MFC Options History — May 2012

In May 2012, MFC traded between $10.60 and $13.57. ATM implied volatility averaged 40.7%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.1% (HV 20d: 33.5%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2012-05-03: Highest Volume — 3,764 contracts
  • 2012-05-02: Largest IV drop — 13.2% change
  • 2012-05-17: Highest IV Rank — 36.6%
  • 2012-05-17: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.75$10.60$13.57$13.50$10.72
Max Pain$12.27$12.00$14.00$14.00$12.00
ATM IV40.7%34.8%45.8%40.2%42.0%
Expected Move11.6%10.0%13.1%11.5%12.0%
HV 20d33.5%27.3%42.8%40.8%33.7%
HV 60d36.4%35.2%38.2%35.2%37.1%
IV Rank29.7%21.9%36.6%29.1%31.5%
IV Percentile56.6%40.5%69.4%56.3%59.5%
Term Structure-0.2%-5.5%3.1%-5.5%1.5%
VWIV39.4%23.0%46.1%39.1%26.6%
Skew 25d5.1%-0.9%12.8%-0.9%12.2%
Skew 10d5.5%-12.7%22.8%2.3%16.7%
Call IV 25d37.2%23.6%43.0%33.6%34.5%
Put IV 25d42.2%24.7%49.9%32.7%46.8%
Bid-Ask Spread %19.3611.7936.8119.2718.66
Gamma HHI0.300.170.400.360.17
Net GEX318.9K34.5K646.6K602.6K34.5K
Net DEX-1.1M-15.5M7.2M-15.4M5.2M
Net VEX-44.4K-69.1K-22.8K-66.7K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.018.502.432.74
Total Volume620.909953,764285277
Total OI48,537.81845,31051,41845,31046,390

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$13.50$14.0040.2%11.5%40.8%29.1%39.1%-0.9%-5.5%602.6K-15.4M-66.7K2.4319.27N/AN/A8320233,08312,227
2012-05-02$13.57$14.0034.8%10.0%40.0%21.9%39.1%0.9%-3.1%597.5K-15.5M-65.1K0.0521.98N/AN/A2,86714533,09612,266
2012-05-03$13.13$14.0036.7%10.5%41.1%24.4%23.0%1.1%-0.6%646.6K-12.6M-69.1K0.1536.81N/AN/A3,26450035,71912,379
2012-05-04$12.70$12.0037.8%10.3%42.8%25.9%36.5%2.7%0.3%623.5K-8.8M-67.4K0.3721.74N/AN/A2248238,38812,545
2012-05-07$12.69$12.0037.3%10.4%41.1%25.3%37.7%5.3%0.2%597.6K-8.1M-64.4K3.0918.46N/AN/A5316438,35612,592
2012-05-08$12.44$12.0039.9%11.5%39.6%28.7%40.2%5.3%-1.2%503.1K-5.0M-59.3K1.9714.33N/AN/A17033538,31212,671
2012-05-09$12.19$12.0040.7%11.3%39.6%29.8%38.7%3.6%-0.4%430.3K-2.8M-56.0K1.8426.26N/AN/A14125938,36112,782
2012-05-10$12.20$12.0039.1%11.2%30.0%27.7%38.5%4.5%-0.4%428.3K-2.6M-53.5K2.1523.95N/AN/A6614238,42312,746
2012-05-11$12.31$12.0038.5%11.0%28.5%26.8%36.6%3.5%0.2%482.8K-4.3M-55.7K0.0920.79N/AN/A1871738,00912,756
2012-05-14$11.95$12.0040.0%11.5%30.1%28.8%42.6%5.6%-1.2%367.7K-892.1K-49.6K8.5011.79N/AN/A108538,05512,730
2012-05-15$11.55$12.0041.2%11.8%28.3%30.5%42.0%1.9%-1.1%292.8K2.1M-43.6K2.1218.74N/AN/A12426338,05412,735
2012-05-16$11.11$12.0043.5%12.5%30.4%33.6%43.8%0.7%-0.0%205.7K4.8M-36.4K1.3019.03N/AN/A39251038,05912,872
2012-05-17$10.95$12.0045.8%13.1%29.0%36.6%44.9%4.3%-2.5%163.5K6.1M-35.0K0.5714.44N/AN/A25014338,06613,352
2012-05-18$10.78$12.0043.2%12.4%29.0%33.2%46.1%8.4%-0.3%107.1K7.2M-29.6K0.8318.03N/AN/A36230238,13413,146
2012-05-21$11.06$12.0042.5%12.2%31.7%32.2%41.9%5.5%0.8%195.3K2.6M-32.7K0.8114.62N/AN/A907335,25710,135
2012-05-22$11.08$12.0041.1%11.8%31.5%30.3%39.2%5.2%1.3%171.5K3.1M-30.7K1.7817.04N/AN/A25645635,28410,185
2012-05-23$10.96$12.0042.2%12.1%29.7%31.8%42.3%9.8%0.8%122.0K4.1M-28.1K1.1318.57N/AN/A14816735,38210,635
2012-05-24$11.05$12.0041.8%12.0%30.3%31.3%42.4%5.5%1.6%149.1K3.5M-30.6K0.0116.71N/AN/A109135,39910,671
2012-05-25$10.90$12.0040.6%11.7%27.3%29.7%40.7%5.9%3.1%114.4K4.1M-27.6K0.6418.85N/AN/A22514535,42310,608
2012-05-29$11.15$12.0041.6%11.9%29.9%31.1%41.6%7.5%1.8%142.4K3.6M-27.4K0.3419.39N/AN/A873035,52610,713
2012-05-30$10.60$12.0044.0%12.6%33.2%34.2%44.0%12.8%-0.5%38.5K5.6M-22.8K2.4316.48N/AN/A7418035,59710,713
2012-05-31$10.72$12.0042.0%12.0%33.7%31.5%26.6%12.2%1.5%34.5K5.2M-24.7K2.7418.66N/AN/A7420335,64410,746