MFC Options History — March 2014

In March 2014, MFC traded between $18.71 and $19.43. ATM implied volatility averaged 19.9%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.9% (HV 20d: 17.0%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-03-03: Highest Volume — 636 contracts
  • 2014-03-13: Largest IV spike — 32.1% change
  • 2014-03-03: Highest IV Rank — 30.9%
  • 2014-03-03: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.13$18.71$19.43$18.93$19.31
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV19.9%16.0%21.5%21.5%20.3%
Expected Move5.8%5.2%6.2%6.2%5.8%
HV 20d17.0%13.3%24.9%24.9%16.5%
HV 60d23.0%22.3%23.3%23.2%23.1%
IV Rank25.0%11.0%30.9%30.9%26.5%
IV Percentile30.4%4.0%46.4%46.4%34.5%
Term Structure1.6%-1.4%4.7%-1.4%2.8%
VWIV20.7%18.8%23.2%23.2%20.3%
Skew 25d2.1%-1.7%6.0%0.4%0.3%
Skew 10d3.9%-4.3%28.0%28.0%-3.9%
Call IV 25d19.8%16.6%24.0%24.0%18.9%
Put IV 25d21.9%17.3%25.0%24.4%19.2%
Bid-Ask Spread %94.5788.2799.6088.2797.24
Gamma HHI0.280.260.300.260.26
Net GEX111.5K40.1K131.2K40.1K113.3K
Net DEX-2.9M-3.5M-1.9M-1.9M-3.1M
Net VEX-34.0K-35.4K-32.4K-33.5K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.004.260.080.73
Total Volume114.2861663663645
Total OI10,077.7149,09410,8569,5859,275

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$18.93$19.0021.5%6.2%24.9%30.9%23.2%0.4%-1.4%40.1K-1.9M-33.5K0.0888.27N/AN/A590464,5525,033
2014-03-04$19.10$19.0021.2%6.1%19.0%29.7%20.9%3.2%-0.6%108.4K-2.9M-34.8K0.4089.56N/AN/A62255,1135,063
2014-03-05$19.24$19.0020.5%5.9%19.0%27.5%0.0%-1.3%-0.1%113.4K-3.2M-35.4K0.1991.47N/AN/A54105,1615,073
2014-03-06$19.31$19.0020.9%6.0%18.9%28.7%21.2%1.4%0.0%122.6K-3.5M-35.3K0.6792.08N/AN/A69465,2105,083
2014-03-07$19.20$19.0019.6%5.7%18.8%24.0%19.5%3.0%1.8%121.1K-3.3M-34.1K0.0993.00N/AN/A5455,2185,112
2014-03-10$19.26$19.0019.7%5.8%18.8%24.6%20.5%3.7%0.9%131.2K-3.3M-34.9K0.0891.58N/AN/A2625,2475,107
2014-03-11$19.32$19.0020.2%6.0%18.3%26.2%20.6%3.6%0.8%130.3K-3.5M-34.6K0.6491.53N/AN/A61395,2605,109
2014-03-12$19.32$19.0016.0%5.8%16.2%11.0%22.6%4.6%1.3%128.2K-3.4M-34.0K0.8493.14N/AN/A43365,2315,129
2014-03-13$18.98$19.0021.1%6.0%16.0%29.4%22.8%4.1%1.5%117.6K-2.8M-35.0K0.7996.30N/AN/A115915,2545,165
2014-03-14$18.71$19.0021.2%6.1%16.7%29.8%22.3%1.8%0.7%96.4K-2.2M-33.7K1.6692.61N/AN/A50835,3215,256
2014-03-17$18.86$19.0020.8%6.0%14.3%28.3%20.4%1.5%1.7%99.1K-2.3M-34.2K0.2095.12N/AN/A1535,3505,339
2014-03-18$18.86$19.0020.0%5.7%13.9%25.4%0.0%1.1%3.1%106.1K-2.3M-34.0K1.2497.22N/AN/A17215,3625,340
2014-03-19$18.73$19.0018.8%5.4%13.3%21.1%18.8%1.1%2.0%102.2K-1.9M-33.3K4.2696.19N/AN/A391665,3665,353
2014-03-20$19.23$19.0020.2%5.8%16.4%26.3%19.7%1.6%1.4%116.2K-2.9M-34.3K0.1099.60N/AN/A176185,3165,485
2014-03-21$19.15$19.0018.8%5.4%16.3%21.3%0.0%3.0%2.6%129.9K-3.2M-33.9K0.8296.90N/AN/A44365,3775,479
2014-03-24$19.28$19.0020.0%5.7%16.5%25.6%20.7%6.0%2.9%110.4K-3.1M-33.1K0.0096.19N/AN/A3304,7084,386
2014-03-25$19.43$19.0020.1%5.8%16.7%25.9%19.6%5.8%2.0%113.0K-3.3M-33.2K3.5694.69N/AN/A341214,7154,386
2014-03-26$19.31$19.0019.3%5.5%15.7%22.9%19.8%-1.7%3.1%118.6K-3.3M-33.0K0.7696.58N/AN/A37284,7464,444
2014-03-27$19.27$19.0018.8%5.4%15.1%21.1%18.8%-0.6%3.2%113.2K-3.0M-33.5K2.3897.38N/AN/A13314,7694,472
2014-03-28$19.03$19.0018.0%5.2%15.7%18.3%0.0%1.9%4.7%109.8K-2.8M-32.4K0.7899.32N/AN/A974,7694,498
2014-03-31$19.31$19.0020.3%5.8%16.5%26.5%20.3%0.3%2.8%113.3K-3.1M-33.0K0.7397.24N/AN/A26194,7774,498