MFC Options History — November 2012

In November 2012, MFC traded between $11.83 and $12.91. ATM implied volatility averaged 29.3%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.6% (HV 20d: 25.7%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2012-11-30: Highest Volume — 960 contracts
  • 2012-11-15: Largest IV spike — 52.3% change
  • 2012-11-07: Highest IV Rank — 56.5%
  • 2012-11-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.35$11.83$12.91$12.40$12.85
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV29.3%20.8%39.3%35.9%24.0%
Expected Move8.0%6.1%10.3%10.3%6.9%
HV 20d25.7%20.1%28.0%21.8%26.7%
HV 60d28.2%27.0%29.2%27.4%28.0%
IV Rank28.6%6.3%56.5%39.4%15.0%
IV Percentile23.5%0.4%68.3%47.2%3.6%
Term Structure2.1%-5.0%7.3%-5.0%1.2%
VWIV27.3%19.2%33.5%26.0%22.3%
Skew 25d2.6%-3.5%5.0%-0.1%-3.5%
Skew 10d7.9%-2.0%38.9%-2.0%38.9%
Call IV 25d26.1%19.4%31.7%31.7%21.1%
Put IV 25d28.8%17.6%34.2%31.6%17.6%
Bid-Ask Spread %33.3317.4789.2527.8617.47
Gamma HHI0.310.240.440.310.43
Net GEX96.2K-13.0K213.2K83.0K201.5K
Net DEX-1.6M-4.0M45.8K-1.6M-3.8M
Net VEX-21.4K-22.8K-19.8K-22.8K-20.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.006.820.150.18
Total Volume303.0955960200960
Total OI16,896.76216,29917,53616,29917,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$12.40$12.0035.9%10.3%21.8%39.4%26.0%-0.1%-5.0%83.0K-1.6M-22.8K0.0027.86N/AN/A02007,4598,840
2012-11-02$12.60$12.0034.1%9.8%22.4%35.4%33.5%1.5%-4.9%94.2K-2.0M-22.8K0.1525.82N/AN/A204317,4598,962
2012-11-05$12.58$12.0034.0%8.6%20.4%40.0%29.8%4.3%1.5%96.9K-2.0M-22.7K0.0024.52N/AN/A507,6228,953
2012-11-06$12.63$12.0037.0%8.6%20.1%50.4%29.3%4.1%2.2%102.9K-2.1M-22.6K0.0026.80N/AN/A4007,6228,953
2012-11-07$12.08$12.0039.3%8.9%25.4%56.5%31.6%1.4%7.3%57.2K-823.2K-21.8K2.0045.11N/AN/A701407,6628,953
2012-11-08$11.83$12.0032.3%8.9%25.9%37.3%31.1%3.4%3.2%24.6K45.8K-21.2K0.7889.25N/AN/A2181707,6709,054
2012-11-09$12.18$12.0034.7%8.9%27.7%44.0%30.6%3.1%-0.5%50.6K-698.9K-22.2K1.8463.44N/AN/A801477,8429,181
2012-11-12$12.29$12.0038.4%8.7%27.6%54.2%29.9%3.0%2.0%65.6K-1.2M-22.1K3.2260.12N/AN/A812617,8769,296
2012-11-13$12.12$12.0033.9%8.0%27.9%41.8%27.9%2.4%4.9%38.4K-692.0K-21.6K0.0030.57N/AN/A0867,8829,464
2012-11-14$11.92$12.0020.8%9.0%28.0%6.3%31.1%1.7%2.1%35.7K-30.5K-21.8K6.8224.86N/AN/A1228327,8829,550
2012-11-15$11.91$12.0031.7%9.1%27.0%35.9%30.0%3.5%2.1%37.4K-49.0K-21.2K1.0827.39N/AN/A92997,9009,076
2012-11-16$11.89$12.0029.9%8.6%26.3%31.0%31.0%4.7%3.4%-13.0K-56.4K-20.9K1.3224.20N/AN/A3825057,8869,107
2012-11-19$12.14$12.0026.5%7.6%27.5%21.7%25.1%4.6%2.6%90.1K-1.2M-21.3K0.5017.50N/AN/A161807,6258,867
2012-11-20$12.18$12.0025.0%7.2%26.5%17.6%25.1%3.7%4.4%98.8K-1.3M-20.9K0.0223.91N/AN/A8627,7288,921
2012-11-21$12.39$12.0023.8%6.8%27.3%14.4%23.6%1.9%3.5%133.2K-2.1M-21.0K0.5421.68N/AN/A87477,7988,921
2012-11-23$12.55$12.0021.3%6.1%26.7%7.6%24.3%2.8%3.4%149.6K-2.6M-20.5K0.8823.85N/AN/A57507,8588,943
2012-11-26$12.56$12.0023.9%6.8%26.6%14.5%23.7%4.9%1.2%143.8K-2.6M-20.6K1.0156.29N/AN/A1341357,8858,981
2012-11-27$12.55$12.0024.4%7.0%26.1%15.9%24.5%5.0%1.0%141.6K-2.5M-20.7K0.0324.60N/AN/A310107,8899,094
2012-11-28$12.72$12.0022.9%6.6%26.1%12.0%23.0%5.0%4.8%175.2K-3.1M-20.4K0.2224.02N/AN/A184418,1079,104
2012-11-29$12.91$12.0021.7%6.2%26.6%8.8%19.2%-1.7%3.3%213.2K-4.0M-19.8K0.1620.69N/AN/A221358,2819,143
2012-11-30$12.85$12.0024.0%6.9%26.7%15.0%22.3%-3.5%1.2%201.5K-3.8M-20.2K0.1817.47N/AN/A8131478,3809,156