MFC Options History — February 2012

In February 2012, MFC traded between $11.72 and $12.76. ATM implied volatility averaged 35.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.7% (HV 20d: 30.4%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2012-02-16: Highest Volume — 11,255 contracts
  • 2012-02-09: Largest IV drop — 13.7% change
  • 2012-02-08: Highest IV Rank — 29.0%
  • 2012-02-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.28$11.72$12.76$11.93$12.51
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV35.1%29.3%41.6%39.7%29.3%
Expected Move9.9%8.4%11.4%11.4%8.4%
HV 20d30.4%26.2%34.3%26.2%29.1%
HV 60d33.5%32.5%35.5%35.2%32.5%
IV Rank19.9%11.9%29.0%26.3%11.9%
IV Percentile42.1%16.7%60.7%54.8%16.7%
Term Structure0.9%-1.9%3.8%-1.6%1.3%
VWIV35.7%31.5%41.9%39.3%32.7%
Skew 25d4.9%1.0%16.5%16.5%6.7%
Skew 10d10.4%-4.4%27.1%15.5%11.4%
Call IV 25d32.0%26.6%39.5%26.6%27.2%
Put IV 25d36.9%29.6%45.2%43.1%34.0%
Bid-Ask Spread %30.4116.3442.3028.8833.69
Gamma HHI0.330.300.360.300.36
Net GEX595.8K426.3K748.8K479.6K704.3K
Net DEX-10.8M-16.3M-4.3M-8.6M-13.6M
Net VEX-84.8K-94.5K-77.3K-92.0K-80.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.074.641.151.27
Total Volume1,0216211,255790609
Total OI51,926.2548,13754,61853,15948,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$11.93$12.0039.7%11.4%26.2%26.3%39.3%16.5%-1.6%479.6K-8.6M-92.0K1.1528.88N/AN/A36842239,99213,167
2012-02-02$11.96$12.0038.0%10.9%26.2%24.0%39.0%5.7%-1.8%492.7K-8.1M-88.8K0.0828.81N/AN/A3062439,90513,295
2012-02-03$12.42$12.0038.7%10.5%28.8%24.9%38.4%2.4%0.8%599.1K-12.8M-94.5K0.3431.75N/AN/A2036940,09213,233
2012-02-06$12.30$12.0040.9%10.6%29.0%27.9%37.3%5.0%0.4%578.1K-11.5M-91.1K1.5625.20N/AN/A8112640,17613,204
2012-02-07$12.17$12.0041.1%10.7%29.4%28.3%40.0%2.9%0.4%552.7K-10.1M-87.9K1.3124.62N/AN/A13818140,23013,277
2012-02-08$12.16$12.0041.6%10.6%29.2%29.0%36.6%7.0%0.7%551.1K-10.0M-87.9K0.5028.56N/AN/A25512740,27513,285
2012-02-09$11.92$12.0035.9%10.3%30.2%21.1%36.0%6.5%1.4%498.1K-7.0M-81.6K1.3227.43N/AN/A31942040,33613,361
2012-02-10$11.72$12.0034.5%9.9%30.6%19.0%35.8%8.3%2.4%426.3K-4.3M-77.3K0.6130.13N/AN/A25915740,44413,689
2012-02-13$12.00$12.0034.6%9.9%31.7%19.3%41.9%3.7%1.0%508.6K-7.2M-80.3K0.2441.12N/AN/A65115540,54913,790
2012-02-14$11.89$12.0034.1%9.8%31.8%18.5%36.1%6.1%2.1%477.2K-5.7M-78.9K0.4742.30N/AN/A30614440,45813,800
2012-02-15$12.07$12.0034.9%10.0%32.2%19.6%34.9%4.0%1.7%492.1K-7.6M-79.4K0.1635.27N/AN/A89714540,54613,914
2012-02-16$12.64$12.0032.5%9.3%34.3%16.3%32.9%3.4%2.2%670.0K-14.7M-88.6K0.0730.27N/AN/A10,56668940,64913,969
2012-02-17$12.68$12.0031.8%9.1%33.2%15.3%34.1%1.9%2.2%713.8K-14.6M-89.4K0.5817.84N/AN/A49028638,93414,460
2012-02-21$12.76$12.0031.8%9.1%32.7%15.3%32.0%1.5%-0.3%748.8K-16.3M-88.1K0.7616.34N/AN/A46235137,91610,221
2012-02-22$12.46$12.0032.9%9.4%33.7%16.9%32.3%1.3%1.9%659.8K-12.6M-82.3K2.8833.54N/AN/A10630537,91510,343
2012-02-23$12.49$12.0032.8%9.4%33.7%16.7%31.5%1.0%-0.1%681.1K-12.8M-83.6K2.4734.44N/AN/A8120037,95810,411
2012-02-24$12.48$12.0031.9%9.1%28.8%15.5%0.0%4.2%3.8%685.7K-12.7M-83.1K0.2532.50N/AN/A1503737,97410,611
2012-02-27$12.40$12.0034.1%9.8%28.8%18.5%33.0%2.1%-1.9%663.5K-11.7M-79.7K4.6430.49N/AN/A115138,12010,552
2012-02-28$12.60$12.0030.7%8.8%29.0%13.8%34.8%6.9%2.3%733.7K-14.1M-82.1K1.8434.97N/AN/A9617738,12010,574
2012-02-29$12.51$12.0029.3%8.4%29.1%11.9%32.7%6.7%1.3%704.3K-13.6M-80.0K1.2733.69N/AN/A26834138,15310,627