MFC Options History — June 2013

In June 2013, MFC traded between $15.43 and $16.21. ATM implied volatility averaged 23.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.5% (HV 20d: 24.3%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.65.

Notable Days

  • 2013-06-18: Highest Volume — 1,198 contracts
  • 2013-06-05: Largest IV spike — 20.3% change
  • 2013-06-24: Highest IV Rank — 39.6%
  • 2013-06-24: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.83$15.43$16.21$16.01$16.02
Max Pain$15.80$15.00$16.00$15.00$16.00
ATM IV23.9%21.8%26.9%24.0%22.3%
Expected Move6.9%6.3%7.7%6.9%6.4%
HV 20d24.3%19.7%28.6%19.7%26.2%
HV 60d27.0%25.9%28.0%25.9%26.7%
IV Rank30.3%23.3%39.6%29.0%26.1%
IV Percentile34.2%21.0%54.0%34.9%25.4%
Term Structure1.7%-0.7%5.3%0.1%4.4%
VWIV24.5%19.6%27.5%23.9%22.8%
Skew 25d5.2%-3.4%12.2%8.8%1.5%
Skew 10d5.4%-10.4%18.4%11.7%1.5%
Call IV 25d20.5%13.8%27.4%17.4%23.0%
Put IV 25d25.7%16.6%29.9%26.2%24.5%
Bid-Ask Spread %12.607.8017.738.357.80
Gamma HHI0.400.220.880.360.26
Net GEX388.4K47.2K2.2M332.1K115.1K
Net DEX-4.2M-7.2M-1.2M-5.7M-2.8M
Net VEX-35.4K-37.4K-33.9K-34.0K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0513.130.161.06
Total Volume313.7211,19818633
Total OI13,474.510,66915,49612,98911,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$16.01$15.0024.0%6.9%19.7%29.0%23.9%8.8%0.1%332.1K-5.7M-34.0K0.168.35N/AN/A161257,9994,990
2013-06-04$15.75$15.0021.9%6.3%20.5%23.3%25.6%-3.4%1.1%355.1K-4.7M-33.9K1.159.48N/AN/A2302658,0095,009
2013-06-05$15.43$15.0026.4%7.6%21.3%35.4%26.4%3.1%-0.7%322.8K-3.3M-34.1K13.1313.63N/AN/A233028,0945,255
2013-06-06$15.59$15.0023.2%6.6%21.4%26.6%25.0%3.7%0.4%332.2K-3.7M-35.1K0.0511.47N/AN/A2018,1105,553
2013-06-07$16.00$16.0021.8%6.5%22.5%23.9%0.0%11.1%1.5%410.3K-5.6M-34.4K0.318.73N/AN/A32108,1205,552
2013-06-10$15.95$16.0022.5%6.8%22.5%26.7%26.7%5.8%0.8%388.9K-5.4M-33.9K1.9012.70N/AN/A2935578,1235,557
2013-06-11$15.84$16.0024.3%7.0%22.7%31.9%22.3%12.2%0.9%329.8K-4.8M-35.6K0.6911.53N/AN/A77538,2725,986
2013-06-12$15.48$16.0023.2%7.7%23.3%28.7%23.7%2.4%1.4%308.1K-3.0M-35.4K6.9811.59N/AN/A533708,3476,033
2013-06-13$15.72$16.0023.0%6.6%23.4%28.1%27.5%11.6%1.6%371.0K-4.0M-35.3K4.0017.49N/AN/A863448,3476,048
2013-06-14$15.48$16.0026.8%7.7%23.8%39.1%25.3%8.4%0.2%307.3K-2.9M-35.8K0.0916.38N/AN/A10198,4076,358
2013-06-17$15.77$16.0023.8%6.8%24.7%30.4%24.1%9.2%0.7%380.6K-4.4M-35.0K0.2012.44N/AN/A140288,4626,363
2013-06-18$16.06$16.0024.3%7.0%25.5%32.0%24.3%11.7%0.5%399.0K-6.1M-34.9K0.3711.99N/AN/A8733258,5716,391
2013-06-19$16.08$16.0023.3%6.7%25.5%29.1%23.5%1.8%2.1%431.8K-6.3M-36.0K0.4117.73N/AN/A159658,9436,481
2013-06-20$16.21$16.0026.7%7.7%25.5%39.0%26.3%5.0%0.7%457.7K-7.2M-35.8K0.1314.65N/AN/A230308,9086,505
2013-06-21$16.01$16.0025.7%7.4%25.9%35.9%24.0%5.3%1.2%2.2M-5.9M-36.5K0.4416.52N/AN/A3361488,9616,535
2013-06-24$15.49$16.0026.9%7.7%28.4%39.6%26.8%-3.1%4.1%47.2K-1.2M-35.4K0.6911.89N/AN/A2051415,8694,800
2013-06-25$15.71$16.0023.0%6.6%28.6%28.1%23.4%2.6%4.9%64.0K-1.6M-36.0K0.1611.72N/AN/A287456,0294,862
2013-06-26$15.99$16.0022.9%6.6%27.7%27.9%23.8%2.6%3.7%105.9K-2.6M-36.9K0.1213.44N/AN/A143176,2784,854
2013-06-27$16.00$16.0021.8%6.3%27.5%24.8%19.6%3.1%5.3%113.4K-2.8M-37.2K0.9712.42N/AN/A29286,3814,856
2013-06-28$16.02$16.0022.3%6.4%26.2%26.1%22.8%1.5%4.4%115.1K-2.8M-37.4K1.067.80N/AN/A16176,4054,867