MFC Options History — July 2013

In July 2013, MFC traded between $16.08 and $17.98. ATM implied volatility averaged 26.4%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.4% (HV 20d: 21.0%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-07-23: Highest Volume — 4,192 contracts
  • 2013-07-11: Largest IV spike — 30.1% change
  • 2013-07-31: Highest IV Rank — 58.6%
  • 2013-07-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.28$16.08$17.98$16.21$17.61
Max Pain$16.91$15.00$18.00$16.00$18.00
ATM IV26.4%19.2%33.5%22.1%33.5%
Expected Move7.9%6.3%9.6%6.3%9.6%
HV 20d21.0%14.8%26.2%26.2%15.6%
HV 60d23.6%20.8%26.5%26.4%20.8%
IV Rank38.1%17.0%58.6%25.6%58.6%
IV Percentile52.5%6.3%88.5%24.6%88.5%
Term Structure-2.2%-7.9%6.5%5.1%-7.9%
VWIV27.7%18.1%33.7%18.1%33.7%
Skew 25d3.0%-4.9%9.4%4.6%-3.8%
Skew 10d7.6%-8.3%19.1%10.9%-5.3%
Call IV 25d25.4%19.8%33.5%21.5%33.5%
Put IV 25d28.4%18.8%33.0%26.1%29.7%
Bid-Ask Spread %18.686.7680.416.7618.40
Gamma HHI0.310.270.360.270.31
Net GEX231.0K128.2K404.6K128.8K386.8K
Net DEX-6.5M-8.2M-2.9M-3.4M-7.1M
Net VEX-36.8K-40.5K-33.4K-36.4K-38.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.002.150.000.96
Total Volume546.773344,19234861
Total OI13,114.40911,30315,81411,30315,814

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$16.21$16.0022.1%6.3%26.2%25.6%0.0%4.6%5.1%128.8K-3.4M-36.4K0.006.76N/AN/A3406,4194,884
2013-07-02$16.08$16.0021.9%6.3%25.6%24.8%18.1%-4.9%4.6%128.3K-2.9M-36.4K0.097.62N/AN/A266236,4244,884
2013-07-03$16.11$15.0022.1%6.3%24.3%25.5%23.0%-3.0%6.5%144.1K-3.5M-36.2K0.777.74N/AN/A26206,6474,902
2013-07-05$16.38$16.0022.6%7.7%24.7%26.9%25.4%4.1%-1.3%154.6K-4.2M-35.0K0.3012.45N/AN/A176536,6674,917
2013-07-08$16.93$16.0019.2%7.3%25.7%17.0%25.3%3.3%-1.5%152.7K-5.9M-34.2K0.4115.18N/AN/A106436,7784,957
2013-07-09$17.07$16.0020.8%7.4%25.7%21.8%25.8%4.2%-1.7%146.4K-6.2M-33.7K1.5411.41N/AN/A3485366,8174,990
2013-07-10$17.25$16.0022.5%8.0%25.5%26.8%25.7%5.7%-2.6%128.2K-6.4M-33.4K0.4114.38N/AN/A1,2094936,7135,293
2013-07-11$17.33$17.0029.3%8.4%23.3%46.4%28.7%9.4%-4.0%176.5K-7.0M-37.5K2.159.39N/AN/A2735877,7545,337
2013-07-12$17.29$17.0027.5%7.9%23.2%41.3%27.8%6.8%-2.1%176.2K-7.0M-37.1K0.159.30N/AN/A133207,7605,320
2013-07-15$17.31$17.0027.4%7.9%22.0%41.0%26.9%6.3%-2.1%181.7K-7.0M-36.7K0.498.69N/AN/A109537,7745,333
2013-07-16$17.30$17.0027.3%7.8%21.6%40.6%27.2%5.8%-1.6%173.1K-7.0M-36.6K0.1412.20N/AN/A101147,7865,347
2013-07-17$17.27$17.0027.2%7.8%21.1%40.3%0.0%5.0%-2.5%177.8K-6.9M-36.6K0.5211.53N/AN/A58307,8275,349
2013-07-18$17.59$17.0025.3%7.2%21.7%34.7%24.6%7.5%-0.8%202.2K-7.8M-36.2K0.4418.23N/AN/A178797,8705,355
2013-07-19$17.59$17.0025.6%7.3%21.7%35.8%26.2%7.1%-2.6%209.5K-7.9M-35.6K0.9477.19N/AN/A33317,8585,346
2013-07-22$17.83$17.0024.4%7.0%21.0%32.3%27.0%3.3%-1.4%218.5K-6.6M-34.6K0.7919.76N/AN/A53426,7914,543
2013-07-23$17.90$17.0031.6%9.1%15.4%53.3%31.8%-1.5%-5.5%201.2K-6.9M-33.7K0.1680.41N/AN/A3,6105826,8404,568
2013-07-24$17.92$18.0030.2%8.7%15.3%49.1%30.4%2.4%-5.2%400.8K-8.2M-39.7K0.3612.42N/AN/A3301209,9545,132
2013-07-25$17.98$18.0030.2%8.6%14.8%49.0%29.8%2.2%-4.7%402.1K-8.2M-39.3K0.0117.70N/AN/A48669,9075,210
2013-07-26$17.84$18.0029.0%8.3%15.5%45.5%29.7%1.5%-4.6%404.6K-7.7M-40.5K0.4610.26N/AN/A1908810,1385,216
2013-07-29$17.73$18.0030.9%8.9%15.9%51.3%33.1%1.9%-5.5%397.3K-7.3M-40.3K0.0915.05N/AN/A1951710,1785,300
2013-07-30$17.64$18.0031.0%8.9%16.1%51.4%32.9%-0.8%-6.1%389.9K-7.1M-40.5K0.8114.84N/AN/A23118610,3085,310
2013-07-31$17.61$18.0033.5%9.6%15.6%58.6%33.7%-3.8%-7.9%386.8K-7.1M-38.5K0.9618.40N/AN/A44042110,3665,448