MFC Options History — August 2014

In August 2014, MFC traded between $19.75 and $20.43. ATM implied volatility averaged 17.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 13.7%). 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 19 of 21 days. Put/call ratio averaged 4.05.

Notable Days

  • 2014-08-21: Highest Volume — 314 contracts
  • 2014-08-14: Largest IV drop — 25.0% change
  • 2014-08-13: Highest IV Rank — 45.3%
  • 2014-08-05: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.06$19.75$20.43$20.06$20.18
Max Pain$19.10$17.00$20.00$17.00$19.00
ATM IV17.8%14.3%24.1%20.7%14.6%
Expected Move5.5%5.1%5.8%5.7%5.4%
HV 20d13.7%12.0%14.9%13.7%13.2%
HV 60d13.6%12.9%14.6%14.6%13.0%
IV Rank22.1%7.5%45.3%28.2%9.3%
IV Percentile29.1%1.2%84.9%60.3%2.8%
Term Structure1.2%-1.6%2.4%-1.6%1.7%
VWIV19.7%17.3%22.3%19.8%17.3%
Skew 25d3.7%-1.2%7.4%0.0%2.9%
Skew 10d6.3%-1.4%14.4%-1.4%2.2%
Call IV 25d14.4%10.0%19.6%18.0%11.7%
Put IV 25d18.0%14.2%22.1%18.0%14.6%
Bid-Ask Spread %77.6057.1595.1064.9484.83
Gamma HHI0.250.230.280.230.24
Net GEX252.9K214.2K278.6K275.7K273.7K
Net DEX-6.5M-7.6M-5.0M-7.2M-7.1M
Net VEX-48.8K-52.5K-45.2K-52.5K-45.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.050.0036.0011.323.20
Total Volume83.429431423463
Total OI15,180.85714,66615,59115,16115,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$20.06$17.0020.7%5.7%13.7%28.2%19.8%0.0%-1.6%275.7K-7.2M-52.5K11.3264.94N/AN/A192158,5816,580
2014-08-04$20.22$20.0023.3%5.8%14.0%37.5%19.3%2.9%0.4%277.9K-7.2M-51.4K0.0057.15N/AN/A408,5886,770
2014-08-05$20.02$20.0024.1%5.8%14.3%40.1%0.0%4.2%-0.1%260.3K-6.8M-51.1K6.1160.15N/AN/A181108,5926,770
2014-08-06$20.12$20.0023.2%5.7%14.4%36.9%22.3%3.8%0.8%264.4K-6.9M-50.3K13.3362.95N/AN/A6808,6106,859
2014-08-07$19.87$20.0020.2%5.5%14.9%26.0%22.3%1.8%0.5%230.3K-6.0M-50.9K0.4795.10N/AN/A165788,6166,890
2014-08-08$19.89$19.0018.3%5.6%14.6%29.0%19.6%7.3%1.9%230.9K-5.8M-50.7K0.0384.43N/AN/A2918,6326,900
2014-08-11$19.89$19.0017.1%5.6%12.4%22.4%0.0%7.4%2.0%242.8K-6.1M-49.2K0.8871.23N/AN/A40358,6616,900
2014-08-12$19.85$19.0021.0%5.7%12.4%43.9%0.0%5.9%1.8%224.9K-5.4M-49.4K0.2069.75N/AN/A4698,6336,908
2014-08-13$19.76$19.0021.3%5.6%12.0%45.3%0.0%5.4%1.4%237.4K-5.6M-49.1K0.6785.64N/AN/A18128,6686,917
2014-08-14$20.01$19.0016.0%5.5%12.6%16.5%21.6%5.7%2.3%270.7K-6.0M-48.5K0.0082.12N/AN/A3308,6656,926
2014-08-15$19.75$19.0015.9%5.3%12.7%16.2%0.0%4.0%1.9%225.9K-5.0M-49.5K0.1794.78N/AN/A4178,3936,926
2014-08-18$19.85$19.0015.5%5.4%12.9%13.8%18.4%6.6%1.6%214.2K-5.5M-49.0K0.5372.86N/AN/A57307,9376,729
2014-08-19$19.90$19.0015.3%5.4%12.9%12.8%18.7%5.4%1.1%228.3K-5.9M-48.4K36.0081.50N/AN/A1367,9326,759
2014-08-20$19.98$19.0015.6%5.3%13.0%14.3%18.5%6.1%1.1%232.6K-5.9M-48.4K0.3074.49N/AN/A2787,9326,778
2014-08-21$20.37$19.0015.4%5.1%14.8%13.2%0.0%1.6%2.4%259.2K-7.5M-46.8K0.4886.39N/AN/A2121027,9596,785
2014-08-22$20.27$19.0015.9%5.3%14.9%15.9%0.0%-0.3%1.2%268.2K-7.5M-46.5K0.1777.28N/AN/A2448,1376,806
2014-08-25$20.29$19.0015.1%5.3%14.9%11.9%0.0%-1.2%1.3%278.6K-7.4M-47.7K0.0094.10N/AN/A5808,1486,804
2014-08-26$20.29$19.0015.6%5.3%14.8%14.3%19.3%4.5%1.0%270.2K-7.4M-46.7K7.0885.18N/AN/A13928,1346,804
2014-08-27$20.43$19.0014.8%5.3%14.4%10.1%17.3%0.1%1.9%277.4K-7.6M-46.5K0.0072.98N/AN/A5508,1476,892
2014-08-28$20.21$19.0014.3%5.4%14.6%7.5%0.0%2.8%1.2%266.4K-7.3M-46.2K0.0071.76N/AN/A048,1716,892
2014-08-29$20.18$19.0014.6%5.4%13.2%9.3%0.0%2.9%1.7%273.7K-7.1M-45.2K3.2084.83N/AN/A15488,1716,896