MFC Options History — June 2012

In June 2012, MFC traded between $10.11 and $11.04. ATM implied volatility averaged 38.5%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 0.8% (HV 20d: 39.3%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.02.

Notable Days

  • 2012-06-15: Highest Volume — 1,924 contracts
  • 2012-06-13: Largest IV spike — 55.3% change
  • 2012-06-04: Highest IV Rank — 42.6%
  • 2012-06-04: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.55$10.11$11.04$10.11$10.89
Max Pain$11.05$11.00$12.00$12.00$11.00
ATM IV38.5%29.3%50.2%48.6%31.1%
Expected Move11.4%8.9%14.6%13.9%8.9%
HV 20d39.3%35.0%42.0%36.9%35.0%
HV 60d37.6%36.2%39.3%38.9%38.8%
IV Rank26.8%14.4%42.6%40.5%16.9%
IV Percentile41.6%9.5%80.2%75.0%12.7%
Term Structure2.6%-3.7%6.3%5.0%5.5%
VWIV38.9%29.5%49.9%43.1%32.3%
Skew 25d7.9%-2.9%17.4%-1.2%10.4%
Skew 10d14.4%0.4%33.4%3.3%18.4%
Call IV 25d34.5%19.4%44.2%41.8%23.1%
Put IV 25d42.4%31.5%54.0%40.6%33.5%
Bid-Ask Spread %27.8016.5189.4416.5132.66
Gamma HHI0.230.190.380.190.20
Net GEX-40.1K-64.3K-21.5K-27.1K-26.4K
Net DEX4.9M2.4M7.5M7.1M2.7M
Net VEX-18.7K-22.2K-14.6K-17.7K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.1633.550.860.67
Total Volume431.333511,924494347
Total OI31,990.52414,36548,13446,54016,169

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$10.11$12.0048.6%13.9%36.9%40.5%43.1%-1.2%5.0%-27.1K7.1M-17.7K0.8616.51N/AN/A26622835,67310,867
2012-06-04$10.19$11.0050.2%14.6%36.8%42.6%49.9%9.8%-3.7%-36.2K6.7M-17.8K1.8122.16N/AN/A30054435,67410,506
2012-06-05$10.35$11.0048.9%13.6%37.8%40.8%44.1%9.6%-0.4%-38.5K6.4M-18.6K0.4628.20N/AN/A1115135,88110,688
2012-06-06$10.74$11.0037.7%11.8%41.1%25.7%41.2%8.2%2.2%-21.5K5.6M-20.1K1.0118.60N/AN/A18618835,92310,689
2012-06-07$10.72$11.0040.1%12.2%40.9%29.0%44.8%7.4%-0.3%-24.6K5.7M-20.2K1.7918.79N/AN/A6311336,04410,835
2012-06-08$10.56$11.0039.2%12.4%40.9%27.8%44.2%6.8%-0.4%-44.3K6.2M-18.3K0.1622.91N/AN/A1702736,07010,885
2012-06-11$10.34$11.0040.4%13.0%40.7%29.3%44.3%7.0%1.0%-61.8K6.9M-16.6K3.2820.67N/AN/A258236,10510,885
2012-06-12$10.54$11.0029.3%11.9%41.1%14.4%40.6%7.1%0.1%-61.4K6.9M-16.6K1.8716.79N/AN/A305636,11810,919
2012-06-13$10.49$11.0045.5%13.4%39.7%36.2%44.2%7.3%-0.6%-56.3K7.0M-16.3K0.4222.77N/AN/A1857836,13110,874
2012-06-14$10.37$11.0043.8%12.6%37.8%34.0%41.6%7.5%0.7%-64.3K7.4M-14.6K33.5525.21N/AN/A2997336,26010,900
2012-06-15$10.56$11.0040.3%11.6%38.3%29.3%40.6%9.5%0.7%-49.2K7.5M-17.3K8.2923.32N/AN/A2071,71736,26211,872
2012-06-18$10.75$11.0035.7%10.2%38.5%23.0%36.4%15.5%6.2%-37.5K2.8M-19.0K1.1019.11N/AN/A3033326,7107,655
2012-06-19$11.04$11.0032.6%9.3%38.6%18.9%30.3%10.3%5.0%-27.7K2.4M-22.2K0.3217.42N/AN/A4271376,9387,956
2012-06-20$10.98$11.0033.2%9.5%38.6%19.7%29.5%17.4%5.6%-28.3K2.5M-20.7K0.2916.81N/AN/A290837,2468,034
2012-06-21$10.55$11.0034.3%9.8%41.0%21.1%33.8%9.9%3.8%-35.6K3.0M-19.9K1.2220.08N/AN/A2142627,4428,114
2012-06-22$10.59$11.0033.2%9.5%40.9%19.8%37.1%9.3%6.0%-38.5K3.1M-19.4K2.2989.44N/AN/A1022347,4028,179
2012-06-25$10.26$11.0038.2%10.9%42.0%26.4%33.1%-2.9%3.3%-44.5K3.5M-18.3K0.6829.77N/AN/A1771207,4908,212
2012-06-26$10.49$11.0037.7%10.8%42.0%25.7%0.0%5.0%3.8%-37.6K3.2M-19.8K1.9818.47N/AN/A641277,6468,298
2012-06-27$10.55$11.0032.6%9.3%38.1%18.9%33.3%7.7%4.9%-39.4K3.2M-19.8K0.1619.46N/AN/A137227,6708,412
2012-06-28$10.42$11.0035.4%10.2%38.1%22.7%32.6%5.1%6.3%-40.4K3.4M-19.7K1.1384.67N/AN/A24277,7428,425
2012-06-29$10.89$11.0031.1%8.9%35.0%16.9%32.3%10.4%5.5%-26.4K2.7M-20.7K0.6732.66N/AN/A2081397,7188,451