MFC Options History — September 2013

In September 2013, MFC traded between $16.55 and $17.48. ATM implied volatility averaged 20.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.7% (HV 20d: 18.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2013-09-23: Highest Volume — 809 contracts
  • 2013-09-12: Largest IV spike — 54.6% change
  • 2013-09-09: Highest IV Rank — 35.0%
  • 2013-09-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.94$16.55$17.48$16.59$16.56
Max Pain$16.60$16.00$17.00$16.00$16.00
ATM IV20.2%14.0%22.9%21.7%20.0%
Expected Move5.9%5.3%6.4%6.2%5.7%
HV 20d18.6%16.4%19.9%18.1%19.7%
HV 60d18.5%17.4%19.7%19.5%18.2%
IV Rank25.3%2.5%35.0%30.8%24.4%
IV Percentile15.8%0.4%35.3%21.4%13.9%
Term Structure2.6%0.1%5.9%1.0%5.0%
VWIV19.4%12.5%23.3%21.7%12.5%
Skew 25d-0.2%-9.3%6.0%4.3%-9.3%
Skew 10d-0.6%-10.6%11.1%5.7%-10.3%
Call IV 25d20.2%17.2%22.3%20.4%22.3%
Put IV 25d20.1%13.1%24.7%24.7%13.1%
Bid-Ask Spread %18.097.5747.7013.2312.15
Gamma HHI0.300.220.390.220.30
Net GEX183.4K73.4K281.4K73.4K137.3K
Net DEX-3.5M-5.6M-1.9M-2.2M-1.9M
Net VEX-33.1K-34.7K-31.5K-34.7K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.004.600.630.03
Total Volume179.252680926313
Total OI12,911.759,65414,45913,61610,695

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$16.59$16.0021.7%6.2%18.1%30.8%21.7%4.3%1.0%73.4K-2.2M-34.7K0.6313.23N/AN/A16107,0506,566
2013-09-04$16.77$16.0021.2%6.1%18.8%28.7%23.3%4.9%1.2%123.4K-2.9M-34.6K2.5615.10N/AN/A9237,0586,566
2013-09-05$16.98$16.0021.1%6.1%18.1%28.5%18.8%-0.2%0.1%166.8K-3.6M-34.7K4.379.82N/AN/A19837,0636,589
2013-09-06$17.00$17.0021.8%6.2%18.0%31.1%21.4%4.9%2.2%176.9K-3.8M-33.8K0.2310.94N/AN/A110257,0826,617
2013-09-09$17.09$17.0022.9%6.3%18.1%35.0%21.3%3.3%1.4%206.5K-4.3M-33.6K2.9513.92N/AN/A20597,1696,637
2013-09-10$17.23$17.0020.7%6.3%18.1%27.0%22.3%3.9%2.0%235.3K-4.6M-33.4K0.6214.39N/AN/A63397,1796,670
2013-09-11$17.48$17.0014.0%6.3%17.9%2.5%22.1%6.0%2.1%266.6K-5.4M-33.4K0.1618.08N/AN/A93157,2246,709
2013-09-12$17.18$17.0021.6%6.2%19.0%30.4%20.9%1.6%1.8%241.1K-4.7M-33.2K0.0019.03N/AN/A23507,2796,721
2013-09-13$17.06$17.0022.2%6.4%18.7%32.5%0.0%1.2%0.6%233.9K-4.3M-32.7K0.0015.17N/AN/A0307,3276,721
2013-09-16$17.28$17.0021.1%6.0%19.1%28.3%19.1%-1.0%2.6%260.2K-5.0M-32.5K0.1413.88N/AN/A5787,3276,751
2013-09-17$17.46$17.0021.5%6.2%16.4%29.9%19.9%0.5%2.8%257.0K-5.6M-31.9K0.1114.73N/AN/A367407,3306,745
2013-09-18$17.24$17.0021.2%6.1%17.3%28.7%19.1%-2.8%2.2%281.4K-5.2M-32.6K4.6016.55N/AN/A10467,6846,758
2013-09-19$16.72$17.0020.6%5.9%19.9%26.6%20.9%0.3%2.1%210.4K-2.9M-31.5K2.4847.70N/AN/A1082687,6236,800
2013-09-20$16.55$17.0019.6%5.6%19.4%23.1%19.5%-1.0%4.7%114.8K-2.6M-31.5K0.7740.80N/AN/A1691307,6396,820
2013-09-23$16.65$17.0018.4%5.3%19.5%18.5%18.4%-0.2%5.9%98.9K-1.9M-32.0K1.3539.52N/AN/A3444655,5954,059
2013-09-24$16.67$16.0019.2%5.5%19.5%21.6%17.7%-1.9%3.5%131.2K-2.0M-33.2K0.6914.87N/AN/A26185,9374,517
2013-09-25$16.68$16.0019.0%5.4%18.5%20.6%19.0%-1.5%3.5%134.4K-2.1M-32.9K0.0016.49N/AN/A11805,9424,523
2013-09-26$16.84$16.0018.8%5.4%18.7%20.1%12.5%-8.2%3.4%157.6K-2.4M-33.6K0.217.91N/AN/A143306,0534,523
2013-09-27$16.85$16.0018.3%5.3%18.6%18.3%18.3%-8.2%4.8%161.7K-2.5M-33.8K2.807.57N/AN/A20566,1344,553
2013-09-30$16.56$16.0020.0%5.7%19.7%24.4%12.5%-9.3%5.0%137.3K-1.9M-33.1K0.0312.15N/AN/A30496,1424,553