MFC Options History — April 2013

In April 2013, MFC traded between $13.49 and $14.82. ATM implied volatility averaged 26.3%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.5% (HV 20d: 27.8%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2013-04-04: Highest Volume — 315 contracts
  • 2013-04-11: Largest IV spike — 83.3% change
  • 2013-04-17: Highest IV Rank — 52.1%
  • 2013-04-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.13$13.49$14.82$14.50$14.78
Max Pain$14.23$14.00$15.00$15.00$14.00
ATM IV26.3%15.8%32.9%24.9%27.5%
Expected Move7.9%5.7%9.4%7.2%7.9%
HV 20d27.8%17.1%34.4%17.1%33.4%
HV 60d22.6%19.3%25.4%19.3%25.4%
IV Rank33.9%4.8%52.1%30.2%37.2%
IV Percentile35.0%0.4%61.5%27.0%41.7%
Term Structure-2.2%-4.7%3.5%1.8%-4.7%
VWIV28.1%24.3%32.6%31.8%29.4%
Skew 25d5.1%-9.7%14.1%4.0%9.2%
Skew 10d7.0%-7.4%18.6%5.2%9.9%
Call IV 25d23.1%15.7%29.2%20.4%22.1%
Put IV 25d28.1%14.3%35.9%24.4%31.3%
Bid-Ask Spread %14.519.9821.5921.5917.22
Gamma HHI0.380.280.490.470.45
Net GEX64.6K17.3K133.9K108.2K114.1K
Net DEX216.9K-1.5M1.4M-806.5K-1.2M
Net VEX-28.0K-30.2K-25.2K-29.9K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.006.000.082.92
Total Volume12603150235
Total OI10,377.9559,97310,7409,97310,740

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$14.50$15.0024.9%7.2%17.1%30.2%0.0%4.0%1.8%108.2K-806.5K-29.9K0.0021.59N/AN/A005,7664,207
2013-04-02$14.82$15.0019.8%5.7%18.9%16.0%0.0%-1.8%2.8%133.9K-1.5M-30.2K0.0814.49N/AN/A3635,7664,207
2013-04-03$14.36$15.0021.9%6.3%21.7%21.9%31.8%-9.7%-4.7%95.9K-460.4K-30.0K0.8418.67N/AN/A38325,7874,204
2013-04-04$14.13$15.0023.9%6.9%22.3%27.4%28.4%-4.0%3.5%77.4K83.0K-28.6K1.2313.12N/AN/A1411745,8194,206
2013-04-05$13.86$15.0023.8%7.7%22.9%26.9%27.4%12.2%-1.0%46.4K814.4K-27.4K1.8815.07N/AN/A1041965,8544,361
2013-04-08$13.89$14.0024.4%8.4%22.6%28.6%29.3%6.3%-3.7%48.3K678.7K-28.1K0.0119.32N/AN/A7915,8874,422
2013-04-09$14.03$14.0025.6%8.2%22.4%32.0%28.6%5.1%-2.8%57.6K456.7K-28.1K0.0013.19N/AN/A805,9144,422
2013-04-10$14.45$14.0015.8%8.2%25.3%4.8%27.3%8.4%-3.2%96.1K-446.5K-29.9K0.2811.46N/AN/A39115,9224,422
2013-04-11$14.25$14.0028.9%8.3%25.6%41.2%29.1%6.5%-3.4%76.1K-106.5K-29.4K6.0017.76N/AN/A2125,9474,433
2013-04-12$14.12$14.0028.9%8.3%25.4%41.2%26.4%3.0%-2.3%60.9K200.5K-28.6K0.5015.50N/AN/A215,9494,444
2013-04-15$13.52$14.0029.3%8.4%28.8%42.1%29.1%-1.8%-2.5%27.8K1.1M-26.0K0.1815.72N/AN/A186335,9494,444
2013-04-16$13.85$14.0028.1%8.1%30.2%38.9%32.6%5.1%-1.8%38.4K903.9K-26.1K1.2412.10N/AN/A1091355,9414,471
2013-04-17$13.49$14.0032.9%9.4%31.2%52.1%29.8%8.8%-4.0%18.4K1.4M-25.2K4.5014.24N/AN/A522345,9794,606
2013-04-18$13.64$14.0030.9%8.9%31.2%46.7%28.0%12.0%-4.6%19.9K1.4M-26.1K1.0815.65N/AN/A13145,9114,759
2013-04-19$13.86$14.0027.1%7.8%31.7%36.2%26.4%12.9%-1.0%31.9K1.1M-26.9K0.2412.68N/AN/A85205,9144,771
2013-04-22$13.66$14.0028.7%8.2%31.7%40.5%27.5%4.6%-1.3%17.3K1.3M-25.9K0.339.98N/AN/A120395,4294,762
2013-04-23$14.10$14.0027.1%7.8%33.9%36.1%27.3%14.1%-1.8%49.2K525.8K-27.4K1.2911.47N/AN/A63815,5414,801
2013-04-24$14.34$14.0028.4%8.1%34.4%39.6%24.3%6.2%-4.1%63.6K16.4K-28.4K0.2216.42N/AN/A115255,5614,866
2013-04-25$14.39$14.0026.8%7.7%34.1%35.2%25.6%-2.9%-2.1%69.4K-125.2K-28.6K0.0411.13N/AN/A16975,6394,888
2013-04-26$14.34$14.0028.5%8.2%33.8%39.9%0.0%9.3%-4.7%75.3K-42.0K-28.2K0.1810.87N/AN/A4585,7944,894
2013-04-29$14.58$14.0025.5%7.3%34.0%31.7%24.7%4.0%-1.9%95.9K-608.6K-28.3K1.4411.64N/AN/A43625,8144,902
2013-04-30$14.78$14.0027.5%7.9%33.4%37.2%29.4%9.2%-4.7%114.1K-1.2M-29.0K2.9217.22N/AN/A601755,8394,901