MFC Options History — August 2013

In August 2013, MFC traded between $16.24 and $17.88. ATM implied volatility averaged 26.6%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 11.2% (HV 20d: 15.4%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2013-08-07: Highest Volume — 1,917 contracts
  • 2013-08-08: Largest IV drop — 34.8% change
  • 2013-08-07: Highest IV Rank — 79.5%
  • 2013-08-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$16.24$17.88$17.84$16.43
Max Pain$15.77$15.00$18.00$18.00$16.00
ATM IV26.6%21.9%40.7%32.2%24.1%
Expected Move7.0%6.3%9.2%9.2%6.9%
HV 20d15.4%11.2%18.0%15.9%17.4%
HV 60d20.9%20.1%21.8%20.8%20.1%
IV Rank41.8%29.1%79.5%54.8%39.3%
IV Percentile53.2%23.8%98.8%85.3%46.4%
Term Structure0.3%-8.0%3.2%-8.0%0.5%
VWIV24.3%21.4%32.8%32.8%21.4%
Skew 25d3.4%-0.1%11.6%10.5%6.1%
Skew 10d7.4%-1.0%16.7%5.6%13.3%
Call IV 25d23.0%19.7%25.5%23.8%19.7%
Put IV 25d26.4%23.7%34.3%34.3%25.8%
Bid-Ask Spread %13.968.8319.269.5310.56
Gamma HHI0.300.200.450.340.21
Net GEX214.5K-62.6K423.6K406.9K61.6K
Net DEX-4.0M-7.9M-1.2M-7.7M-1.8M
Net VEX-36.7K-39.4K-34.6K-39.4K-35.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.0011.530.290.59
Total Volume356.318271,9179427
Total OI15,096.59111,71217,91316,14513,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$17.84$18.0032.2%9.2%15.9%54.8%32.8%10.5%-8.0%406.9K-7.7M-39.4K0.299.53N/AN/A732110,4295,716
2013-08-02$17.88$18.0031.7%9.1%15.3%53.4%32.1%11.6%-7.6%423.6K-7.9M-38.8K0.039.70N/AN/A37110,4625,736
2013-08-05$17.80$15.0033.4%6.6%11.2%58.3%23.0%4.7%0.6%417.9K-7.5M-38.9K0.0018.93N/AN/A99010,4545,736
2013-08-06$17.71$15.0034.8%6.8%11.3%62.6%23.3%4.0%0.4%405.6K-7.1M-37.3K0.4218.74N/AN/A24310110,4675,736
2013-08-07$17.32$15.0040.7%7.8%13.7%79.5%26.9%4.4%-0.7%291.0K-5.1M-38.6K0.1919.05N/AN/A1,61630110,4726,084
2013-08-08$17.22$15.0026.5%6.9%13.8%38.4%24.3%3.7%1.1%278.5K-4.5M-38.7K0.5918.37N/AN/A77545911,5606,353
2013-08-09$17.22$15.0026.3%6.9%13.8%37.7%23.5%3.2%1.3%315.7K-4.7M-38.9K0.1815.90N/AN/A1703111,8305,960
2013-08-12$17.09$15.0026.2%7.2%14.0%37.4%25.0%0.8%0.1%212.7K-4.0M-37.3K0.3619.26N/AN/A562011,7925,985
2013-08-13$17.37$15.0026.8%6.4%15.2%39.3%23.7%0.6%2.7%375.3K-5.5M-37.4K2.6510.50N/AN/A4612211,8015,993
2013-08-14$17.38$15.0028.5%6.7%15.2%44.1%23.0%2.5%1.3%366.3K-5.4M-36.5K2.2611.06N/AN/A235211,8195,936
2013-08-15$17.17$15.0024.2%6.9%14.2%31.7%23.8%2.6%0.8%134.3K-4.2M-36.6K1.7214.78N/AN/A10317711,7885,980
2013-08-16$17.08$16.0023.3%6.7%14.3%29.1%23.4%1.8%1.5%-62.6K-2.8M-36.2K0.3711.01N/AN/A542010,5266,099
2013-08-19$16.63$16.0023.7%6.8%15.8%37.9%23.6%1.4%1.4%150.3K-2.8M-34.6K1.3418.56N/AN/A2072776,5345,178
2013-08-20$16.61$16.0022.8%6.5%15.5%34.5%23.0%2.3%0.8%147.4K-2.7M-35.8K0.4716.09N/AN/A2381116,6915,409
2013-08-21$16.35$16.0024.1%6.9%16.0%39.4%23.9%1.7%1.3%125.1K-2.0M-35.3K0.5714.77N/AN/A134776,7825,463
2013-08-22$16.62$16.0021.9%6.3%17.5%31.3%23.3%1.6%1.2%153.2K-2.6M-35.5K0.5410.62N/AN/A4192276,8345,517
2013-08-23$16.62$16.0022.3%6.4%17.4%32.7%22.1%0.4%0.3%152.1K-2.6M-36.1K0.348.83N/AN/A92317,0975,725
2013-08-26$16.56$16.0023.4%6.7%17.4%36.7%0.0%-0.1%-1.0%152.2K-2.7M-35.4K1.259.76N/AN/A44557,1545,746
2013-08-27$16.30$16.0022.6%6.5%18.0%33.9%22.8%1.8%3.2%108.3K-1.8M-34.6K2.4512.51N/AN/A2065057,1425,801
2013-08-28$16.24$16.0021.9%6.3%17.9%31.4%21.7%5.4%2.5%62.3K-1.2M-34.6K11.5317.03N/AN/A384387,0666,092
2013-08-29$16.31$16.0023.5%6.7%17.1%37.1%0.0%3.9%2.3%42.1K-1.3M-35.5K0.9511.50N/AN/A58557,0606,504
2013-08-30$16.43$16.0024.1%6.9%17.4%39.3%21.4%6.1%0.5%61.6K-1.8M-35.8K0.5910.56N/AN/A17107,0576,559