MFC Options History — March 2012

In March 2012, MFC traded between $11.82 and $14.10. ATM implied volatility averaged 29.6%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 5.2% (HV 20d: 34.8%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2012-03-14: Highest Volume — 7,146 contracts
  • 2012-03-15: Largest IV spike — 58.7% change
  • 2012-03-06: Highest IV Rank — 22.4%
  • 2012-03-07: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.15$11.82$14.10$12.78$13.55
Max Pain$12.68$12.00$13.00$12.00$13.00
ATM IV29.6%18.5%36.9%30.2%29.7%
Expected Move8.7%7.7%9.8%8.7%8.5%
HV 20d34.8%27.6%39.1%29.4%36.9%
HV 60d31.7%30.2%33.5%32.6%30.9%
IV Rank13.9%0.0%22.4%13.1%15.0%
IV Percentile20.9%0.0%47.6%22.2%21.0%
Term Structure2.7%-0.4%6.4%0.3%1.8%
VWIV29.9%23.8%34.3%30.9%29.7%
Skew 25d7.2%1.8%15.0%7.4%3.3%
Skew 10d11.9%-0.4%23.8%16.5%3.5%
Call IV 25d25.5%17.2%32.2%23.9%26.2%
Put IV 25d32.7%27.4%38.2%31.3%29.5%
Bid-Ask Spread %41.2118.6357.7148.2933.48
Gamma HHI0.330.270.480.360.28
Net GEX726.9K452.5K1.3M802.5K650.3K
Net DEX-16.7M-27.0M-6.0M-15.7M-17.5M
Net VEX-76.8K-83.7K-71.0K-82.0K-79.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.007.220.030.05
Total Volume851.455177,1461,39264
Total OI45,359.77337,59950,76349,12241,298

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$12.78$12.0030.2%8.7%29.4%13.1%30.9%7.4%0.3%802.5K-15.7M-82.0K0.0348.29N/AN/A1,3524038,22510,897
2012-03-02$12.57$12.0029.3%8.4%30.2%11.9%0.0%5.5%-0.4%766.4K-14.0M-83.7K3.7032.72N/AN/A238539,47410,936
2012-03-05$12.42$13.0034.2%9.8%27.6%18.7%33.3%3.8%1.6%688.3K-12.2M-78.8K1.9340.30N/AN/A7113739,48210,949
2012-03-06$11.82$13.0036.9%9.7%32.6%22.4%33.7%4.2%2.7%497.8K-6.7M-73.2K1.0518.63N/AN/A21122139,52210,946
2012-03-07$11.82$13.0032.1%9.8%32.4%15.7%0.0%6.7%1.0%452.5K-6.0M-71.0K1.2740.98N/AN/A10713639,53111,013
2012-03-08$12.11$13.0032.6%9.4%33.7%16.4%33.3%8.7%2.4%555.7K-8.6M-73.7K0.0034.02N/AN/A17039,55311,062
2012-03-09$12.33$12.0034.0%9.2%33.4%18.4%31.6%8.3%3.1%653.4K-10.9M-74.7K0.0128.22N/AN/A73139,56311,011
2012-03-12$12.36$12.0022.9%9.2%32.7%3.1%0.0%10.3%3.6%597.8K-11.7M-72.3K7.2247.19N/AN/A1813039,57211,012
2012-03-13$12.84$12.0031.5%9.0%34.3%14.9%27.8%12.7%1.8%907.1K-16.2M-74.2K0.8046.19N/AN/A30724739,39011,078
2012-03-14$13.60$12.0018.5%8.5%38.9%0.0%24.2%4.7%1.5%956.7K-25.6M-77.9K0.2557.71N/AN/A5,7311,41539,55011,213
2012-03-15$13.87$12.0029.4%8.4%39.1%14.6%29.9%7.6%1.3%1.3M-27.0M-78.2K0.3152.80N/AN/A58018238,44711,824
2012-03-16$13.80$13.0028.4%8.1%36.4%13.2%27.4%2.1%3.0%1.3M-26.0M-77.7K0.0944.84N/AN/A2,01217938,69411,974
2012-03-19$13.74$13.0028.8%8.2%36.5%13.8%0.0%1.8%3.7%669.0K-19.6M-77.7K0.4844.29N/AN/A2069830,4377,162
2012-03-20$13.64$13.0029.4%8.4%36.8%14.6%23.8%11.5%3.1%657.0K-18.3M-74.5K2.0538.12N/AN/A18237330,4487,230
2012-03-21$13.55$13.0029.1%8.3%35.6%14.2%32.2%9.9%3.1%633.1K-17.7M-77.2K3.1643.86N/AN/A28289230,5897,526
2012-03-22$13.57$13.0028.8%8.3%35.6%13.8%34.3%9.2%3.0%629.9K-17.5M-78.1K2.9745.39N/AN/A21764430,7448,171
2012-03-23$13.68$13.0026.8%7.7%35.5%11.1%26.8%9.7%5.6%661.4K-18.5M-78.4K0.4534.24N/AN/A1105030,9528,488
2012-03-26$14.10$13.0029.1%8.4%36.4%14.3%29.2%15.0%3.2%688.4K-22.1M-76.5K2.9035.39N/AN/A16347331,0528,538
2012-03-27$13.93$13.0029.9%8.6%36.8%15.3%30.6%5.3%2.3%679.3K-20.5M-77.7K0.3252.86N/AN/A993231,1968,862
2012-03-28$13.77$13.0028.3%8.1%37.0%13.1%28.5%8.9%4.3%672.8K-19.1M-76.9K0.8538.74N/AN/A13111231,2658,859
2012-03-29$13.48$13.0031.5%9.0%37.6%17.4%30.9%2.4%6.4%627.4K-16.6M-76.7K0.8448.30N/AN/A72360631,2798,901
2012-03-30$13.55$13.0029.7%8.5%36.9%15.0%29.7%3.3%1.8%650.3K-17.5M-79.3K0.0533.48N/AN/A61331,9199,379