MFC Options History — March 2013

In March 2013, MFC traded between $14.55 and $15.26. ATM implied volatility averaged 19.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.8% (HV 20d: 20.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-03-06: Highest Volume — 658 contracts
  • 2013-03-14: Largest IV spike — 31.3% change
  • 2013-03-18: Highest IV Rank — 18.7%
  • 2013-03-06: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.91$14.55$15.26$14.82$14.72
Max Pain$14.60$14.00$15.00$15.00$15.00
ATM IV19.3%14.0%21.8%20.9%19.6%
Expected Move5.8%5.4%6.1%6.0%5.6%
HV 20d20.1%15.7%22.9%22.9%16.3%
HV 60d19.2%18.8%19.5%19.2%19.4%
IV Rank11.3%0.0%18.7%8.5%15.3%
IV Percentile3.8%0.0%7.1%4.4%4.8%
Term Structure2.5%0.5%4.4%0.5%3.0%
VWIV20.5%19.0%24.8%20.7%19.6%
Skew 25d1.2%-5.4%9.7%-1.1%5.9%
Skew 10d3.4%-2.1%9.1%0.6%8.7%
Call IV 25d17.6%12.3%20.6%18.7%17.3%
Put IV 25d18.8%12.9%24.1%17.5%23.2%
Bid-Ask Spread %14.199.2618.7218.3318.72
Gamma HHI0.530.420.690.500.48
Net GEX145.1K93.3K269.7K107.2K118.1K
Net DEX-2.1M-4.0M-906.9K-1.5M-1.2M
Net VEX-32.0K-33.1K-30.8K-32.5K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.005.571.090.00
Total Volume149.416582545
Total OI12,139.79,06114,43813,7379,961

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$14.82$15.0020.9%6.0%22.9%8.5%0.0%-1.1%0.5%107.2K-1.5M-32.5K0.0018.33N/AN/A0256,3597,378
2013-03-04$14.82$14.0021.8%5.9%22.9%11.3%20.7%9.7%1.9%111.5K-1.4M-31.6K1.0911.10N/AN/A921006,3597,377
2013-03-05$14.95$14.0021.6%5.7%22.8%10.5%20.0%3.1%2.4%126.4K-2.0M-32.5K0.3516.79N/AN/A72256,4337,465
2013-03-06$14.91$14.0019.8%6.1%22.6%4.8%21.1%2.4%1.8%131.8K-1.9M-32.3K0.1218.23N/AN/A590686,4887,484
2013-03-07$14.96$14.0018.5%5.9%22.5%0.8%0.0%3.1%1.9%159.4K-2.2M-33.1K0.0016.10N/AN/A506,7457,552
2013-03-08$15.08$14.0017.9%5.7%22.4%0.0%19.9%4.1%2.2%172.8K-2.7M-33.0K0.1315.66N/AN/A4056,7507,552
2013-03-11$15.26$15.0014.0%5.8%22.4%0.0%24.8%3.5%3.0%172.6K-3.7M-32.5K0.7216.21N/AN/A46336,7907,553
2013-03-12$15.11$15.0016.8%6.0%20.4%7.5%21.1%-4.3%1.5%192.2K-3.1M-32.4K2.1715.76N/AN/A23506,8327,550
2013-03-13$15.01$15.0015.8%5.7%20.1%5.0%20.8%-5.0%2.1%242.5K-2.6M-32.2K0.029.26N/AN/A10726,8457,552
2013-03-14$15.11$14.0020.8%6.0%19.9%18.7%0.0%4.3%1.5%269.7K-3.3M-32.0K0.2210.00N/AN/A68156,9017,522
2013-03-15$15.21$14.0019.8%5.7%19.8%16.0%19.6%-1.5%2.4%207.5K-4.0M-31.7K0.0715.62N/AN/A356256,9067,532
2013-03-18$14.92$14.0020.8%6.0%20.7%18.7%20.8%-0.7%2.3%99.8K-1.9M-30.9K5.5711.94N/AN/A281565,3173,744
2013-03-19$14.80$15.0019.3%5.5%20.7%14.7%19.3%6.9%4.4%93.3K-1.5M-31.2K0.8214.07N/AN/A2522075,3243,896
2013-03-20$14.98$15.0020.0%5.7%18.7%16.6%20.1%1.8%2.6%112.0K-1.8M-32.5K0.4710.91N/AN/A190905,5584,052
2013-03-21$14.76$15.0019.9%5.7%19.0%16.2%19.9%-2.3%3.3%118.0K-1.5M-32.0K0.1811.61N/AN/A1125,6974,072
2013-03-22$14.87$15.0019.8%5.7%19.0%16.0%0.0%6.3%2.2%119.5K-1.6M-32.6K0.0015.96N/AN/A105,7084,074
2013-03-25$14.66$15.0020.6%5.9%16.7%18.2%20.6%-4.5%3.0%111.9K-1.2M-31.6K3.3311.96N/AN/A24805,7094,074
2013-03-26$14.77$15.0019.2%5.5%16.8%14.2%0.0%-2.2%4.3%124.7K-1.4M-31.5K0.1214.19N/AN/A2535,7274,104
2013-03-27$14.55$15.0018.9%5.4%15.7%13.5%19.0%-5.4%4.3%111.1K-906.9K-30.8K3.7011.43N/AN/A271005,7454,107
2013-03-28$14.72$15.0019.6%5.6%16.3%15.3%19.6%5.9%3.0%118.1K-1.2M-31.7K0.0018.72N/AN/A4505,7544,207