MFC Options History — March 2015

In March 2015, MFC traded between $16.66 and $17.58. ATM implied volatility averaged 22.6%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.7% (HV 20d: 21.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 8.08.

Notable Days

  • 2015-03-06: Highest Volume — 1,833 contracts
  • 2015-03-25: Largest IV spike — 13.0% change
  • 2015-03-09: Highest IV Rank — 51.0%
  • 2015-03-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.12$16.66$17.58$17.45$17.00
Max Pain$17.41$15.00$20.00$20.00$18.00
ATM IV22.6%20.0%23.9%22.3%20.5%
Expected Move6.5%5.7%6.8%6.4%5.9%
HV 20d21.9%20.3%25.0%24.4%21.6%
HV 60d25.4%24.3%27.3%27.3%25.2%
IV Rank44.5%31.4%51.0%43.1%33.9%
IV Percentile70.5%51.6%81.0%71.8%52.0%
Term Structure1.0%-0.6%2.7%2.3%2.7%
VWIV22.2%20.0%25.6%23.1%23.4%
Skew 25d4.2%-1.2%8.4%1.8%8.4%
Skew 10d8.5%-2.8%17.1%2.7%12.9%
Call IV 25d21.2%18.3%23.3%21.2%18.3%
Put IV 25d25.4%21.3%28.1%23.0%26.7%
Bid-Ask Spread %34.1220.4045.7528.0242.98
Gamma HHI0.250.170.460.210.42
Net GEX-59.1K-143.4K64.0K-93.1K-131.0K
Net DEX3.5M902.3K5.0M3.3M2.8M
Net VEX-21.8K-23.3K-20.8K-23.0K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.080.00137.252.960.80
Total Volume709.45561,8331,5281,416
Total OI10,018.1367,63511,15310,3039,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$17.45$20.0022.3%6.4%24.4%43.1%23.1%1.8%2.3%-93.1K3.3M-23.0K2.9628.02N/AN/A3861,1424,6115,692
2015-03-03$17.17$20.0022.3%6.4%25.0%42.7%23.4%-0.6%0.1%-80.1K3.6M-23.3K2.9420.40N/AN/A4181,2284,7035,682
2015-03-04$17.22$20.0023.8%6.8%20.3%50.5%22.8%-1.2%-0.6%-82.4K4.0M-22.9K3.0320.93N/AN/A4031,2214,7175,840
2015-03-05$17.04$15.0023.5%6.4%20.7%49.0%25.6%3.1%1.4%-79.5K4.3M-21.6K2.9438.27N/AN/A4151,2214,6985,837
2015-03-06$17.24$15.0023.0%6.6%20.8%46.6%21.5%3.9%0.5%-82.5K3.8M-22.8K2.5840.05N/AN/A5121,3214,7185,837
2015-03-09$17.12$17.0023.9%6.7%20.8%51.0%23.7%2.9%0.4%-61.2K4.0M-22.3K0.4733.63N/AN/A34164,8235,874
2015-03-10$16.78$17.0023.5%6.5%21.6%48.7%21.1%5.7%0.9%-68.6K4.8M-21.1K2.4641.25N/AN/A611504,8185,880
2015-03-11$16.66$17.0023.2%6.6%21.4%47.4%0.0%4.9%0.5%-82.0K5.0M-21.2K0.0031.45N/AN/A074,8745,998
2015-03-12$17.02$17.0022.9%6.5%22.9%45.6%0.0%3.5%0.4%-61.9K4.5M-21.6K0.7332.63N/AN/A103754,8746,005
2015-03-13$16.80$17.0023.0%6.6%22.8%46.2%0.0%4.8%0.5%-57.7K5.0M-21.4K0.0034.83N/AN/A604,9306,017
2015-03-16$17.10$17.0022.8%6.5%23.0%45.5%0.0%4.0%0.4%-26.9K4.3M-21.2K0.2334.89N/AN/A120284,9276,017
2015-03-17$17.08$17.0023.3%6.7%20.6%47.7%0.0%4.0%-0.4%16.8K4.4M-21.1K0.8329.02N/AN/A655,0246,009
2015-03-18$17.22$17.0022.6%6.5%20.9%44.4%22.6%3.1%0.8%21.0K4.0M-21.3K0.4637.74N/AN/A100465,0306,006
2015-03-19$16.95$17.0022.9%6.6%21.5%45.6%21.5%4.1%0.7%64.0K4.3M-21.2K1.7635.90N/AN/A17305,1306,023
2015-03-20$17.42$17.0021.9%6.3%23.9%41.2%20.0%6.6%1.5%-43.1K3.3M-21.2K0.7132.23N/AN/A4102925,1375,939
2015-03-23$17.48$17.0022.1%6.3%22.1%41.6%21.7%2.0%2.7%-31.8K969.1K-21.4K0.5840.29N/AN/A2161253,5534,082
2015-03-24$17.58$17.0020.0%5.7%20.6%31.4%0.0%4.0%2.6%-19.2K902.3K-21.9K2.5338.77N/AN/A30763,7674,145
2015-03-25$17.35$17.0022.6%6.5%20.9%44.4%21.0%8.3%0.9%-31.2K1.3M-22.3K137.2545.75N/AN/A45493,7964,217
2015-03-26$17.19$18.0023.3%6.7%21.0%48.0%20.3%4.9%0.5%-93.1K2.1M-22.2K1.8230.56N/AN/A5581,0173,7964,735
2015-03-27$16.84$18.0022.8%6.5%22.1%45.6%22.6%6.5%0.5%-143.4K3.0M-20.8K3.6532.49N/AN/A1053833,7924,909
2015-03-30$16.91$18.0021.5%6.2%22.2%38.8%20.8%7.4%1.7%-132.5K2.8M-22.2K0.8628.50N/AN/A7306263,8944,980
2015-03-31$17.00$18.0020.5%5.9%21.6%33.9%23.4%8.4%2.7%-131.0K2.8M-21.9K0.8042.98N/AN/A7876293,9845,079