MFC Options History — October 2012

In October 2012, MFC traded between $12.07 and $12.72. ATM implied volatility averaged 31.5%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.2% (HV 20d: 27.3%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-10-26: Highest Volume — 709 contracts
  • 2012-10-11: Largest IV spike — 37.4% change
  • 2012-10-31: Highest IV Rank — 40.4%
  • 2012-10-09: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.33$12.07$12.72$12.07$12.38
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV31.5%23.6%36.3%31.6%36.3%
Expected Move9.5%8.0%10.5%9.1%10.4%
HV 20d27.3%21.2%35.3%35.3%21.8%
HV 60d30.4%27.4%32.3%32.1%27.4%
IV Rank29.3%11.5%40.4%28.0%40.4%
IV Percentile25.5%0.8%49.6%21.8%49.6%
Term Structure-1.3%-6.8%6.9%3.2%-3.8%
VWIV32.7%27.9%36.3%32.1%35.8%
Skew 25d4.0%-8.1%11.3%-4.6%7.2%
Skew 10d8.1%-14.0%21.6%-7.8%17.1%
Call IV 25d29.4%23.8%34.6%30.9%34.6%
Put IV 25d33.4%23.3%41.8%26.3%41.8%
Bid-Ask Spread %21.1115.9528.0617.3528.06
Gamma HHI0.260.220.310.220.29
Net GEX67.8K44.2K91.7K49.5K75.0K
Net DEX-1.7M-3.2M-916.9K-1.1M-1.5M
Net VEX-23.7K-25.3K-22.3K-25.0K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.044.361.321.98
Total Volume235.7140709146119
Total OI16,496.57115,68917,34016,04316,266

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$12.07$12.0031.6%9.1%35.3%28.0%32.1%-4.6%3.2%49.5K-1.1M-25.0K1.3217.35N/AN/A63836,8189,225
2012-10-02$12.11$12.0027.8%8.0%35.2%19.8%27.9%-5.3%6.9%49.7K-1.1M-24.4K3.5216.51N/AN/A582046,8489,268
2012-10-03$12.10$12.0028.6%8.2%35.2%22.8%28.4%-8.1%6.0%44.2K-1.0M-24.7K0.0915.95N/AN/A115106,9069,427
2012-10-04$12.43$12.0028.2%8.1%34.7%21.9%0.0%2.2%6.4%65.0K-2.0M-24.7K0.5222.26N/AN/A97507,0169,436
2012-10-05$12.56$12.0024.2%9.0%34.0%12.8%30.7%3.2%-0.6%68.8K-2.4M-25.3K0.3022.33N/AN/A154467,0559,436
2012-10-08$12.42$12.0027.5%10.1%34.0%20.3%0.0%11.3%-2.2%70.6K-2.0M-24.4K0.0020.25N/AN/A007,1299,461
2012-10-09$12.23$12.0023.6%10.5%33.9%11.5%36.3%7.2%-6.8%68.6K-1.6M-24.2K1.5719.36N/AN/A46727,1299,461
2012-10-10$12.07$12.0026.4%9.9%33.7%17.9%34.9%0.3%-3.0%55.2K-987.2K-23.8K1.8320.64N/AN/A54997,1499,523
2012-10-11$12.20$12.0036.3%10.4%28.1%40.3%34.6%6.1%-4.1%65.5K-1.4M-23.7K0.1418.03N/AN/A318467,1479,568
2012-10-12$12.08$12.0035.5%10.2%23.5%38.4%33.8%2.1%-4.0%63.7K-1.0M-23.7K0.8320.81N/AN/A92767,3479,614
2012-10-15$12.25$12.0033.1%9.5%22.0%33.0%33.0%1.2%-2.7%82.8K-1.6M-23.0K1.8923.15N/AN/A45857,3679,661
2012-10-16$12.47$12.0032.8%9.4%22.3%32.3%32.6%6.3%-1.5%76.7K-2.3M-22.6K0.7418.53N/AN/A27207,3929,646
2012-10-17$12.66$12.0031.9%9.1%23.0%30.3%32.7%9.1%-2.0%82.4K-2.9M-22.3K0.0719.31N/AN/A217167,4099,653
2012-10-18$12.72$12.0031.4%9.0%21.2%29.2%30.9%9.2%-1.8%91.7K-3.2M-22.4K0.0423.39N/AN/A328147,5289,654
2012-10-19$12.44$12.0033.0%9.4%22.8%32.7%32.9%4.9%-0.2%73.0K-2.3M-23.3K2.1020.73N/AN/A1763697,6929,648
2012-10-22$12.48$12.0033.4%9.6%22.7%33.8%32.6%5.5%-1.6%75.9K-1.6M-22.5K1.4822.57N/AN/A1902817,0118,678
2012-10-23$12.24$12.0034.3%9.8%23.0%35.8%34.1%4.0%-3.0%50.8K-916.9K-24.1K4.3617.51N/AN/A11487,1858,707
2012-10-24$12.28$12.0035.6%10.2%22.7%38.7%32.7%8.5%-4.6%61.7K-1.2M-23.4K0.5627.01N/AN/A2701527,1958,749
2012-10-25$12.48$12.0034.4%9.9%21.9%36.1%31.1%7.6%-3.6%79.6K-1.7M-23.3K1.1325.09N/AN/A891017,3028,650
2012-10-26$12.35$12.0035.6%10.2%21.8%38.6%34.6%5.6%-4.1%73.9K-1.5M-23.2K2.3624.43N/AN/A2114987,3218,751
2012-10-31$12.38$12.0036.3%10.4%21.8%40.4%35.8%7.2%-3.8%75.0K-1.5M-23.2K1.9828.06N/AN/A40797,4658,801