MFC Options History — November 2014

In November 2014, MFC traded between $18.52 and $20.07. ATM implied volatility averaged 19.5%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.5% (HV 20d: 22.0%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.08.

Notable Days

  • 2014-11-10: Highest Volume — 6,328 contracts
  • 2014-11-10: Largest IV spike — 25.1% change
  • 2014-11-10: Highest IV Rank — 57.4%
  • 2014-11-12: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.21$18.52$20.07$18.70$19.90
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV19.5%15.5%23.8%21.8%17.0%
Expected Move5.9%5.4%6.2%5.9%5.5%
HV 20d22.0%15.3%30.4%30.4%15.7%
HV 60d21.4%21.1%21.6%21.1%21.4%
IV Rank32.5%9.9%57.4%46.0%18.8%
IV Percentile51.5%9.1%87.7%79.0%27.8%
Term Structure0.2%-2.4%2.0%-1.2%0.5%
VWIV21.8%18.0%24.7%22.4%18.2%
Skew 25d4.3%0.2%10.2%4.5%4.3%
Skew 10d9.2%-3.2%24.3%3.5%24.3%
Call IV 25d17.8%13.1%21.0%20.6%15.0%
Put IV 25d22.1%13.2%30.4%25.1%19.3%
Bid-Ask Spread %77.7561.2893.2380.3562.33
Gamma HHI0.270.230.350.230.35
Net GEX161.4K-609422.1K30.0K422.1K
Net DEX-1.8M-7.0M1.3M417.5K-6.4M
Net VEX-41.0K-45.7K-35.1K-45.7K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.036.734.744.47
Total Volume2,463.158296,3283,243394
Total OI18,518.26316,88519,42618,49117,980

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$18.70$19.0021.8%5.9%30.4%46.0%22.4%4.5%-1.2%30.0K417.5K-45.7K4.7480.35N/AN/A5652,6788,5559,936
2014-11-04$18.62$19.0021.9%6.1%29.9%46.3%22.8%10.2%-1.0%13.6K1.1M-45.6K5.4483.29N/AN/A4962,7008,5669,963
2014-11-05$18.87$19.0022.7%6.2%30.2%50.7%22.3%9.3%-2.4%51.5K260.1K-45.0K4.8577.43N/AN/A5472,6548,56110,033
2014-11-06$18.52$19.0017.8%5.7%30.3%23.1%22.4%3.9%0.4%-6091.2M-44.7K4.6381.45N/AN/A6112,8268,57710,057
2014-11-07$18.71$19.0019.1%6.0%28.7%30.3%23.4%3.4%0.7%13.7K1.3M-44.6K4.7893.23N/AN/A5802,7758,60710,258
2014-11-10$18.82$19.0023.8%6.1%28.5%57.4%22.5%4.4%-0.0%44.5K556.7K-43.9K1.9787.86N/AN/A2,1284,2008,60910,260
2014-11-11$18.87$19.0023.5%6.2%28.5%55.2%22.7%2.3%0.4%110.7K-740.4K-35.1K6.7378.72N/AN/A6224,1898,5978,618
2014-11-12$19.09$19.0022.7%6.2%21.5%50.9%23.1%4.6%-0.3%96.5K-703.3K-44.1K4.9878.69N/AN/A5382,6818,87810,324
2014-11-13$19.00$19.0018.5%5.9%21.7%27.1%22.4%3.5%2.0%99.9K-479.7K-41.6K4.7775.31N/AN/A5572,6578,81610,270
2014-11-14$19.26$19.0019.8%6.2%20.4%34.3%18.0%4.8%-0.3%159.9K-1.8M-41.8K0.0469.95N/AN/A2818,85410,260
2014-11-17$19.32$19.0019.0%6.1%20.2%29.8%22.4%2.8%0.4%197.4K-2.6M-40.2K5.2266.20N/AN/A5602,9248,85510,265
2014-11-18$19.39$19.0019.1%6.0%18.1%30.7%22.0%4.5%-0.5%198.7K-2.7M-40.6K2.4861.28N/AN/A5431,3448,91510,485
2014-11-19$19.32$19.0018.7%6.0%16.0%28.4%20.9%3.3%0.4%169.6K-2.2M-41.1K0.0388.84N/AN/A3018,93110,495
2014-11-20$19.51$19.0016.8%5.5%15.7%17.4%22.4%3.5%0.9%202.1K-2.8M-40.0K1.1168.20N/AN/A1,1491,2728,82310,361
2014-11-21$19.47$19.0019.0%5.9%15.7%29.7%24.7%5.8%-0.0%217.4K-2.4M-38.9K1.3784.25N/AN/A8681,1928,11310,361
2014-11-24$19.63$19.0015.5%5.5%15.8%9.9%22.5%3.6%1.5%287.4K-3.7M-36.1K0.0468.65N/AN/A8437,6909,195
2014-11-25$19.94$19.0016.6%5.4%15.7%16.3%20.0%3.2%0.8%345.9K-6.0M-36.0K0.4587.95N/AN/A1,4166397,8459,197
2014-11-26$20.07$19.0016.4%5.5%15.3%15.0%18.8%0.2%1.2%405.5K-7.0M-37.0K0.3883.27N/AN/A253958,5159,222
2014-11-28$19.90$19.0017.0%5.5%15.7%18.8%18.2%4.3%0.5%422.1K-6.4M-37.9K4.4762.33N/AN/A723228,7119,269