MFC Options History — September 2014

In September 2014, MFC traded between $19.25 and $20.52. ATM implied volatility averaged 16.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.4% (HV 20d: 14.2%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.11.

Notable Days

  • 2014-09-19: Highest Volume — 710 contracts
  • 2014-09-25: Largest IV spike — 11.0% change
  • 2014-09-29: Highest IV Rank — 34.2%
  • 2014-09-26: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.95$19.25$20.52$20.27$19.25
Max Pain$19.86$19.00$20.00$19.00$20.00
ATM IV16.5%14.2%19.2%14.2%19.1%
Expected Move5.2%4.9%5.6%5.4%5.3%
HV 20d14.2%12.6%16.2%13.0%16.2%
HV 60d13.6%12.6%14.5%13.1%14.3%
IV Rank19.6%7.0%34.2%7.0%33.4%
IV Percentile21.9%1.2%52.0%1.2%50.4%
Term Structure1.2%-0.2%2.8%2.8%1.5%
VWIV19.1%17.8%23.6%18.7%18.6%
Skew 25d3.7%0.0%24.2%24.2%0.0%
Skew 10d6.2%0.2%62.1%62.1%0.4%
Call IV 25d15.4%12.2%19.0%12.2%19.0%
Put IV 25d19.2%15.2%36.4%36.4%19.0%
Bid-Ask Spread %76.8162.7185.8080.6077.13
Gamma HHI0.250.220.270.230.27
Net GEX212.2K121.7K286.1K263.5K121.7K
Net DEX-5.7M-8.2M-2.2M-7.3M-2.2M
Net VEX-43.2K-46.1K-39.1K-45.9K-42.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.110.0051.000.470.50
Total Volume161.42967101629
Total OI15,039.14313,93415,42615,09914,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$20.27$19.0014.2%5.4%13.0%7.0%18.7%24.2%2.8%263.5K-7.3M-45.9K0.4780.60N/AN/A110528,1616,938
2014-09-03$20.52$19.0014.9%4.9%13.1%10.9%0.0%0.7%-0.2%286.1K-8.2M-44.5K1.5080.60N/AN/A36548,2566,974
2014-09-04$20.25$19.0015.2%5.3%14.0%12.0%17.8%2.8%1.3%269.8K-7.5M-45.9K0.1876.32N/AN/A176318,2837,028
2014-09-05$20.16$20.0016.5%5.2%13.2%19.3%0.0%2.9%1.3%252.1K-6.9M-45.0K2.0075.50N/AN/A248,2987,051
2014-09-08$20.04$20.0016.3%5.2%13.5%18.5%23.6%2.4%1.2%240.7K-6.2M-45.5K22.6770.31N/AN/A3688,2987,051
2014-09-09$20.05$20.0017.0%5.2%13.5%22.2%0.0%2.1%0.7%242.6K-6.0M-46.1K0.3678.30N/AN/A1458,2987,119
2014-09-10$20.10$20.0015.5%5.2%13.4%13.8%0.0%3.5%1.7%243.5K-6.6M-44.9K0.3574.77N/AN/A1768,2987,124
2014-09-11$19.90$20.0016.2%5.1%13.9%17.7%0.0%6.6%0.9%243.2K-6.2M-42.3K0.5777.25N/AN/A21128,2907,130
2014-09-12$20.05$20.0016.4%5.1%13.4%18.7%18.0%5.0%0.8%243.7K-6.7M-42.9K0.2581.89N/AN/A1238,2907,130
2014-09-15$19.95$20.0016.6%5.2%12.6%19.9%18.0%2.0%0.9%234.7K-6.4M-42.4K0.0085.80N/AN/A3108,2937,133
2014-09-16$20.14$20.0017.2%5.1%12.9%23.0%0.0%3.8%0.4%236.7K-6.9M-41.7K0.3376.61N/AN/A61208,2847,133
2014-09-17$20.05$20.0016.1%5.1%13.0%16.9%0.0%0.3%0.6%222.7K-6.6M-42.9K0.1382.02N/AN/A4058,2667,130
2014-09-18$20.46$20.0016.6%5.3%14.8%19.9%17.9%0.4%1.4%242.0K-7.8M-40.8K0.9281.08N/AN/A74688,1857,096
2014-09-19$20.22$20.0016.3%5.1%13.8%18.1%0.0%3.5%1.0%226.9K-7.6M-39.1K1.5078.25N/AN/A2844268,1777,123
2014-09-22$19.91$20.0017.0%5.3%14.7%21.9%20.3%4.8%1.2%161.1K-5.1M-41.5K0.0583.82N/AN/A589287,1896,745
2014-09-23$19.67$20.0016.5%5.2%15.2%19.2%19.3%4.2%1.6%176.1K-4.3M-42.2K1.2279.97N/AN/A2152637,3366,773
2014-09-24$19.67$20.0015.8%5.2%15.2%15.4%18.7%3.6%2.1%147.2K-3.8M-42.2K1.4162.71N/AN/A54767,3247,024
2014-09-25$19.31$20.0017.5%5.4%16.0%24.8%18.6%0.5%1.8%127.4K-2.6M-41.8K0.7772.75N/AN/A2261747,3627,100
2014-09-26$19.46$20.0017.6%5.6%16.1%25.4%17.9%2.6%2.6%143.2K-2.9M-42.6K0.1170.55N/AN/A6277,4497,212
2014-09-29$19.43$20.0019.2%5.5%16.1%34.2%20.5%2.6%0.6%131.8K-2.7M-43.2K51.0066.79N/AN/A1517,4917,219
2014-09-30$19.25$20.0019.1%5.3%16.2%33.4%18.6%0.0%1.5%121.7K-2.2M-42.7K0.5077.13N/AN/A637,4917,270