MFC Options History — April 2015

In April 2015, MFC traded between $16.88 and $18.49. ATM implied volatility averaged 22.5%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.3% (HV 20d: 18.3%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-04-10: Highest Volume — 1,600 contracts
  • 2015-04-06: Largest IV spike — 16.3% change
  • 2015-04-29: Highest IV Rank — 62.9%
  • 2015-04-29: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.87$16.88$18.49$16.88$18.22
Max Pain$18.19$18.00$19.00$18.00$18.00
ATM IV22.5%20.4%26.3%20.9%24.5%
Expected Move6.6%6.0%7.5%6.0%7.0%
HV 20d18.3%13.8%22.2%21.7%14.8%
HV 60d22.3%19.1%24.8%24.8%19.1%
IV Rank44.1%33.4%62.9%36.1%53.8%
IV Percentile67.0%51.2%88.9%54.4%84.1%
Term Structure-1.9%-7.7%3.3%3.3%-3.3%
VWIV21.5%18.9%23.8%20.8%22.1%
Skew 25d4.4%-0.7%9.6%6.9%-0.5%
Skew 10d10.3%-0.1%24.2%10.5%-0.1%
Call IV 25d20.9%16.5%23.8%19.2%23.8%
Put IV 25d25.3%20.8%28.3%26.1%23.4%
Bid-Ask Spread %41.5317.5278.7643.9343.40
Gamma HHI0.290.220.430.430.23
Net GEX-21.2K-135.6K76.9K-135.6K62.5K
Net DEX379.6K-1.3M3.0M3.0M-905.8K
Net VEX-22.0K-23.3K-21.0K-21.6K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.152.670.912.67
Total Volume1,240.0484801,6001,3951,273
Total OI9,588.6199,12410,0049,1249,987

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$16.88$18.0020.9%6.0%21.7%36.1%20.8%6.9%3.3%-135.6K3.0M-21.6K0.9143.93N/AN/A7316644,0405,084
2015-04-02$17.15$19.0020.4%7.0%22.2%33.4%22.0%6.3%-1.8%-132.0K2.5M-22.0K0.9148.50N/AN/A7316644,0435,128
2015-04-06$17.25$19.0023.7%7.1%21.9%50.1%23.8%4.2%-3.5%-123.1K2.3M-21.8K1.0055.05N/AN/A6606574,0435,128
2015-04-07$17.22$19.0022.5%6.9%21.8%43.9%21.6%6.5%-1.5%-128.4K2.2M-21.7K1.0751.91N/AN/A6597084,0985,118
2015-04-08$17.54$19.0022.0%6.3%21.3%41.6%21.3%9.6%-0.0%-104.8K1.7M-21.8K0.1524.85N/AN/A419614,1055,168
2015-04-09$17.59$18.0020.9%6.0%21.0%36.1%21.0%5.5%0.8%-73.6K1.1M-23.3K0.9024.49N/AN/A8377554,4105,186
2015-04-10$17.67$18.0021.0%6.0%19.8%36.6%21.0%2.8%-0.7%-70.5K1.1M-22.6K0.9124.37N/AN/A8377634,4155,180
2015-04-13$17.70$18.0022.3%6.4%19.0%42.7%22.6%8.5%-1.6%-68.3K933.2K-22.3K1.1317.52N/AN/A6737634,4155,184
2015-04-14$17.71$18.0022.2%6.4%18.2%42.3%22.2%2.2%-1.1%-47.8K595.6K-22.0K0.7330.25N/AN/A7395394,4215,184
2015-04-15$18.14$18.0022.2%6.4%19.7%42.2%23.0%3.7%-1.8%7.9K-398.1K-21.9K0.7226.34N/AN/A7665504,5035,227
2015-04-16$18.11$18.0022.6%6.5%19.7%44.3%22.3%4.5%-1.9%13.4K-503.7K-22.2K0.7830.90N/AN/A6555134,6565,221
2015-04-17$18.00$18.0021.7%6.2%18.8%39.8%21.0%1.9%-1.8%9.5K-193.9K-22.0K1.7358.78N/AN/A4067044,7225,236
2015-04-20$18.10$18.0022.4%6.4%16.5%43.5%18.9%2.5%-4.4%-4.4K40.8K-21.0K1.3619.92N/AN/A4866624,4844,857
2015-04-21$17.96$18.0022.0%6.3%16.8%41.5%21.8%1.9%-0.9%811-18.1K-22.4K1.3040.74N/AN/A5647324,5674,868
2015-04-22$18.04$18.0022.7%6.5%16.8%44.6%22.6%9.3%-2.2%16.7K-130.7K-22.3K1.7359.30N/AN/A4908494,6874,853
2015-04-23$18.30$18.0022.2%6.4%16.5%42.4%21.9%5.5%-2.1%56.1K-812.8K-22.3K1.6855.56N/AN/A4247114,7234,913
2015-04-24$18.43$18.0022.6%6.5%15.9%44.5%20.7%7.0%-2.5%68.1K-1.2M-22.3K1.2643.58N/AN/A5016334,7734,951
2015-04-27$18.31$18.0023.8%6.8%13.8%50.5%19.7%-0.7%-2.5%64.5K-920.2K-22.0K1.5222.33N/AN/A4426724,8574,992
2015-04-28$18.43$18.0024.4%7.0%13.8%53.7%20.1%1.8%-3.4%67.1K-1.1M-22.1K1.4271.60N/AN/A4596524,8805,050
2015-04-29$18.49$18.0026.3%7.5%13.8%62.9%22.1%4.0%-7.7%76.9K-1.3M-21.8K1.6678.76N/AN/A3906474,9385,066
2015-04-30$18.22$18.0024.5%7.0%14.8%53.8%22.1%-0.5%-3.3%62.5K-905.8K-21.6K2.6743.40N/AN/A3479264,9215,066