MFC Options History — January 2014

In January 2014, MFC traded between $18.34 and $20.26. ATM implied volatility averaged 20.8%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.2% (HV 20d: 20.7%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.29.

Notable Days

  • 2014-01-29: Highest Volume — 760 contracts
  • 2014-01-16: Largest IV spike — 40.2% change
  • 2014-01-31: Highest IV Rank — 58.6%
  • 2014-01-31: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$18.34$20.26$19.40$18.43
Max Pain$19.38$17.00$20.00$17.00$19.00
ATM IV20.8%14.8%29.2%19.6%29.2%
Expected Move6.4%4.8%8.4%5.6%8.4%
HV 20d20.7%16.8%27.4%16.8%27.3%
HV 60d18.4%16.3%21.3%17.1%21.3%
IV Rank28.5%6.8%58.6%24.1%58.6%
IV Percentile39.3%2.0%93.7%25.0%93.7%
Term Structure-1.0%-3.5%2.2%2.0%-3.5%
VWIV22.7%19.5%28.5%19.5%28.5%
Skew 25d3.9%1.2%9.1%2.1%8.5%
Skew 10d7.9%-0.6%16.5%4.1%14.7%
Call IV 25d21.1%16.7%27.1%18.3%23.5%
Put IV 25d25.0%20.4%32.1%20.4%32.1%
Bid-Ask Spread %76.6439.0588.5639.0588.56
Gamma HHI0.410.200.800.350.21
Net GEX135.8K18.1K367.5K163.2K18.1K
Net DEX-5.1M-8.4M-970.9K-6.4M-970.9K
Net VEX-29.6K-33.5K-28.3K-28.7K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.290.0025.500.184.17
Total Volume203.33329760262186
Total OI10,240.9527,69012,16811,1949,143

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$19.40$17.0019.6%5.6%16.8%24.1%19.5%2.1%2.0%163.2K-6.4M-28.7K0.1839.05N/AN/A222405,8055,389
2014-01-03$19.62$17.0016.9%4.8%17.0%14.2%0.0%3.0%2.2%172.1K-6.7M-29.3K1.0246.97N/AN/A56575,8585,396
2014-01-06$19.50$19.0017.9%6.3%17.2%18.1%21.0%2.8%0.1%175.1K-6.6M-29.0K2.4086.41N/AN/A501205,9145,431
2014-01-07$19.35$19.0019.5%6.1%17.2%23.7%21.4%3.0%-0.9%161.4K-6.0M-30.9K25.5084.94N/AN/A41025,9065,551
2014-01-08$19.76$19.0016.2%5.7%18.6%11.7%22.0%2.6%-0.6%176.6K-6.9M-29.4K0.1187.18N/AN/A448505,9105,651
2014-01-09$20.25$19.0016.5%6.2%20.2%12.8%21.4%3.6%-1.3%162.6K-8.3M-29.4K0.7187.00N/AN/A2331666,1045,698
2014-01-10$20.26$19.0014.8%5.9%18.1%6.8%20.3%3.9%-1.0%184.6K-8.4M-30.3K0.6087.16N/AN/A80486,2675,702
2014-01-13$19.89$20.0019.2%6.0%19.0%22.6%20.8%2.4%-0.6%202.8K-7.8M-28.9K2.2682.97N/AN/A471066,3025,749
2014-01-14$19.72$20.0016.7%5.9%19.5%13.6%20.8%5.1%-0.5%195.7K-7.1M-28.9K0.1960.60N/AN/A52106,3135,855
2014-01-15$20.07$20.0015.0%5.9%20.1%7.4%21.0%5.2%-0.8%239.6K-7.6M-29.5K0.1959.83N/AN/A154306,1215,839
2014-01-16$20.05$20.0021.0%6.0%20.0%29.2%0.0%1.2%-0.2%252.6K-7.7M-29.4K0.0072.64N/AN/A4706,1575,869
2014-01-17$19.96$20.0020.3%5.8%19.5%26.4%0.0%1.6%0.2%367.5K-7.4M-28.6K0.8971.03N/AN/A82736,1555,869
2014-01-21$19.96$20.0021.4%6.1%17.7%30.7%21.5%2.5%-1.6%75.8K-3.6M-28.3K0.3477.88N/AN/A79273,9193,771
2014-01-22$20.04$20.0020.8%6.0%17.7%28.4%20.0%4.2%-0.7%75.7K-3.7M-28.7K6.7180.32N/AN/A14943,9843,793
2014-01-23$19.65$20.0021.1%6.1%19.1%29.5%23.2%9.1%-0.9%63.6K-3.1M-28.9K2.0082.28N/AN/A21423,9973,887
2014-01-24$18.81$20.0025.3%7.2%24.6%44.5%26.3%4.9%-3.0%42.8K-1.9M-28.6K0.5177.20N/AN/A184933,9923,927
2014-01-27$18.48$20.0027.0%7.7%25.1%50.7%26.0%4.6%-2.2%35.7K-1.6M-28.9K1.3183.49N/AN/A871144,0763,973
2014-01-28$18.71$20.0025.5%7.3%25.7%45.2%25.6%2.6%-2.0%34.5K-1.7M-29.2K0.7281.07N/AN/A1531104,1294,087
2014-01-29$18.34$20.0028.1%8.1%26.3%54.9%28.3%4.4%-2.8%28.5K-1.2M-29.8K5.7984.40N/AN/A1126484,2524,196
2014-01-30$18.69$19.0025.5%7.3%27.4%45.5%20.6%4.5%-2.6%24.4K-1.4M-33.5K13.5088.40N/AN/A2274,2874,836
2014-01-31$18.43$19.0029.2%8.4%27.3%58.6%28.5%8.5%-3.5%18.1K-970.9K-33.2K4.1788.56N/AN/A361504,2874,856