MFC Options History — December 2012

In December 2012, MFC traded between $12.80 and $13.81. ATM implied volatility averaged 25.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.0% (HV 20d: 16.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.01.

Notable Days

  • 2012-12-31: Highest Volume — 1,354 contracts
  • 2012-12-13: Largest IV spike — 19.7% change
  • 2012-12-27: Highest IV Rank — 36.7%
  • 2012-12-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.32$12.80$13.81$12.80$13.59
Max Pain$12.80$12.00$13.00$12.00$13.00
ATM IV25.0%22.1%30.2%23.2%24.4%
Expected Move7.3%6.6%8.6%6.6%7.0%
HV 20d16.9%12.6%26.3%26.2%15.7%
HV 60d23.5%21.3%28.0%28.0%21.5%
IV Rank18.9%9.9%36.7%12.6%18.4%
IV Percentile7.8%1.6%28.6%2.4%7.9%
Term Structure2.9%1.0%4.6%1.6%4.5%
VWIV24.7%22.9%28.3%25.4%24.4%
Skew 25d3.4%-4.2%8.3%-4.2%7.6%
Skew 10d7.8%-4.5%38.9%34.0%8.1%
Call IV 25d21.9%15.0%25.0%21.9%22.9%
Put IV 25d25.3%17.8%30.5%17.8%30.5%
Bid-Ask Spread %37.2015.64102.3921.8215.64
Gamma HHI0.460.290.650.470.33
Net GEX198.2K133.2K281.9K213.1K138.8K
Net DEX-4.6M-6.9M-2.7M-3.6M-3.1M
Net VEX-21.2K-22.1K-19.4K-20.9K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0014.930.0313.25
Total Volume387.9581,3541991,354
Total OI16,408.110,19019,26917,70710,719

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$12.80$12.0023.2%6.6%26.2%12.6%25.4%-4.2%1.6%213.1K-3.6M-20.9K0.0321.82N/AN/A19368,5299,178
2012-12-04$12.83$12.0025.1%7.2%26.2%18.0%24.1%-4.2%1.0%211.0K-3.7M-21.0K0.6219.55N/AN/A112698,5689,184
2012-12-05$12.95$12.0023.3%6.7%26.3%13.0%28.3%-3.1%3.4%228.4K-4.1M-20.9K0.3518.53N/AN/A155558,5899,244
2012-12-06$12.98$12.0025.2%7.2%20.0%18.2%23.6%-0.2%1.1%223.0K-4.1M-21.1K1.1522.10N/AN/A13158,6579,274
2012-12-07$13.05$13.0023.5%7.6%17.8%13.7%26.2%5.6%3.1%237.9K-4.5M-20.7K14.9326.94N/AN/A671,0008,6669,289
2012-12-10$13.19$13.0024.9%7.8%15.5%17.3%24.6%5.0%2.9%242.6K-5.1M-19.4K0.75102.39N/AN/A4173138,6978,716
2012-12-11$13.32$13.0025.4%7.8%15.6%18.9%24.8%5.6%1.5%230.2K-5.6M-20.2K0.3727.90N/AN/A3071159,0198,999
2012-12-12$13.30$13.0022.1%8.0%14.2%9.9%23.8%6.8%1.2%247.8K-5.5M-20.3K0.1229.29N/AN/A281359,1559,114
2012-12-13$13.21$13.0026.5%7.6%12.6%21.8%26.0%-3.5%2.4%281.9K-5.3M-21.1K1.9970.42N/AN/A2665309,3589,131
2012-12-14$13.11$13.0025.7%7.4%13.3%19.6%0.0%5.0%3.2%269.8K-4.8M-21.6K0.0031.47N/AN/A02559,3839,529
2012-12-17$13.26$13.0026.8%7.7%13.2%22.7%23.4%6.3%3.5%277.6K-5.4M-22.1K0.0028.01N/AN/A2309,3839,708
2012-12-18$13.65$13.0023.4%6.7%14.7%15.5%23.4%6.5%2.7%143.7K-6.6M-21.5K0.1519.75N/AN/A391599,3739,708
2012-12-19$13.75$13.0023.3%6.7%14.7%14.9%24.2%8.3%4.5%143.6K-6.8M-21.4K0.1224.72N/AN/A317379,3949,691
2012-12-20$13.81$13.0023.9%6.9%14.1%17.0%24.0%8.1%3.8%161.6K-6.9M-21.7K0.1292.97N/AN/A254309,4919,584
2012-12-21$13.59$13.0023.4%6.7%15.7%15.3%25.7%2.8%4.3%173.3K-6.5M-21.6K0.2498.90N/AN/A348829,6759,594
2012-12-24$13.57$13.0023.6%6.8%15.8%15.9%23.7%3.7%3.7%134.0K-3.0M-21.7K1.1318.88N/AN/A1281456,1494,041
2012-12-26$13.50$13.0027.6%7.9%16.1%28.6%23.8%4.5%4.3%134.4K-2.8M-22.0K0.0022.33N/AN/A086,2554,160
2012-12-27$13.50$13.0030.2%8.6%15.7%36.7%26.1%4.9%1.2%133.2K-2.8M-21.9K0.5525.50N/AN/A113626,2554,163
2012-12-28$13.41$13.0028.2%8.1%15.4%30.5%22.9%3.5%4.6%137.8K-2.7M-21.9K0.3126.97N/AN/A156486,3254,215
2012-12-31$13.59$13.0024.4%7.0%15.7%18.4%24.4%7.6%4.5%138.8K-3.1M-21.7K13.2515.64N/AN/A951,2596,4674,252