MFC Options History — October 2014

In October 2014, MFC traded between $17.30 and $19.34. ATM implied volatility averaged 23.4%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.1% (HV 20d: 23.3%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 3.49.

Notable Days

  • 2014-10-30: Highest Volume — 5,100 contracts
  • 2014-10-13: Largest IV spike — 39.9% change
  • 2014-10-16: Highest IV Rank — 98.4%
  • 2014-10-15: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.43$17.30$19.34$18.97$18.97
Max Pain$19.35$19.00$20.00$20.00$19.00
ATM IV23.4%18.6%31.1%19.1%22.5%
Expected Move6.3%5.6%7.8%5.7%6.1%
HV 20d23.3%15.6%30.2%15.7%30.2%
HV 60d17.8%14.4%20.9%14.6%20.9%
IV Rank55.4%28.0%98.4%33.4%49.7%
IV Percentile77.3%44.8%99.6%50.4%82.5%
Term Structure-1.4%-5.5%2.2%1.4%-1.6%
VWIV22.2%17.5%26.5%20.7%22.4%
Skew 25d5.9%0.2%12.8%0.2%9.1%
Skew 10d11.3%-1.9%25.1%0.1%19.8%
Call IV 25d21.0%14.9%29.2%15.2%18.8%
Put IV 25d26.9%15.4%40.3%15.4%28.0%
Bid-Ask Spread %72.0156.2483.9956.2478.58
Gamma HHI0.260.230.290.260.23
Net GEX23.8K-52.4K127.5K95.0K69.6K
Net DEX1.0M-2.4M4.7M-1.2M-872.9K
Net VEX-41.9K-52.3K-35.4K-41.9K-52.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.490.0025.337.356.48
Total Volume1,280.957405,1001924,592
Total OI16,261.82614,76519,46314,76519,463

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$18.97$20.0019.1%5.7%15.7%33.4%20.7%0.2%1.4%95.0K-1.2M-41.9K7.3556.24N/AN/A231697,4927,273
2014-10-02$19.06$20.0019.6%5.7%15.6%36.0%19.8%1.3%0.7%93.1K-1.1M-41.9K1.8667.30N/AN/A651217,4957,377
2014-10-03$19.17$20.0018.6%5.6%15.9%31.0%17.5%3.7%2.2%111.7K-1.8M-42.1K0.4272.85N/AN/A96407,5267,431
2014-10-06$19.34$20.0019.5%5.7%16.3%35.6%19.9%4.7%-1.2%127.5K-2.4M-42.1K25.3361.82N/AN/A3767,6127,451
2014-10-07$19.02$20.0019.9%5.7%17.1%34.9%18.7%2.1%-0.2%97.3K-1.3M-42.7K0.0062.55N/AN/A11607,6137,514
2014-10-08$19.18$20.0018.7%5.7%17.5%28.0%20.9%4.6%-1.3%107.6K-1.6M-42.4K1.5963.53N/AN/A7451,1887,6967,404
2014-10-09$18.85$20.0019.5%5.9%18.1%32.5%22.3%3.9%-1.8%79.3K-517.1K-41.9K6.1965.80N/AN/A704337,7017,505
2014-10-10$18.32$20.0022.2%6.5%19.8%47.8%22.7%3.0%-2.3%29.5K1.1M-40.3K3.2371.08N/AN/A712297,7697,933
2014-10-13$18.16$19.0031.0%6.4%19.9%98.0%21.2%3.1%-5.5%8.8K1.9M-41.4K0.2971.76N/AN/A34107,8098,120
2014-10-14$18.18$19.0027.9%6.4%19.3%80.2%22.0%5.5%-3.2%-6.4K2.3M-40.5K2.2169.48N/AN/A6611,4637,8377,907
2014-10-15$17.32$19.0030.5%7.8%24.7%95.1%24.9%7.8%-1.7%-41.8K4.7M-35.8K1.6273.58N/AN/A8931,4467,8417,937
2014-10-16$17.30$19.0031.1%7.5%22.6%98.4%26.5%12.8%-1.9%-52.4K4.7M-35.4K1.7275.03N/AN/A1342317,9678,015
2014-10-17$17.77$19.0025.9%6.9%25.8%69.2%0.0%5.0%-1.7%-31.6K3.5M-37.8K1.3773.66N/AN/A811118,0888,133
2014-10-20$17.73$19.0025.2%6.8%25.6%65.0%0.0%7.5%-1.8%-43.8K3.0M-37.7K1.2170.07N/AN/A33408,0387,873
2014-10-21$18.24$19.0023.8%6.4%28.1%56.9%22.9%12.1%-1.4%-9.3K1.8M-39.4K1.2175.27N/AN/A5536708,0587,888
2014-10-22$17.86$19.0024.6%6.6%28.8%61.6%24.3%5.0%-2.0%-20.0K2.2M-37.8K0.9974.89N/AN/A7927878,2327,883
2014-10-23$18.11$19.0022.8%6.4%29.0%51.2%23.5%6.3%-0.1%-9621.6M-38.6K3.7779.92N/AN/A5942,2428,4307,948
2014-10-24$18.25$19.0023.5%6.3%29.0%55.5%25.3%5.0%-1.7%-36.9K2.3M-47.1K3.9770.02N/AN/A5592,2178,4739,450
2014-10-27$18.28$19.0024.3%6.3%29.1%59.9%22.2%9.1%-1.9%-39.8K2.3M-45.9K1.4480.28N/AN/A18268,4799,454
2014-10-28$18.59$19.0021.4%5.9%29.8%43.6%22.8%8.2%-1.8%-2.6K1.0M-46.1K1.0076.86N/AN/A20208,4809,449
2014-10-29$18.47$19.0024.8%6.3%29.5%62.9%22.5%6.5%-2.5%-9.6K1.3M-46.4K4.9381.78N/AN/A4542,2368,4909,459
2014-10-30$18.66$19.0022.1%6.1%29.7%47.3%23.4%8.7%-0.8%22.3K437.5K-46.7K2.1683.99N/AN/A1,6153,4858,5559,474
2014-10-31$18.97$19.0022.5%6.1%30.2%49.7%22.4%9.1%-1.6%69.6K-872.9K-52.3K6.4878.58N/AN/A6143,9789,22710,236