MFC Options History — July 2014

In July 2014, MFC traded between $19.95 and $20.59. ATM implied volatility averaged 18.5%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.0% (HV 20d: 12.6%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2014-07-15: Highest Volume — 376 contracts
  • 2014-07-08: Largest IV spike — 31.5% change
  • 2014-07-25: Highest IV Rank — 29.7%
  • 2014-07-23: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.35$19.95$20.59$19.95$20.41
Max Pain$18.35$17.00$20.00$18.00$17.00
ATM IV18.5%13.7%21.2%16.2%20.6%
Expected Move5.3%4.3%5.7%4.6%5.5%
HV 20d12.6%11.5%14.2%11.6%13.0%
HV 60d15.4%14.2%17.5%17.5%14.2%
IV Rank20.3%2.9%29.7%11.7%27.8%
IV Percentile34.7%0.4%63.1%8.7%58.3%
Term Structure-1.1%-3.6%3.6%1.6%-1.8%
VWIV19.2%15.3%22.5%15.3%18.6%
Skew 25d3.4%0.9%5.9%5.9%1.6%
Skew 10d6.9%-0.2%42.4%9.4%0.2%
Call IV 25d16.6%10.4%19.4%13.6%19.4%
Put IV 25d20.0%14.0%22.6%19.5%21.0%
Bid-Ask Spread %39.5312.7896.8112.7859.13
Gamma HHI0.240.220.260.260.24
Net GEX238.0K193.5K309.6K194.5K309.6K
Net DEX-8.0M-8.8M-6.5M-6.7M-8.6M
Net VEX-51.6K-57.8K-48.8K-54.7K-50.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.480.210.21
Total Volume102.5037651173
Total OI14,390.04514,04214,99514,04214,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$19.95$18.0016.2%4.6%11.6%11.7%0.0%5.9%1.6%194.5K-6.7M-54.7K0.2112.78N/AN/A4297,6166,426
2014-07-02$20.07$18.0015.1%4.3%11.5%7.8%0.0%0.9%3.6%193.5K-6.5M-57.8K0.0015.93N/AN/A2807,6426,427
2014-07-03$20.33$18.0015.3%4.4%12.0%8.7%15.3%5.1%2.2%205.6K-7.9M-53.2K0.2117.60N/AN/A118257,6416,427
2014-07-07$20.36$18.0013.7%5.3%12.0%2.9%18.3%2.5%-0.4%213.3K-8.0M-52.7K0.8133.24N/AN/A37307,6676,414
2014-07-08$20.27$18.0018.1%5.6%12.3%18.5%19.5%2.6%-1.9%213.1K-7.8M-51.8K0.0316.32N/AN/A7927,6826,424
2014-07-09$20.32$18.0016.6%5.5%12.2%13.2%19.1%3.1%-1.1%215.2K-7.7M-52.3K0.3217.44N/AN/A155507,6456,426
2014-07-10$20.17$20.0019.4%5.6%12.5%23.4%16.8%5.3%-1.9%210.7K-7.2M-52.4K0.5027.91N/AN/A20107,7506,476
2014-07-11$20.00$20.0019.3%5.5%12.6%23.1%19.3%3.9%-1.8%205.0K-7.0M-52.9K0.0020.89N/AN/A1207,7426,476
2014-07-14$20.41$20.0019.2%5.5%14.0%22.6%18.4%5.2%-1.4%220.5K-7.8M-50.9K0.4122.91N/AN/A39167,7486,476
2014-07-15$20.43$20.0019.8%5.7%14.1%24.8%19.5%5.0%-2.4%223.9K-8.2M-50.9K0.0628.61N/AN/A355217,7516,492
2014-07-16$20.58$20.0017.8%5.1%13.3%17.5%20.1%3.2%-1.1%246.7K-8.8M-50.8K0.0023.53N/AN/A9408,0896,496
2014-07-17$20.36$20.0019.7%5.7%14.0%24.6%0.0%4.3%-1.7%244.7K-8.5M-50.9K1.4822.32N/AN/A27408,1176,395
2014-07-18$20.55$20.0017.3%5.0%14.2%15.7%21.4%5.6%-0.3%253.8K-8.8M-50.0K0.0314.85N/AN/A7028,1066,435
2014-07-21$20.45$0.0019.9%5.2%12.6%25.1%0.0%1.5%-1.6%244.7K-8.0M-51.0K0.0096.81N/AN/A007,9576,418
2014-07-22$20.49$0.0020.7%5.6%12.1%28.1%22.1%2.1%-3.1%252.4K-8.4M-49.4K0.1768.19N/AN/A119207,9576,418
2014-07-23$20.39$17.0019.3%5.7%12.1%22.8%18.1%3.3%-0.6%245.4K-8.0M-51.5K0.0965.87N/AN/A7478,0246,428
2014-07-24$20.35$17.0019.8%5.6%12.2%24.8%0.0%2.8%-1.4%242.3K-8.0M-52.9K0.2968.05N/AN/A69208,0956,435
2014-07-25$20.42$17.0021.2%5.6%12.0%29.7%18.7%3.4%-3.6%267.7K-8.2M-51.3K0.9961.22N/AN/A85848,1646,445
2014-07-28$20.42$17.0020.7%5.6%11.9%28.1%0.0%1.8%-2.5%265.9K-8.3M-48.8K0.4258.30N/AN/A24108,1746,529
2014-07-29$20.35$17.0020.0%5.5%12.0%25.5%0.0%1.9%-2.0%269.8K-8.3M-48.8K0.0057.30N/AN/A12208,1986,519
2014-07-30$20.59$17.0018.3%5.4%12.6%19.5%22.5%4.3%-1.7%298.7K-8.7M-49.4K0.3460.43N/AN/A125428,3206,519
2014-07-31$20.41$17.0020.6%5.5%13.0%27.8%18.6%1.6%-1.8%309.6K-8.6M-50.0K0.2159.13N/AN/A143308,4456,550