MFC Options History — April 2012

In April 2012, MFC traded between $12.31 and $13.88. ATM implied volatility averaged 35.3%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.4% (HV 20d: 38.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.02.

Notable Days

  • 2012-04-19: Highest Volume — 2,173 contracts
  • 2012-04-12: Largest IV spike — 23.9% change
  • 2012-04-17: Highest IV Rank — 28.7%
  • 2012-04-17: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.28$12.31$13.88$13.83$13.67
Max Pain$13.35$13.00$14.00$13.00$14.00
ATM IV35.3%28.0%39.9%28.0%36.5%
Expected Move10.3%8.0%11.4%8.0%10.5%
HV 20d38.7%32.6%41.9%36.9%41.3%
HV 60d34.8%31.1%36.9%31.1%35.9%
IV Rank22.6%12.7%28.7%12.7%24.2%
IV Percentile41.5%9.9%56.0%9.9%44.4%
Term Structure-0.2%-3.4%5.7%3.1%-2.2%
VWIV35.8%27.7%40.7%28.1%35.5%
Skew 25d8.0%-0.7%15.3%7.0%10.7%
Skew 10d11.5%-2.2%31.6%7.7%21.8%
Call IV 25d30.1%22.8%37.3%22.8%29.5%
Put IV 25d38.1%28.3%42.8%29.8%40.2%
Bid-Ask Spread %37.2118.3955.6039.5639.40
Gamma HHI0.330.270.390.270.36
Net GEX556.8K417.8K665.9K665.9K607.1K
Net DEX-14.1M-19.5M-6.5M-19.5M-17.0M
Net VEX-72.5K-79.1K-65.0K-78.3K-67.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0515.340.150.27
Total Volume624.45842,173693416
Total OI43,657.2541,34246,77141,34244,937

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$13.83$13.0028.0%8.0%36.9%12.7%28.1%7.0%3.1%665.9K-19.5M-78.3K0.1539.56N/AN/A6058831,9639,379
2012-04-03$13.51$13.0028.3%8.1%32.6%13.1%27.7%5.0%5.4%649.5K-17.0M-79.1K0.4747.19N/AN/A21710132,3769,463
2012-04-04$13.24$13.0031.9%9.2%33.9%18.0%31.8%-0.7%4.5%608.9K-14.8M-77.6K0.3734.56N/AN/A61122532,5499,512
2012-04-05$13.20$13.0029.7%8.5%33.3%15.0%29.4%-0.5%5.7%602.3K-14.2M-76.0K0.6034.77N/AN/A26916232,3309,642
2012-04-09$12.77$13.0033.6%10.7%35.4%20.3%40.7%8.5%-2.6%532.9K-10.6M-71.1K0.5729.05N/AN/A35920332,4019,734
2012-04-10$12.31$13.0038.9%11.4%37.9%27.3%39.6%4.8%-0.8%417.8K-6.5M-65.0K5.4443.94N/AN/A1971,07132,4039,885
2012-04-11$12.55$13.0031.6%10.2%36.0%17.6%0.0%6.7%2.1%452.8K-8.1M-68.2K0.9246.52N/AN/A39636332,50410,568
2012-04-12$13.43$13.0039.2%11.2%38.3%27.8%38.9%14.5%-2.7%604.2K-16.0M-76.5K1.1228.56N/AN/A43448532,55010,849
2012-04-13$13.00$13.0038.9%11.2%39.1%27.4%38.9%5.1%-2.2%526.6K-12.0M-74.6K1.1249.74N/AN/A9510632,83911,009
2012-04-16$12.96$13.0039.8%11.4%39.1%28.6%40.4%5.6%-2.6%522.4K-11.5M-72.5K0.0544.81N/AN/A3141532,91111,080
2012-04-17$13.41$13.0039.9%11.4%41.3%28.7%35.6%13.8%-2.5%599.8K-15.4M-73.2K1.4955.60N/AN/A30445332,83311,085
2012-04-18$13.30$13.0038.7%11.1%41.3%27.1%34.9%11.3%-1.5%589.9K-14.7M-73.1K2.6438.14N/AN/A14037033,05611,427
2012-04-19$13.51$13.0035.9%10.3%41.7%23.4%38.8%15.3%-0.4%607.4K-16.5M-74.0K15.3449.08N/AN/A1332,04033,12311,777
2012-04-20$13.42$14.0036.7%10.5%41.7%24.4%35.9%5.5%-1.1%517.9K-14.7M-74.8K0.7429.75N/AN/A17012633,14913,622
2012-04-23$13.22$14.0037.2%10.7%41.9%25.1%36.9%6.1%-1.2%492.9K-12.4M-70.9K1.0519.03N/AN/A35637532,16912,190
2012-04-24$13.30$14.0038.4%11.0%40.3%26.8%36.4%8.7%-3.4%506.4K-13.0M-70.7K0.2037.20N/AN/A701432,26112,173
2012-04-25$13.56$14.0036.6%10.5%40.9%24.3%37.5%10.2%-1.6%541.2K-15.2M-70.6K1.2037.59N/AN/A21225432,31712,179
2012-04-26$13.54$14.0033.1%9.5%40.7%19.6%40.4%9.9%0.8%542.5K-14.8M-68.5K6.5721.31N/AN/A149232,33312,185
2012-04-27$13.88$14.0033.8%9.7%40.9%20.5%32.2%12.3%0.2%547.4K-17.5M-67.8K0.1318.39N/AN/A5597532,21012,172
2012-04-30$13.67$14.0036.5%10.5%41.3%24.2%35.5%10.7%-2.2%607.1K-17.0M-67.0K0.2739.40N/AN/A3288832,75512,182