MFC Options History — May 2013

In May 2013, MFC traded between $14.65 and $16.16. ATM implied volatility averaged 20.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 5.6% (HV 20d: 26.0%). 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 19 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2013-05-14: Highest Volume — 1,213 contracts
  • 2013-05-06: Largest IV drop — 40.7% change
  • 2013-05-01: Highest IV Rank — 37.6%
  • 2013-05-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.57$14.65$16.16$14.65$15.80
Max Pain$14.68$14.00$15.00$14.00$15.00
ATM IV20.4%13.3%27.7%27.7%22.7%
Expected Move6.3%5.6%7.9%7.9%6.5%
HV 20d26.0%19.9%33.4%31.5%19.9%
HV 60d25.8%24.6%26.6%25.4%25.8%
IV Rank19.0%0.0%37.6%37.6%25.5%
IV Percentile13.9%0.0%42.5%42.5%26.6%
Term Structure0.7%-5.0%2.8%-5.0%1.0%
VWIV21.5%16.0%28.0%28.0%23.1%
Skew 25d4.3%-2.7%11.2%4.0%7.8%
Skew 10d5.5%0.6%20.0%6.0%6.9%
Call IV 25d17.8%13.3%24.8%24.8%18.6%
Put IV 25d22.1%16.1%28.7%28.7%26.4%
Bid-Ask Spread %12.136.0416.3713.1612.05
Gamma HHI0.340.270.480.430.34
Net GEX225.1K103.5K316.2K103.5K315.1K
Net DEX-3.7M-6.1M-903.8K-903.8K-5.0M
Net VEX-31.3K-33.5K-29.6K-29.6K-33.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.003.330.000.40
Total Volume268.182131,213145499
Total OI11,657.72710,76812,55410,89712,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$14.65$14.0027.7%7.9%31.5%37.6%28.0%4.0%-5.0%103.5K-903.8K-29.6K0.0013.16N/AN/A14505,8695,028
2013-05-02$15.22$14.0023.9%6.8%33.4%27.2%23.7%4.6%-1.3%153.0K-2.7M-30.0K0.1114.71N/AN/A726775,9645,028
2013-05-03$15.47$14.0022.5%6.4%32.5%23.3%22.6%11.2%0.3%168.5K-3.7M-31.2K0.5011.53N/AN/A125636,4855,067
2013-05-06$15.60$14.0013.3%6.3%32.5%0.0%22.3%7.1%-0.3%157.0K-3.9M-30.5K0.1514.18N/AN/A216326,4325,064
2013-05-07$15.79$14.0014.3%6.0%32.6%2.8%21.2%8.8%0.8%163.8K-4.5M-30.4K0.0214.50N/AN/A22446,5275,074
2013-05-08$15.64$14.0018.9%6.2%31.7%15.0%19.8%2.3%0.5%186.0K-4.3M-30.4K0.4910.03N/AN/A61306,6975,078
2013-05-09$15.39$14.0018.2%6.5%31.9%13.3%21.8%-2.7%1.0%187.3K-3.5M-30.7K0.3212.40N/AN/A62206,7365,065
2013-05-10$15.39$15.0018.8%6.5%31.6%14.9%21.9%5.7%1.4%140.4K-2.3M-30.8K0.1316.17N/AN/A140185,6835,085
2013-05-13$15.42$15.0019.4%6.7%26.1%16.4%0.0%-0.8%1.6%143.9K-2.5M-29.8K0.209.52N/AN/A2045,8075,100
2013-05-14$15.71$15.0020.0%6.2%25.7%18.0%21.9%7.1%1.2%163.2K-3.3M-30.5K0.0410.45N/AN/A1,165485,7995,100
2013-05-15$15.48$15.0020.1%6.5%24.0%18.4%21.6%1.0%1.6%235.2K-3.3M-32.3K0.189.99N/AN/A79146,8675,080
2013-05-16$15.64$15.0022.0%6.3%24.0%23.5%20.5%4.3%1.0%254.4K-3.8M-31.2K0.0011.32N/AN/A3206,8415,056
2013-05-17$15.65$15.0020.2%5.8%23.9%18.6%16.0%6.0%2.8%262.3K-3.8M-31.9K0.6711.60N/AN/A45306,8695,056
2013-05-20$15.66$15.0021.1%6.1%22.7%21.2%22.1%3.8%0.5%255.7K-3.8M-31.4K0.0813.71N/AN/A7466,7544,736
2013-05-21$15.72$15.0020.4%5.8%20.7%19.1%21.5%5.6%1.3%268.8K-4.1M-30.5K0.0316.37N/AN/A452146,8184,739
2013-05-22$15.63$15.0019.4%5.6%20.6%16.5%19.1%4.5%2.6%294.1K-4.0M-31.6K0.1314.70N/AN/A147197,0944,728
2013-05-23$15.58$15.0020.1%5.8%20.8%18.3%21.9%4.2%1.3%290.2K-3.8M-31.9K0.2611.27N/AN/A287757,1974,743
2013-05-24$15.43$15.0022.4%6.4%21.2%24.5%22.3%1.6%0.8%280.6K-3.3M-33.3K3.3314.04N/AN/A3107,2874,812
2013-05-28$15.59$15.0020.4%5.9%20.8%19.3%20.3%4.3%1.4%303.2K-3.9M-32.5K0.0510.32N/AN/A13167,2874,818
2013-05-29$16.01$15.0021.4%6.1%22.1%21.8%20.9%0.6%0.6%309.4K-5.4M-32.4K0.438.70N/AN/A2551097,3574,823
2013-05-30$16.16$15.0021.4%6.1%21.7%21.9%20.1%4.2%0.3%316.2K-6.1M-32.1K0.286.04N/AN/A338957,4684,798
2013-05-31$15.80$15.0022.7%6.5%19.9%25.5%23.1%7.8%1.0%315.1K-5.0M-33.5K0.4012.05N/AN/A3561437,7014,853