MFC Options History — January 2013

In January 2013, MFC traded between $13.87 and $14.79. ATM implied volatility averaged 23.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.7% (HV 20d: 18.8%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2013-01-25: Highest Volume — 1,414 contracts
  • 2013-01-10: Largest IV spike — 43.4% change
  • 2013-01-31: Highest IV Rank — 26.7%
  • 2013-01-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.43$13.87$14.79$13.87$14.43
Max Pain$14.10$13.00$15.00$13.00$15.00
ATM IV23.5%18.2%26.8%22.3%26.8%
Expected Move7.1%6.0%7.9%6.4%7.7%
HV 20d18.8%16.6%20.6%16.6%18.2%
HV 60d21.0%20.5%21.8%21.8%20.5%
IV Rank16.4%0.0%26.7%11.9%26.7%
IV Percentile9.2%0.0%21.0%2.0%21.0%
Term Structure-1.4%-4.0%5.5%4.4%-3.2%
VWIV24.4%18.5%28.7%18.5%26.1%
Skew 25d2.3%-3.1%6.7%-2.4%0.8%
Skew 10d4.5%-5.0%15.1%15.1%-5.0%
Call IV 25d22.0%18.1%24.9%20.7%24.9%
Put IV 25d24.3%18.3%29.3%18.3%25.7%
Bid-Ask Spread %27.7918.7297.4822.4797.48
Gamma HHI0.340.220.430.250.38
Net GEX166.7K87.6K236.1K100.7K188.9K
Net DEX-4.9M-6.1M-3.3M-3.3M-3.4M
Net VEX-24.4K-26.9K-22.0K-23.7K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.0845.500.772.20
Total Volume362.095481,414232192
Total OI13,792.1911,95815,23211,95815,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$13.87$13.0022.3%6.4%16.6%11.9%18.5%-2.4%4.4%100.7K-3.3M-23.7K0.7722.47N/AN/A1311016,5005,458
2013-01-03$14.11$13.0021.0%6.0%17.3%7.7%20.9%2.4%5.5%87.6K-3.9M-22.8K0.3824.94N/AN/A2901116,4585,547
2013-01-04$14.20$14.0018.4%7.3%17.2%0.0%25.9%6.1%0.3%95.5K-4.5M-22.7K0.7019.86N/AN/A3152206,7115,556
2013-01-07$14.22$14.0020.4%7.2%17.2%6.5%25.3%4.5%-0.7%90.6K-4.5M-23.0K1.1722.86N/AN/A1261476,8175,757
2013-01-08$14.55$14.0018.5%7.0%18.4%0.5%23.3%6.7%-2.1%97.3K-5.5M-22.0K0.0822.15N/AN/A1,166946,8605,881
2013-01-09$14.30$14.0018.2%7.9%20.0%0.0%27.3%-3.1%-1.7%155.2K-5.2M-24.6K1.4818.72N/AN/A1472187,9445,973
2013-01-10$14.33$14.0026.1%7.5%19.9%24.7%26.3%-2.1%-1.7%146.6K-5.3M-25.1K0.8122.59N/AN/A80657,9646,181
2013-01-11$14.40$14.0026.6%7.6%19.8%26.2%22.1%2.5%-1.5%154.8K-5.5M-24.5K0.7622.49N/AN/A1761338,0126,214
2013-01-14$14.55$14.0025.9%7.4%19.5%24.2%25.2%2.1%-3.4%171.3K-6.1M-23.8K0.3923.90N/AN/A109438,0586,130
2013-01-15$14.35$14.0026.6%7.6%20.1%26.3%0.0%-2.8%-1.9%171.1K-5.4M-24.1K0.5826.12N/AN/A2331348,1286,156
2013-01-16$14.20$14.0026.3%7.5%20.6%25.2%28.7%4.0%-1.8%172.2K-5.0M-25.2K45.5027.89N/AN/A2918,2586,176
2013-01-17$14.33$14.0024.6%7.1%18.4%20.0%24.9%-1.1%0.3%178.2K-5.2M-24.5K0.5026.02N/AN/A44228,1476,259
2013-01-18$14.43$14.0026.2%7.5%18.4%24.8%26.1%1.1%-2.5%186.4K-5.6M-24.3K1.4026.66N/AN/A971368,1876,266
2013-01-22$14.79$14.0022.6%6.5%20.0%13.7%22.3%5.0%-2.6%205.5K-5.1M-23.7K0.5327.68N/AN/A5032667,1935,848
2013-01-23$14.70$14.0022.3%6.4%19.0%12.7%22.5%2.8%-2.7%234.0K-5.3M-24.2K4.9528.88N/AN/A19947,6385,872
2013-01-24$14.74$14.0022.0%6.3%18.9%11.9%21.7%3.5%-0.8%236.1K-5.3M-24.3K2.2125.66N/AN/A631397,6395,921
2013-01-25$14.71$14.0023.7%6.8%18.8%17.1%23.8%5.8%-1.8%222.9K-5.0M-24.2K1.3322.89N/AN/A6078077,6626,048
2013-01-28$14.63$15.0025.7%7.4%19.0%23.4%25.9%2.0%-4.0%204.9K-4.5M-25.9K5.8624.58N/AN/A7418,1756,720
2013-01-29$14.64$15.0025.5%7.3%18.7%22.8%26.7%5.2%-4.0%204.2K-4.4M-26.0K3.1924.94N/AN/A752398,1776,750
2013-01-30$14.60$15.0024.3%7.0%18.5%19.0%0.0%4.7%-4.0%197.0K-4.1M-26.9K9.0824.76N/AN/A121098,1926,971
2013-01-31$14.43$15.0026.8%7.7%18.2%26.7%26.1%0.8%-3.2%188.9K-3.4M-26.0K2.2097.48N/AN/A601328,1827,050