MFC Options History — July 2012

In July 2012, MFC traded between $10.07 and $11.28. ATM implied volatility averaged 35.3%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 1.8% (HV 20d: 37.1%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.51.

Notable Days

  • 2012-07-31: Highest Volume — 2,249 contracts
  • 2012-07-12: Largest IV spike — 37.9% change
  • 2012-07-12: Highest IV Rank — 30.5%
  • 2012-07-12: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.64$10.07$11.28$10.92$10.72
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV35.3%29.5%41.3%29.7%35.8%
Expected Move10.4%8.5%11.8%8.5%10.2%
HV 20d37.1%34.8%39.4%34.9%36.1%
HV 60d36.7%35.6%39.0%38.8%36.6%
IV Rank22.5%14.8%30.5%15.1%23.1%
IV Percentile28.1%9.1%53.6%10.7%26.2%
Term Structure-0.3%-3.5%8.3%6.6%-0.8%
VWIV35.6%27.8%41.2%29.7%36.9%
Skew 25d5.7%-7.7%12.9%12.0%11.0%
Skew 10d22.0%-3.0%98.4%55.6%98.4%
Call IV 25d32.1%19.5%38.8%23.2%30.6%
Put IV 25d37.8%25.8%43.6%35.2%41.6%
Bid-Ask Spread %33.5117.4293.2837.5521.26
Gamma HHI0.250.180.350.210.24
Net GEX-42.6K-73.5K-9.5K-23.1K-41.5K
Net DEX3.3M2.0M4.2M2.6M3.1M
Net VEX-17.8K-21.3K-15.0K-20.3K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0035.000.850.02
Total Volume334.238162,2492282,249
Total OI16,884.47616,05217,64416,31617,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$10.92$11.0029.7%8.5%34.9%15.1%29.7%12.0%6.6%-23.1K2.6M-20.3K0.8537.55N/AN/A1231057,8738,443
2012-07-03$11.28$11.0029.5%8.5%36.2%14.8%29.5%7.6%8.3%-9.5K2.0M-21.3K1.6917.79N/AN/A1051777,9388,543
2012-07-05$11.09$11.0030.6%8.8%34.8%16.3%31.0%-0.3%5.4%-11.8K2.2M-20.6K0.0793.28N/AN/A1517,9888,520
2012-07-06$10.70$11.0033.1%11.0%37.2%19.6%39.7%6.3%-1.3%-27.7K2.9M-19.2K3.5231.27N/AN/A461627,9898,521
2012-07-09$10.83$11.0033.9%10.5%37.0%20.6%35.9%7.3%-1.3%-27.7K2.9M-19.3K0.5620.74N/AN/A144808,0088,672
2012-07-10$10.74$11.0031.4%10.4%36.3%17.3%36.4%6.9%-0.7%-34.2K3.1M-18.5K3.9733.69N/AN/A672668,0898,737
2012-07-11$10.88$11.0029.9%10.4%35.9%15.3%0.0%6.6%-0.1%-28.7K2.9M-19.7K35.0036.56N/AN/A2708,1418,997
2012-07-12$10.47$11.0041.3%11.8%38.6%30.5%36.5%4.7%-3.5%-50.8K3.5M-18.7K0.0033.12N/AN/A11908,1419,067
2012-07-13$10.74$11.0037.9%10.9%39.4%26.0%37.4%5.2%-1.7%-32.5K3.2M-18.9K0.0036.66N/AN/A4508,1939,017
2012-07-16$10.56$11.0037.9%10.9%39.4%26.0%41.2%5.1%-0.4%-47.3K3.5M-17.7K0.1935.07N/AN/A193368,1829,017
2012-07-17$10.61$11.0035.9%10.3%38.9%23.4%36.7%4.1%0.2%-46.9K3.6M-17.1K1.0937.41N/AN/A53588,1919,044
2012-07-18$10.59$11.0036.6%10.5%37.5%24.3%27.8%6.4%-2.5%-51.4K3.6M-17.0K0.6940.59N/AN/A36258,1669,054
2012-07-19$10.75$11.0036.9%10.6%38.0%24.7%37.0%12.9%-1.9%-22.8K3.3M-17.5K0.4834.62N/AN/A117568,1618,922
2012-07-20$10.52$11.0034.7%9.9%36.0%21.7%34.3%3.2%-1.3%-56.7K3.6M-16.2K0.4330.09N/AN/A155668,2358,960
2012-07-23$10.14$11.0039.4%11.3%38.2%28.0%39.3%-7.7%-2.5%-66.8K4.0M-15.1K1.3029.19N/AN/A1612097,4868,566
2012-07-24$10.07$11.0038.1%10.9%36.7%26.3%38.1%6.5%-1.3%-70.3K4.1M-15.3K0.5947.70N/AN/A1691007,6198,757
2012-07-25$10.07$11.0039.9%11.4%35.7%28.7%38.1%4.8%-2.9%-72.2K4.2M-15.0K0.9628.69N/AN/A1141097,7008,857
2012-07-26$10.30$11.0036.7%10.5%36.6%24.5%34.9%-2.6%-0.4%-73.5K4.0M-15.5K0.2417.42N/AN/A4531077,6878,901
2012-07-27$10.74$11.0035.1%10.1%39.4%22.3%35.6%10.4%-0.8%-55.9K3.2M-16.6K0.7122.88N/AN/A4453178,0089,007
2012-07-30$10.69$11.0037.1%10.7%36.1%25.0%36.9%9.7%-2.4%-43.4K3.2M-16.8K0.3818.23N/AN/A192728,3769,157
2012-07-31$10.72$11.0035.8%10.2%36.1%23.1%0.0%11.0%-0.8%-41.5K3.1M-17.0K0.0221.26N/AN/A2,215348,4479,197