MFC Options History — December 2013

In December 2013, MFC traded between $18.38 and $19.75. ATM implied volatility averaged 18.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.9% (HV 20d: 17.3%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2013-12-12: Highest Volume — 580 contracts
  • 2013-12-19: Largest IV spike — 11.6% change
  • 2013-12-12: Highest IV Rank — 27.1%
  • 2013-12-12: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.13$18.38$19.75$19.43$19.73
Max Pain$17.00$16.00$18.00$18.00$17.00
ATM IV18.3%15.4%20.4%18.0%16.4%
Expected Move5.2%4.4%5.9%5.2%4.7%
HV 20d17.3%14.9%18.9%15.0%18.2%
HV 60d17.4%16.7%18.3%17.4%16.7%
IV Rank19.3%8.8%27.1%18.4%12.5%
IV Percentile13.4%2.4%29.0%9.9%5.2%
Term Structure2.2%-1.3%4.7%-0.1%3.1%
VWIV18.2%13.9%24.7%18.0%16.9%
Skew 25d1.7%-5.5%6.9%6.9%5.1%
Skew 10d4.6%-7.3%46.6%4.6%8.0%
Call IV 25d17.4%10.8%24.1%10.8%15.7%
Put IV 25d19.1%15.8%21.9%17.7%20.8%
Bid-Ask Spread %59.0117.4577.7817.4521.64
Gamma HHI0.330.240.430.280.40
Net GEX255.6K150.6K356.6K274.9K166.4K
Net DEX-6.6M-8.4M-4.9M-7.8M-7.0M
Net VEX-30.3K-33.4K-28.7K-29.0K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.013.370.010.18
Total Volume189.8571580143103
Total OI12,143.23810,92313,10211,79711,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$19.43$18.0018.0%5.2%15.0%18.4%18.0%6.9%-0.1%274.9K-7.8M-29.0K0.0117.45N/AN/A14216,3375,460
2013-12-03$18.94$18.0019.7%5.6%18.4%24.4%19.4%-1.6%0.5%316.6K-6.7M-28.7K3.3721.41N/AN/A1073616,4065,461
2013-12-04$18.85$18.0020.3%5.8%18.6%26.7%20.1%-2.1%-1.3%299.9K-6.1M-31.4K0.2327.54N/AN/A141326,4575,799
2013-12-05$18.87$18.0019.5%5.6%18.6%23.7%19.0%-5.5%0.5%282.9K-6.2M-31.7K1.3340.59N/AN/A751006,4835,831
2013-12-06$19.07$17.0018.5%5.3%17.1%20.2%18.7%3.6%1.8%285.5K-6.9M-30.3K0.2864.21N/AN/A120336,4945,790
2013-12-09$19.01$17.0018.1%5.3%15.0%18.8%24.7%1.7%2.6%296.9K-6.9M-29.8K0.4063.16N/AN/A113456,4925,810
2013-12-10$18.99$17.0018.9%5.2%14.9%21.6%13.9%2.4%3.1%299.7K-6.8M-30.0K0.0068.97N/AN/A01086,5245,805
2013-12-11$18.60$17.0018.8%5.5%16.5%21.0%21.8%3.7%1.6%304.9K-5.6M-30.2K0.1670.38N/AN/A259426,5245,865
2013-12-12$18.38$17.0020.4%5.9%16.6%27.1%19.0%-0.2%1.5%285.8K-4.9M-30.7K0.7955.67N/AN/A3242566,7155,899
2013-12-13$18.52$17.0020.0%5.7%16.8%25.4%18.3%0.4%1.9%220.3K-5.1M-33.4K0.4056.22N/AN/A107436,8956,073
2013-12-16$18.66$17.0018.5%5.3%16.8%20.0%0.0%4.3%2.6%316.1K-5.7M-31.9K0.0771.69N/AN/A273206,9576,106
2013-12-17$18.62$16.0018.9%5.4%15.4%21.7%0.0%2.5%2.6%312.7K-5.7M-31.7K0.0075.06N/AN/A017,0396,062
2013-12-18$18.95$16.0017.5%5.0%16.8%16.4%17.5%5.3%3.3%356.6K-6.7M-30.9K1.0477.78N/AN/A27287,0396,063
2013-12-19$19.43$16.0019.5%5.6%18.9%23.6%19.0%0.3%1.8%272.4K-8.2M-30.0K0.6666.71N/AN/A1651096,9655,997
2013-12-20$19.43$16.0017.4%5.0%18.8%16.2%17.7%-0.7%3.0%262.2K-8.4M-29.9K0.3665.79N/AN/A175637,0426,052
2013-12-23$19.53$17.0017.0%4.9%18.4%14.6%15.6%2.4%4.2%150.6K-6.6M-29.9K0.0176.06N/AN/A10615,6475,276
2013-12-24$19.62$17.0016.1%4.6%18.3%11.5%16.5%2.9%3.8%166.6K-6.8M-29.6K0.3176.38N/AN/A102325,7195,277
2013-12-26$19.70$17.0015.4%4.4%18.3%8.8%16.1%1.5%4.7%171.7K-7.1M-29.9K1.0673.74N/AN/A52555,8005,309
2013-12-27$19.65$17.0017.1%4.9%18.3%14.9%15.7%0.3%2.1%170.7K-7.0M-29.5K3.0777.28N/AN/A14435,8315,335
2013-12-30$19.75$17.0017.9%5.1%18.3%18.0%0.0%1.6%1.9%155.0K-7.1M-29.6K0.2671.44N/AN/A166435,8275,378
2013-12-31$19.73$17.0016.4%4.7%18.2%12.5%16.9%5.1%3.1%166.4K-7.0M-28.7K0.1821.64N/AN/A87165,7865,381