9.7%0.1%-7.2K2.6M-13.0K1.6832.84N/AN/A2454128,5505,202
2011-11-25$10.32$14.0055.0%15.8%44.6%47.5%27.5%17.0%1.1%-5.6K2.5M-14.3K6.3022.91N/AN/A10638,7915,395
2011-11-28$10.58$14.0050.1%14.4%46.8%40.7%52.2%20.9%-0.2%-4.6K2.5M-14.6K0.4736.49N/AN/A178838,7915,444
2011-11-29$10.52$14.0048.0%13.8%45.8%37.8%47.3%15.2%3.6%-5.8K2.5M-14.5K0.3229.79N/AN/A75248,9005,507
2011-11-30$10.77$13.0043.9%12.6%39.6%32.1%41.8%19.7%3.9%-3062.3M-15.0K0.5725.41N/AN/A3311888,9245,514