MFC Options History — April 2014

In April 2014, MFC traded between $18.23 and $19.62. ATM implied volatility averaged 22.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.3% (HV 20d: 19.7%). 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 3 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-04-30: Highest Volume — 3,070 contracts
  • 2014-04-10: Largest IV spike — 19.4% change
  • 2014-04-28: Highest IV Rank — 52.3%
  • 2014-04-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.81$18.23$19.62$19.50$18.75
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV22.0%16.2%27.4%19.4%21.2%
Expected Move6.5%4.6%7.9%5.5%6.1%
HV 20d19.7%16.5%21.7%16.5%20.5%
HV 60d22.3%18.8%23.5%23.1%18.8%
IV Rank32.9%11.8%52.3%23.2%29.8%
IV Percentile52.2%5.2%88.9%23.8%46.8%
Term Structure-1.8%-5.6%7.9%2.9%-0.7%
VWIV21.9%16.3%26.1%16.3%21.2%
Skew 25d5.4%0.9%10.7%3.0%5.2%
Skew 10d11.4%-4.4%45.1%-0.7%8.4%
Call IV 25d20.1%16.4%23.8%16.4%19.1%
Put IV 25d25.5%18.1%30.3%19.5%24.3%
Bid-Ask Spread %94.7590.18102.4497.0295.59
Gamma HHI0.250.200.360.260.23
Net GEX92.5K14.1K176.9K121.0K87.4K
Net DEX-2.1M-3.8M-476.2K-3.4M-2.1M
Net VEX-31.5K-33.3K-30.4K-33.3K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.980.000.99
Total Volume264.90523,070153,070
Total OI9,5808,8959,9899,2939,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$19.50$19.0019.4%5.5%16.5%23.2%16.3%3.0%2.9%121.0K-3.4M-33.3K0.0097.02N/AN/A1504,7754,518
2014-04-02$19.62$19.0016.2%4.6%16.5%11.8%16.5%0.9%2.7%132.2K-3.8M-32.2K0.2796.42N/AN/A220604,7904,518
2014-04-03$19.50$19.0016.7%4.8%16.6%13.7%17.2%1.3%7.9%138.1K-3.8M-31.8K0.05100.21N/AN/A9554,8514,578
2014-04-04$19.35$19.0019.0%6.5%16.7%21.9%0.0%6.8%-2.5%114.6K-3.5M-32.4K0.1492.96N/AN/A1424,9354,581
2014-04-07$18.94$19.0020.0%6.6%18.4%25.3%23.0%4.9%-2.2%125.6K-2.6M-32.9K0.5291.79N/AN/A86454,9384,583
2014-04-08$18.95$19.0019.9%6.6%18.3%25.1%22.8%6.1%-2.5%131.1K-2.6M-32.8K1.0890.18N/AN/A52565,0114,618
2014-04-09$19.18$19.0018.7%6.7%18.9%20.7%18.7%7.7%-2.5%158.4K-3.1M-32.1K0.0091.38N/AN/A1505,0634,655
2014-04-10$18.53$19.0022.3%6.4%21.7%33.8%22.4%2.4%-2.5%141.2K-1.8M-31.1K2.9893.96N/AN/A531585,0784,655
2014-04-11$18.34$19.0025.2%7.2%21.4%44.4%26.1%3.0%-3.3%61.5K-858.7K-31.1K0.6591.67N/AN/A139905,1154,685
2014-04-14$18.23$19.0025.7%7.4%21.2%45.9%23.3%2.6%-4.8%49.1K-909.6K-30.8K0.0092.09N/AN/A4505,1754,763
2014-04-15$18.29$19.0024.8%7.1%21.3%42.9%23.2%5.5%-1.8%14.1K-476.2K-30.5K0.8896.74N/AN/A48425,2064,763
2014-04-16$18.50$19.0025.3%7.3%21.6%44.6%0.0%5.9%-4.3%77.4K-932.1K-31.3K0.0093.07N/AN/A205,2104,779
2014-04-17$18.77$19.0022.9%6.5%20.0%35.8%23.1%4.5%-0.8%176.9K-1.6M-31.4K0.75102.44N/AN/A16125,2104,779
2014-04-21$18.65$19.0022.5%6.4%20.1%34.4%21.6%9.4%-1.4%28.4K-1.4M-30.4K0.4696.28N/AN/A68314,4194,476
2014-04-22$18.87$19.0024.1%6.9%20.4%40.2%24.4%10.7%-4.4%35.2K-1.6M-30.6K0.0397.42N/AN/A5924,4464,502
2014-04-23$18.68$19.0022.4%6.4%20.4%34.2%21.9%7.6%-3.3%36.3K-1.8M-30.9K0.0392.90N/AN/A489154,4874,503
2014-04-24$18.82$19.0022.2%6.4%20.6%33.5%22.2%7.3%-2.0%80.1K-2.1M-31.3K0.2497.70N/AN/A214514,9514,495
2014-04-25$18.54$19.0023.9%6.9%21.2%39.6%24.1%7.5%-2.9%77.8K-1.7M-30.9K0.4793.34N/AN/A66315,1384,540
2014-04-28$18.41$19.0027.4%7.9%20.9%52.3%24.4%7.1%-5.6%69.9K-1.4M-30.8K1.7095.43N/AN/A27465,1824,565
2014-04-29$18.67$19.0023.2%6.6%20.8%36.9%24.1%4.1%-2.8%86.7K-1.9M-31.1K0.6191.13N/AN/A77475,2094,571
2014-04-30$18.75$19.0021.2%6.1%20.5%29.8%21.2%5.2%-0.7%87.4K-2.1M-31.2K0.9995.59N/AN/A1,5401,5305,2634,601