MFC Options History — December 2014

In December 2014, MFC traded between $18.08 and $20.20. ATM implied volatility averaged 21.6%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.7% (HV 20d: 24.3%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2014-12-26: Highest Volume — 2,097 contracts
  • 2014-12-09: Largest IV spike — 19.8% change
  • 2014-12-16: Highest IV Rank — 88.9%
  • 2014-12-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.20$18.08$20.20$19.95$19.09
Max Pain$19.24$19.00$20.00$19.00$20.00
ATM IV21.6%17.1%29.4%17.8%21.1%
Expected Move6.5%5.6%7.7%5.7%6.4%
HV 20d24.3%13.8%29.6%14.9%28.8%
HV 60d24.2%21.4%25.6%21.4%25.3%
IV Rank44.8%19.1%88.9%23.2%41.7%
IV Percentile67.5%28.6%96.0%32.5%67.5%
Term Structure0.8%-3.5%2.9%0.0%1.8%
VWIV24.1%18.8%29.4%22.8%22.7%
Skew 25d4.5%-2.2%11.2%6.1%-2.2%
Skew 10d7.1%-8.5%18.7%7.0%-2.1%
Call IV 25d19.6%10.7%24.6%15.6%22.4%
Put IV 25d24.1%20.2%31.3%21.7%20.2%
Bid-Ask Spread %71.0737.9897.8863.3837.98
Gamma HHI0.270.220.340.320.27
Net GEX192.7K-86.2K386.4K371.5K197.5K
Net DEX-2.1M-7.9M4.3M-6.7M-1.2M
Net VEX-33.2K-37.4K-28.6K-37.4K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.2810.801.0410.80
Total Volume1,054.727512,0971,16359
Total OI18,019.81815,96519,02218,42417,286

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$19.95$19.0017.8%5.7%14.9%23.2%22.8%6.1%0.0%371.5K-6.7M-37.4K1.0463.38N/AN/A5715928,8429,582
2014-12-02$19.86$19.0018.1%5.6%13.8%24.6%22.6%4.6%-0.5%360.7K-6.2M-36.7K1.0357.78N/AN/A5055188,7879,607
2014-12-03$20.20$19.0018.3%5.7%14.4%25.9%23.5%11.2%-0.0%376.9K-7.9M-35.5K1.0261.49N/AN/A5275358,7959,619
2014-12-04$19.68$19.0017.1%5.7%17.5%19.1%18.8%4.8%0.8%342.3K-4.8M-36.1K0.2863.34N/AN/A40118,6599,632
2014-12-05$20.15$19.0018.1%5.7%17.3%24.5%22.9%4.3%2.0%369.4K-7.3M-35.5K0.8863.19N/AN/A6235478,7689,644
2014-12-08$19.84$19.0017.5%5.9%18.4%21.4%24.6%4.9%1.6%386.4K-5.7M-35.7K0.7863.26N/AN/A7115588,8719,649
2014-12-09$19.62$19.0021.0%5.9%19.1%41.0%23.8%3.1%1.1%345.9K-4.4M-36.0K0.9767.82N/AN/A6336138,9699,667
2014-12-10$18.78$19.0021.8%6.5%25.1%45.6%25.4%1.3%0.3%86.9K217.2K-36.1K0.6269.55N/AN/A7674798,9979,674
2014-12-11$18.77$19.0023.2%6.7%24.7%53.5%26.0%4.9%0.2%86.4K521.0K-35.7K0.9789.53N/AN/A5705528,9409,700
2014-12-12$18.17$19.0026.2%7.3%27.1%70.7%28.4%3.2%-1.4%-58.6K3.5M-34.1K0.9377.63N/AN/A5745358,9479,730
2014-12-15$18.08$19.0026.5%7.7%26.5%72.4%28.4%4.3%0.2%-86.2K4.3M-31.8K0.7275.24N/AN/A7915728,9699,731
2014-12-16$18.17$19.0029.4%7.7%26.5%88.9%29.3%6.7%-3.5%-33.2K3.3M-33.6K0.9478.50N/AN/A6015659,1709,852
2014-12-17$18.59$19.0024.4%7.1%28.0%60.6%29.4%4.7%0.0%22.3K2.0M-32.5K1.0096.35N/AN/A5645639,1819,787
2014-12-18$18.96$19.0023.0%7.0%29.0%52.3%27.8%7.4%1.1%80.2K51.7K-33.2K0.8686.49N/AN/A5905109,1679,762
2014-12-19$19.18$19.0023.2%7.0%29.1%53.8%22.1%7.0%1.4%144.3K-1.7M-32.5K0.6394.69N/AN/A43279,1009,772
2014-12-22$19.00$0.0021.6%6.9%29.3%44.8%24.0%2.4%2.9%146.9K-1.6M-31.0K0.7297.88N/AN/A4903527,3928,573
2014-12-23$19.28$19.0021.7%6.7%29.6%45.1%20.5%6.6%2.1%205.1K-2.8M-30.0K0.8567.11N/AN/A7656517,4008,579
2014-12-24$19.29$20.0021.1%6.6%29.0%41.9%20.9%5.3%2.1%247.1K-3.2M-30.5K0.9664.11N/AN/A7647367,6858,884
2014-12-26$19.33$20.0021.8%6.7%28.9%45.6%20.4%6.0%1.5%236.5K-2.8M-29.8K1.7465.67N/AN/A7641,3337,7419,000
2014-12-29$19.31$20.0021.8%6.6%28.8%45.9%21.3%2.0%1.0%209.9K-2.5M-28.6K1.6160.77N/AN/A6941,1147,7419,444
2014-12-30$19.20$20.0021.5%6.6%28.8%43.9%24.0%1.0%2.0%202.1K-1.8M-29.0K0.9561.73N/AN/A100957,6679,474
2014-12-31$19.09$20.0021.1%6.4%28.8%41.7%22.7%-2.2%1.8%197.5K-1.2M-28.6K10.8037.98N/AN/A5547,7479,539