MFC Options History — October 2013

In October 2013, MFC traded between $16.41 and $17.82. ATM implied volatility averaged 21.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.9% (HV 20d: 18.4%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-10-29: Highest Volume — 6,976 contracts
  • 2013-10-10: Largest IV spike — 27.5% change
  • 2013-10-29: Highest IV Rank — 50.0%
  • 2013-10-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.13$16.41$17.82$16.75$17.70
Max Pain$16.87$16.00$17.00$16.00$17.00
ATM IV21.3%12.9%26.8%20.0%24.8%
Expected Move6.6%4.9%7.9%5.7%7.1%
HV 20d18.4%15.7%21.0%19.8%17.2%
HV 60d17.7%16.9%18.7%17.0%18.2%
IV Rank30.1%0.0%50.0%24.5%42.8%
IV Percentile35.1%0.0%79.0%14.3%66.7%
Term Structure-1.1%-5.2%4.1%3.5%-4.2%
VWIV23.3%15.7%29.4%20.4%29.4%
Skew 25d1.9%-10.3%9.6%-10.3%4.6%
Skew 10d6.6%-12.7%43.4%11.8%5.0%
Call IV 25d20.5%15.6%23.7%23.3%22.0%
Put IV 25d22.4%12.7%29.0%13.0%26.6%
Bid-Ask Spread %13.048.6321.288.6321.28
Gamma HHI0.350.260.570.270.43
Net GEX304.5K147.6K959.8K179.9K959.8K
Net DEX-4.8M-12.5M-1.7M-2.5M-12.2M
Net VEX-34.3K-42.0K-30.0K-33.1K-38.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.0010.900.000.08
Total Volume793.478266,97643388
Total OI13,006.73911,01519,43811,01519,438

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$16.75$16.0020.0%5.7%19.8%24.5%20.4%-10.3%3.5%179.9K-2.5M-33.1K0.008.63N/AN/A4306,4534,562
2013-10-02$16.60$16.0019.2%5.5%19.7%21.5%15.7%-7.4%4.1%174.5K-2.2M-32.2K2.108.84N/AN/A511076,4784,562
2013-10-03$16.51$16.0017.1%4.9%19.1%13.8%22.0%-7.2%2.8%162.2K-2.0M-32.2K0.3713.00N/AN/A6782516,5274,659
2013-10-04$16.70$17.0012.9%6.5%19.7%0.0%22.5%9.6%-0.4%173.1K-2.4M-33.2K10.9014.74N/AN/A202186,7444,909
2013-10-07$16.59$17.0015.3%6.9%19.6%8.6%25.8%9.0%-0.6%162.8K-2.3M-32.8K0.0611.27N/AN/A155106,7445,030
2013-10-08$16.41$17.0017.5%7.7%19.5%16.4%26.9%7.5%-2.4%147.6K-1.7M-32.5K0.1312.86N/AN/A2336,7775,039
2013-10-09$16.47$17.0017.5%7.9%18.7%16.6%27.8%9.1%-1.6%158.5K-1.9M-32.8K0.0210.69N/AN/A3,392666,8005,038
2013-10-10$16.95$17.0022.4%6.4%21.0%34.1%22.9%4.0%-0.6%398.5K-5.7M-41.9K0.1617.58N/AN/A228369,8335,026
2013-10-11$17.07$17.0023.3%6.7%21.0%37.5%23.2%2.6%-1.0%397.7K-6.2M-42.0K0.0111.51N/AN/A3,045349,8165,046
2013-10-14$17.14$17.0023.6%6.8%20.5%38.6%23.4%5.4%-1.9%397.6K-6.4M-40.6K0.1619.04N/AN/A61109,7195,065
2013-10-15$17.14$17.0022.8%6.5%20.1%35.5%21.4%4.5%1.0%264.1K-4.7M-34.8K0.5412.73N/AN/A74407,7905,068
2013-10-16$17.30$17.0023.2%6.7%19.9%37.1%23.6%2.3%-1.2%256.9K-5.4M-32.0K0.4614.67N/AN/A56267,7985,098
2013-10-17$17.42$17.0022.9%6.6%16.4%35.9%23.2%4.3%-1.7%235.8K-5.5M-34.3K1.1010.97N/AN/A52577,6075,094
2013-10-18$17.50$17.0021.1%6.0%15.7%29.5%20.0%3.4%0.4%228.7K-6.0M-32.9K0.2410.68N/AN/A353867,6015,117
2013-10-21$17.64$17.0020.2%5.8%15.8%26.2%20.9%3.5%-1.0%258.3K-5.3M-30.1K0.1012.95N/AN/A201206,7154,991
2013-10-22$17.69$17.0021.9%6.3%15.8%32.3%21.2%3.1%-2.2%257.6K-5.2M-33.0K0.5411.42N/AN/A2631416,7225,011
2013-10-23$17.33$17.0023.3%6.7%17.9%37.3%23.1%-2.9%-2.3%243.4K-4.1M-33.6K4.5014.21N/AN/A281266,9465,106
2013-10-24$17.33$17.0023.0%6.6%17.7%36.2%22.9%-1.4%-1.6%247.2K-4.1M-30.4K0.5413.06N/AN/A99536,9465,221
2013-10-25$17.26$17.0023.2%6.6%17.8%36.9%0.0%-4.6%-2.4%234.5K-3.8M-33.6K3.4011.79N/AN/A15517,0425,274
2013-10-28$17.24$17.0023.4%6.7%16.4%37.8%22.8%-2.0%-2.9%248.7K-3.9M-30.0K0.968.90N/AN/A90867,0455,263
2013-10-29$17.49$17.0026.8%7.7%16.6%50.0%26.3%0.5%-4.5%262.2K-4.6M-33.0K0.1110.80N/AN/A6,2856917,0355,349
2013-10-30$17.82$17.0024.6%7.1%17.1%42.1%28.2%5.9%-5.2%952.8K-12.5M-38.2K0.2318.41N/AN/A43810013,2155,836
2013-10-31$17.70$17.0024.8%7.1%17.2%42.8%29.4%4.6%-4.2%959.8K-12.2M-38.8K0.0821.28N/AN/A3583013,5725,866