MFC Options History — February 2013

In February 2013, MFC traded between $14.40 and $15.43. ATM implied volatility averaged 23.0%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.4% (HV 20d: 18.5%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 14.26.

Notable Days

  • 2013-02-14: Highest Volume — 19,614 contracts
  • 2013-02-07: Largest IV drop — 27.6% change
  • 2013-02-04: Highest IV Rank — 37.6%
  • 2013-02-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.86$14.40$15.43$14.49$14.82
Max Pain$13.95$13.00$15.00$13.00$15.00
ATM IV23.0%18.8%30.3%26.1%21.4%
Expected Move6.4%5.4%7.4%6.8%6.1%
HV 20d18.5%14.9%23.3%17.3%23.3%
HV 60d18.0%16.7%20.6%20.5%19.2%
IV Rank14.8%1.7%37.6%24.7%10.0%
IV Percentile10.0%1.6%38.5%17.9%5.6%
Term Structure0.3%-1.4%3.5%0.1%0.3%
VWIV23.2%19.1%38.0%23.2%21.4%
Skew 25d4.1%-3.8%10.6%4.3%-0.8%
Skew 10d5.0%-2.9%11.4%9.8%2.0%
Call IV 25d18.0%11.0%23.9%20.1%18.3%
Put IV 25d22.1%17.0%28.7%24.4%17.5%
Bid-Ask Spread %23.6415.5192.0021.0920.29
Gamma HHI0.440.310.610.390.48
Net GEX152.4K28.2K318.8K193.4K98.5K
Net DEX-3.4M-7.8M-164.1K-3.8M-1.5M
Net VEX-26.5K-32.1K-23.8K-26.2K-32.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.260.00230.500.420.33
Total Volume1,523.2635419,614102141
Total OI14,171.21111,53216,03715,30813,616

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$14.49$13.0026.1%6.8%17.3%24.7%0.0%4.3%0.1%193.4K-3.8M-26.2K0.4221.09N/AN/A72308,2097,099
2013-02-04$14.40$13.0030.3%7.1%17.4%37.6%23.2%4.2%-0.6%190.6K-3.2M-25.5K0.0024.97N/AN/A14908,2787,109
2013-02-05$14.56$13.0023.8%6.4%17.8%17.6%0.0%1.4%-0.4%211.1K-4.1M-25.7K0.1720.21N/AN/A94168,3937,109
2013-02-06$14.48$13.0028.3%7.3%15.9%31.6%29.8%8.8%-1.0%207.7K-3.5M-26.6K0.2922.67N/AN/A177528,4777,120
2013-02-07$14.61$13.0020.5%5.9%14.9%7.2%21.6%5.3%2.1%231.5K-4.1M-25.4K2.5192.00N/AN/A691738,6127,076
2013-02-08$14.80$13.0018.8%5.4%15.4%1.7%19.1%5.6%3.5%235.2K-5.1M-25.4K1.3221.69N/AN/A1912528,6337,117
2013-02-11$15.22$13.0023.4%6.7%18.1%16.2%21.9%10.6%-1.0%275.0K-7.2M-24.0K1.5215.51N/AN/A5949018,6846,989
2013-02-12$15.37$13.0022.4%6.4%18.0%13.2%22.3%-1.4%0.3%251.1K-7.8M-25.2K0.1522.51N/AN/A385598,9026,565
2013-02-13$15.19$13.0022.1%6.3%17.8%12.1%20.9%-3.8%-0.2%318.8K-7.2M-23.8K8.9417.95N/AN/A797069,0156,589
2013-02-14$15.33$13.0022.7%6.5%17.2%13.9%38.0%5.9%-0.1%224.1K-7.1M-24.5K0.0016.00N/AN/A19,527878,9117,126
2013-02-15$15.43$15.0021.2%6.1%17.1%9.5%20.7%8.9%1.5%67.7K-3.2M-24.4K2.1117.24N/AN/A2174575,4107,193
2013-02-19$15.34$15.0020.6%5.9%17.4%7.3%20.2%7.5%1.2%54.6K-2.4M-24.7K18.3119.34N/AN/A325864,9506,582
2013-02-20$14.91$15.0021.8%6.2%18.8%11.2%22.0%7.4%0.3%28.2K-1.0M-26.5K230.5020.63N/AN/A24614,9777,120
2013-02-21$14.73$15.0020.6%5.9%19.2%7.6%20.2%5.9%0.2%30.4K-468.1K-26.6K3.2322.18N/AN/A2668604,9797,169
2013-02-22$14.85$15.0021.8%6.3%19.4%11.3%21.8%6.5%-1.1%65.4K-970.3K-27.2K0.4916.26N/AN/A47235,0656,983
2013-02-25$14.44$15.0025.9%7.4%21.8%24.0%24.3%1.0%-0.2%44.9K-164.1K-26.4K0.2621.59N/AN/A1,6644345,1127,002
2013-02-26$14.52$15.0023.6%6.8%21.9%17.0%23.9%0.8%-1.4%70.6K-424.8K-31.4K0.1020.27N/AN/A4956,1867,350
2013-02-27$14.85$15.0020.8%6.0%23.3%8.2%0.0%-0.9%1.2%95.7K-1.4M-32.0K0.2116.69N/AN/A70156,1937,353
2013-02-28$14.82$15.0021.4%6.1%23.3%10.0%21.4%-0.8%0.3%98.5K-1.5M-32.1K0.3320.29N/AN/A106356,2637,353