MFC Options History — November 2013

In November 2013, MFC traded between $17.76 and $19.34. ATM implied volatility averaged 19.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.2% (HV 20d: 16.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2013-11-14: Highest Volume — 11,099 contracts
  • 2013-11-07: Largest IV drop — 30.3% change
  • 2013-11-06: Highest IV Rank — 57.0%
  • 2013-11-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.74$17.76$19.34$17.76$19.33
Max Pain$17.50$17.00$18.00$17.00$18.00
ATM IV19.7%16.1%28.7%25.2%17.9%
Expected Move5.1%4.6%7.2%7.2%5.1%
HV 20d16.5%14.7%18.4%16.9%15.0%
HV 60d17.9%17.4%18.8%18.1%17.4%
IV Rank24.5%11.4%57.0%44.1%18.0%
IV Percentile24.5%3.2%88.9%68.7%9.1%
Term Structure0.3%-5.2%1.9%-5.2%-0.4%
VWIV18.6%10.6%31.4%24.8%11.7%
Skew 25d3.5%-0.6%6.8%5.9%5.4%
Skew 10d3.8%-1.9%9.7%8.2%1.5%
Call IV 25d15.8%10.6%22.5%22.5%11.2%
Put IV 25d19.3%12.6%28.4%28.4%16.6%
Bid-Ask Spread %62.8413.6193.2934.6813.61
Gamma HHI0.370.260.630.430.28
Net GEX557.8K215.0K1.1M962.7K269.8K
Net DEX-12.2M-20.6M-6.3M-12.2M-7.5M
Net VEX-31.1K-41.3K-26.8K-41.3K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.500.540.30
Total Volume816.152511,099344322
Total OI15,759.410,41320,13419,37211,647

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$17.76$17.0025.2%7.2%16.9%44.1%24.8%5.9%-5.2%962.7K-12.2M-41.3K0.5434.68N/AN/A22412013,5055,867
2013-11-04$17.77$17.0026.8%5.7%16.6%49.9%19.8%4.6%1.0%1.0M-12.2M-40.5K1.5044.22N/AN/A101513,5685,987
2013-11-05$17.84$17.0026.2%5.6%15.7%47.8%19.2%4.9%1.0%1.1M-12.7M-39.1K0.2347.58N/AN/A882013,5706,001
2013-11-06$17.95$17.0028.7%5.8%15.7%57.0%21.4%4.7%0.7%1.0M-13.9M-35.7K0.1445.41N/AN/A3394913,6126,021
2013-11-07$18.38$17.0020.0%5.3%14.7%25.6%20.4%4.4%1.9%911.8K-18.8M-30.6K0.0185.73N/AN/A461613,8376,034
2013-11-08$18.83$17.0020.4%4.9%16.3%27.1%19.6%2.4%0.6%698.9K-19.9M-28.8K0.3190.09N/AN/A47914813,7526,030
2013-11-11$18.76$17.0017.8%4.9%16.6%17.7%16.6%3.4%1.7%730.0K-19.7M-28.9K0.0987.77N/AN/A2152013,8276,155
2013-11-12$18.62$17.0021.5%5.2%17.1%30.9%19.1%0.1%-0.9%798.0K-19.0M-30.4K0.0193.29N/AN/A100113,9186,175
2013-11-13$18.81$17.0023.2%5.2%17.1%36.9%31.4%0.9%-0.2%708.6K-20.6M-27.8K0.2792.54N/AN/A1113013,9586,176
2013-11-14$18.86$17.0016.6%4.8%17.1%13.2%27.6%2.3%1.1%659.0K-20.5M-27.2K0.0178.98N/AN/A11,0445513,7816,173
2013-11-15$18.70$18.0016.1%4.6%17.7%11.4%14.0%1.8%0.2%226.0K-12.4M-27.3K1.0684.66N/AN/A63678,9826,210
2013-11-18$19.04$18.0016.4%4.7%18.4%12.5%15.2%6.4%0.9%218.0K-6.3M-26.8K0.3563.57N/AN/A4511575,3755,038
2013-11-19$19.09$18.0017.7%5.1%18.4%17.1%16.8%-0.2%0.1%215.0K-6.4M-27.5K0.3864.28N/AN/A5812215,5515,144
2013-11-20$18.98$18.0016.9%4.8%16.4%14.4%17.7%4.1%0.2%269.0K-6.4M-29.5K0.0666.83N/AN/A308205,9355,347
2013-11-21$19.11$18.0016.2%4.6%16.4%11.8%14.3%-0.6%1.2%253.4K-6.9M-30.6K0.3675.19N/AN/A61226,1215,367
2013-11-22$19.34$18.0016.4%4.7%16.2%12.7%14.5%6.8%0.4%256.4K-7.4M-30.1K0.4378.19N/AN/A186806,1655,379
2013-11-25$19.25$18.0016.7%4.8%16.4%13.6%10.6%1.0%1.3%264.4K-7.2M-30.4K1.0269.26N/AN/A55566,2545,408
2013-11-26$19.18$18.0017.1%4.9%16.4%14.9%0.0%6.5%-0.1%274.9K-7.2M-30.1K0.2324.91N/AN/A92216,2585,413
2013-11-27$19.22$18.0016.6%4.8%15.5%13.2%0.0%4.3%1.3%274.9K-7.2M-29.8K0.0015.90N/AN/A2506,2385,409
2013-11-29$19.33$18.0017.9%5.1%15.0%18.0%11.7%5.4%-0.4%269.8K-7.5M-29.3K0.3013.61N/AN/A247756,2385,409