MFC Options History — January 2015

In January 2015, MFC traded between $16.08 and $18.89. ATM implied volatility averaged 27.7%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.6% (HV 20d: 26.1%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-01-29: Highest Volume — 2,363 contracts
  • 2015-01-20: Largest IV spike — 25.3% change
  • 2015-01-20: Highest IV Rank — 100.0%
  • 2015-01-20: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.19$16.08$18.89$18.89$16.08
Max Pain$18.45$16.00$20.00$20.00$19.00
ATM IV27.7%22.7%33.0%22.7%30.0%
Expected Move7.9%6.7%9.5%6.7%8.6%
HV 20d26.1%22.9%28.7%28.0%26.1%
HV 60d24.9%24.1%26.1%25.1%24.6%
IV Rank76.0%50.6%100.0%50.6%84.2%
IV Percentile92.8%80.6%100.0%80.6%96.0%
Term Structure-1.7%-4.5%0.5%0.4%-2.6%
VWIV26.9%22.0%30.8%22.8%26.6%
Skew 25d6.0%-0.7%11.1%-0.7%7.0%
Skew 10d11.0%-2.8%31.3%-1.5%8.2%
Call IV 25d25.4%22.6%29.9%26.0%27.1%
Put IV 25d31.4%25.3%36.1%25.3%34.1%
Bid-Ask Spread %56.0023.4986.3857.6286.38
Gamma HHI0.350.230.700.270.28
Net GEX-141.6K-381.6K130.3K130.3K-56.0K
Net DEX5.2M89.5K10.1M89.5K4.5M
Net VEX-18.9K-27.7K-14.4K-27.7K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.122.500.951.05
Total Volume1,138.2492,3631,5591,772
Total OI13,682.357,06318,51317,4149,112

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$18.89$20.0022.7%6.7%28.0%50.6%22.8%-0.7%0.4%130.3K89.5K-27.7K0.9557.62N/AN/A8017587,8369,578
2015-01-05$18.41$20.0026.9%7.3%28.0%74.8%24.5%4.1%-0.6%-67.6K4.2M-24.4K0.1261.63N/AN/A246297,7969,645
2015-01-06$17.88$19.0026.9%7.5%27.5%74.5%26.6%5.7%-1.5%-225.7K6.1M-22.3K2.5063.17N/AN/A601507,9349,658
2015-01-07$18.01$19.0026.2%7.5%27.7%70.6%26.0%7.2%-1.3%-257.1K6.3M-21.8K0.9061.84N/AN/A2121917,9739,784
2015-01-08$18.33$19.0025.5%7.4%28.7%66.8%25.5%3.7%-1.1%-110.6K4.7M-23.1K0.6268.37N/AN/A8565288,2319,965
2015-01-09$17.97$19.0024.6%7.3%25.3%61.9%26.8%5.0%-0.4%-317.8K6.4M-21.5K0.6069.86N/AN/A7984798,27110,037
2015-01-12$17.80$19.0027.2%7.3%25.4%76.6%22.0%5.9%0.5%-359.3K7.4M-19.5K0.6159.87N/AN/A8455198,27510,043
2015-01-13$17.70$19.0028.9%7.3%22.9%86.2%23.0%6.5%-1.0%-381.6K7.8M-18.9K0.7163.39N/AN/A7375268,35610,101
2015-01-14$17.09$19.0028.2%8.1%25.8%81.8%26.8%6.3%-1.1%-279.6K9.5M-16.7K0.7455.40N/AN/A7975918,40010,111
2015-01-15$16.62$19.0028.7%8.2%27.1%85.1%26.9%5.9%-2.9%-221.4K9.5M-16.1K0.5852.92N/AN/A1,0406008,3849,976
2015-01-16$16.89$18.0026.4%7.6%26.3%71.6%27.1%8.9%0.3%-327.9K10.1M-15.2K0.9255.07N/AN/A2522338,5539,960
2015-01-20$16.47$18.0033.0%9.5%25.6%100.0%30.8%6.2%-4.5%-61.5K3.7M-14.4K0.8457.82N/AN/A3422863,2953,768
2015-01-21$16.43$18.0030.4%8.7%24.7%86.5%29.9%10.1%-1.9%-72.2K4.0M-14.7K0.2485.86N/AN/A109263,4894,048
2015-01-22$16.57$18.0027.3%7.8%25.3%70.1%29.8%10.9%-2.4%-61.1K3.5M-16.5K0.2052.38N/AN/A1,8223563,6434,052
2015-01-23$16.85$18.0025.8%7.4%25.6%62.4%29.3%2.5%-1.5%-59.8K3.4M-17.3K0.2235.75N/AN/A1,7963894,0784,124
2015-01-26$16.81$18.0026.4%7.6%25.5%65.6%26.7%-0.5%-2.0%-57.2K3.4M-17.7K0.6423.49N/AN/A107694,1624,201
2015-01-27$16.48$18.0029.8%8.5%25.6%83.1%28.8%7.9%-3.1%-47.4K3.7M-16.9K1.1331.64N/AN/A23264,2594,178
2015-01-28$16.22$16.0029.6%8.5%25.7%82.1%28.5%7.2%-3.7%4.2K3.1M-17.3K0.3137.64N/AN/A1,5494814,9154,204
2015-01-29$16.29$16.0030.0%8.6%26.1%84.5%30.0%11.1%-2.9%-1.9K3.5M-17.5K0.6339.91N/AN/A1,4549094,9204,332
2015-01-30$16.08$19.0030.0%8.6%26.1%84.2%26.6%7.0%-2.6%-56.0K4.5M-18.2K1.0586.38N/AN/A8649084,2684,844