MFC Options History — February 2015

In February 2015, MFC traded between $16.33 and $17.79. ATM implied volatility averaged 25.2%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.9% (HV 20d: 27.1%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 3.92.

Notable Days

  • 2015-02-04: Highest Volume — 1,831 contracts
  • 2015-02-09: Largest IV spike — 20.3% change
  • 2015-02-09: Highest IV Rank — 100.0%
  • 2015-02-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.34$16.33$17.79$16.33$17.45
Max Pain$19.05$18.00$20.00$19.00$20.00
ATM IV25.2%20.3%33.7%31.2%23.5%
Expected Move7.0%5.8%9.0%9.0%6.7%
HV 20d27.1%24.1%31.5%27.4%25.1%
HV 60d26.5%24.9%27.4%24.9%27.3%
IV Rank58.3%33.0%100.0%90.8%48.9%
IV Percentile80.6%56.7%100.0%99.2%79.4%
Term Structure-0.7%-3.2%1.0%-3.2%-1.6%
VWIV24.2%19.9%32.4%25.0%22.5%
Skew 25d5.5%2.6%9.7%7.5%3.6%
Skew 10d15.1%3.6%26.6%17.1%3.6%
Call IV 25d22.6%19.1%28.9%26.7%20.1%
Put IV 25d28.1%23.2%34.2%34.2%23.7%
Bid-Ask Spread %38.5621.3589.2589.2528.84
Gamma HHI0.230.180.290.290.22
Net GEX-82.6K-113.6K-54.8K-62.7K-104.3K
Net DEX3.7M2.6M4.8M4.8M3.4M
Net VEX-22.0K-23.8K-16.9K-16.9K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.920.7324.8521.773.81
Total Volume1,424.263721,8316831,429
Total OI10,426.6329,19311,5059,19310,181

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$16.33$19.0031.2%9.0%27.4%90.8%25.0%7.5%-3.2%-62.7K4.8M-16.9K21.7789.25N/AN/A306534,3294,864
2015-02-03$17.02$19.0028.8%8.3%31.5%78.1%32.4%3.5%-3.2%-94.2K4.6M-20.0K1.7083.31N/AN/A6571,1154,3295,384
2015-02-04$17.03$19.0028.9%8.3%30.1%78.7%28.5%4.7%-3.1%-91.2K4.6M-20.0K1.6027.45N/AN/A7031,1284,3975,404
2015-02-05$17.20$19.0028.4%7.2%30.2%76.1%23.5%6.5%-0.7%-90.3K4.2M-21.3K1.1150.46N/AN/A7318124,4705,432
2015-02-06$17.34$19.0028.0%7.3%29.5%74.1%22.8%8.1%-0.9%-91.3K3.9M-21.7K1.2131.56N/AN/A7609234,7505,475
2015-02-09$17.47$19.0033.7%7.4%29.0%100.0%22.8%9.7%-0.7%-85.6K3.7M-22.4K1.1639.46N/AN/A7939204,8445,523
2015-02-10$17.26$19.0029.8%7.6%29.1%80.4%25.8%6.0%-1.0%-57.7K3.9M-22.3K1.0739.54N/AN/A7658214,9975,559
2015-02-11$17.28$19.0024.5%7.0%29.1%53.8%24.8%6.1%0.5%-67.6K4.2M-21.8K1.0435.22N/AN/A7838155,0325,666
2015-02-12$17.03$19.0023.4%6.7%26.8%48.3%24.6%3.8%1.0%-54.8K4.8M-20.5K0.7954.47N/AN/A8356585,0805,730
2015-02-13$17.29$19.0023.3%6.7%25.2%48.0%24.3%4.3%-0.8%-68.8K4.2M-22.3K0.7327.19N/AN/A7975855,1945,967
2015-02-17$17.76$19.0021.8%6.2%26.2%40.2%25.1%3.7%0.8%-83.2K3.0M-22.3K0.7824.41N/AN/A9317275,2465,941
2015-02-18$17.79$19.0022.2%6.4%24.1%42.3%23.5%3.8%-0.1%-67.3K2.8M-23.8K0.7523.31N/AN/A8766575,4246,047
2015-02-19$17.71$18.0021.4%6.1%24.2%38.2%23.0%8.2%0.6%-75.1K3.1M-23.1K1.4026.14N/AN/A30425,4476,014
2015-02-20$17.69$18.0020.5%5.9%24.2%34.1%19.9%6.9%0.1%-74.3K3.5M-22.9K24.8521.35N/AN/A411,0195,4516,054
2015-02-23$17.25$18.0024.6%7.1%25.6%54.6%22.4%2.7%-1.9%-91.4K2.6M-23.3K2.1353.23N/AN/A5151,0974,4325,061
2015-02-24$17.66$20.0020.3%5.8%26.8%33.0%23.6%7.7%0.8%-113.6K3.2M-23.6K1.8924.75N/AN/A5631,0654,4615,621
2015-02-25$17.52$20.0022.0%6.3%25.8%41.3%22.1%2.6%-0.5%-90.4K3.1M-23.6K3.4726.92N/AN/A3091,0734,5015,639
2015-02-26$17.40$20.0022.9%6.6%25.1%46.0%22.7%6.2%0.1%-106.4K3.4M-23.0K3.2825.76N/AN/A3281,0754,5015,659
2015-02-27$17.45$20.0023.5%6.7%25.1%48.9%22.5%3.6%-1.6%-104.3K3.4M-22.6K3.8128.84N/AN/A2971,1324,5225,659