MFC Options History — September 2012

In September 2012, MFC traded between $11.34 and $13.02. ATM implied volatility averaged 29.3%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.2% (HV 20d: 31.5%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 18.49.

Notable Days

  • 2012-09-24: Highest Volume — 1,697 contracts
  • 2012-09-06: Largest IV drop — 16.8% change
  • 2012-09-04: Highest IV Rank — 29.9%
  • 2012-09-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.09$11.34$13.02$11.34$12.04
Max Pain$11.32$11.00$12.00$12.00$12.00
ATM IV29.3%25.7%33.3%33.3%27.5%
Expected Move8.5%7.4%9.5%9.5%7.9%
HV 20d31.5%23.1%36.7%24.6%35.3%
HV 60d33.7%32.3%35.2%32.7%33.0%
IV Rank22.7%14.5%29.9%29.9%19.2%
IV Percentile9.4%1.2%23.4%23.4%2.8%
Term Structure3.5%0.0%7.9%0.0%7.4%
VWIV29.0%21.6%34.3%21.6%27.5%
Skew 25d2.8%-9.4%16.0%4.5%-7.6%
Skew 10d3.5%-12.3%16.1%4.7%-12.3%
Call IV 25d27.1%17.5%31.3%28.2%29.9%
Put IV 25d29.8%21.0%34.0%32.7%22.3%
Bid-Ask Spread %23.3016.4953.9917.5117.38
Gamma HHI0.300.210.400.240.21
Net GEX92.3K31.3K183.1K34.8K43.0K
Net DEX-1.3M-4.8M1.2M1.2M-871.7K
Net VEX-21.4K-25.4K-18.7K-20.3K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.490.06331.801.252.62
Total Volume443.632581,697180268
Total OI20,199.26314,02423,97520,82315,798

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$11.34$12.0033.3%9.5%24.6%29.9%21.6%4.5%0.0%34.8K1.2M-20.3K1.2517.51N/AN/A8010010,9739,850
2012-09-05$11.35$12.0030.9%8.9%23.1%25.1%31.2%3.2%0.9%38.8K1.2M-20.4K0.2916.49N/AN/A451311,0459,895
2012-09-06$11.72$12.0025.7%7.4%25.1%14.5%26.7%5.1%2.5%86.1K28.7K-19.8K0.4818.01N/AN/A1939211,0529,894
2012-09-07$11.99$11.0025.7%8.9%26.0%14.6%30.6%4.6%2.6%107.0K-960.8K-19.5K0.7120.03N/AN/A23416611,1229,857
2012-09-10$11.85$11.0029.2%8.6%26.6%21.6%34.3%5.5%2.2%101.9K-454.0K-19.4K0.2719.73N/AN/A3138611,2159,946
2012-09-11$12.08$11.0028.2%8.4%26.4%19.6%29.7%6.0%3.4%121.3K-1.2M-19.9K0.0926.52N/AN/A2372211,3439,955
2012-09-12$11.87$11.0027.4%8.4%27.2%19.0%29.6%0.0%3.5%127.6K-676.7K-19.5K0.7124.65N/AN/A15711211,5419,962
2012-09-13$12.50$11.0029.2%8.4%32.4%22.9%27.1%3.1%4.3%122.0K-2.9M-18.7K0.3719.00N/AN/A30711411,56410,027
2012-09-14$13.02$11.0029.1%8.3%34.3%22.6%29.9%16.0%1.7%87.1K-4.8M-18.7K0.7128.41N/AN/A71450411,67910,108
2012-09-17$12.63$11.0029.4%8.4%35.3%23.3%0.0%11.0%1.4%110.7K-3.5M-19.7K0.6929.33N/AN/A886111,99410,210
2012-09-18$12.43$11.0031.6%9.1%35.4%28.0%30.3%6.3%2.5%132.4K-2.9M-19.5K331.8018.32N/AN/A51,65912,02310,234
2012-09-19$12.42$11.0031.0%8.9%35.3%26.7%28.8%2.4%2.5%106.3K-2.4M-22.6K0.0619.96N/AN/A3162012,02211,686
2012-09-20$12.14$11.0030.4%8.7%36.7%25.5%30.4%3.8%2.2%183.1K-1.2M-23.3K1.2925.51N/AN/A415312,28611,689
2012-09-21$12.08$11.0028.3%8.1%34.5%20.9%28.4%2.5%5.8%180.9K-1.1M-22.9K1.7128.37N/AN/A14024012,25811,653
2012-09-24$12.18$11.0029.6%8.5%34.5%23.7%28.1%-2.1%5.0%50.5K-1.3M-22.3K1.6219.24N/AN/A6481,0496,1177,907
2012-09-25$11.98$11.0031.9%9.2%35.1%28.7%31.8%-9.4%3.8%39.7K-923.7K-25.2K1.0653.99N/AN/A87926,6218,881
2012-09-26$11.88$12.0029.4%8.4%35.1%23.3%29.8%1.4%6.4%31.3K-529.7K-25.4K5.1723.52N/AN/A12626,6988,960
2012-09-27$12.17$12.0028.4%8.2%35.5%21.2%26.3%-3.4%7.9%48.7K-1.2M-25.2K0.4316.77N/AN/A69306,6999,022
2012-09-28$12.04$12.0027.5%7.9%35.3%19.2%27.5%-7.6%7.4%43.0K-871.7K-25.4K2.6217.38N/AN/A741946,7569,042