MFC Options History — May 2015

In May 2015, MFC traded between $18.20 and $19.20. ATM implied volatility averaged 19.3%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.1% (HV 20d: 14.2%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2015-05-28: Highest Volume — 20,614 contracts
  • 2015-05-05: Largest IV spike — 35.3% change
  • 2015-05-01: Highest IV Rank — 57.7%
  • 2015-05-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.74$18.20$19.20$18.20$18.36
Max Pain$17.70$17.00$19.00$18.00$18.00
ATM IV19.3%16.4%25.3%25.3%19.9%
Expected Move5.4%4.8%7.2%7.2%5.7%
HV 20d14.2%12.5%16.0%14.2%15.4%
HV 60d18.3%16.9%19.3%19.2%17.6%
IV Rank27.9%13.4%57.7%57.7%30.8%
IV Percentile40.1%16.7%86.5%86.5%45.2%
Term Structure0.6%-5.4%3.0%-5.4%2.4%
VWIV20.3%18.4%28.0%28.0%19.6%
Skew 25d4.0%1.2%7.3%5.0%1.2%
Skew 10d11.6%-1.1%20.4%11.3%1.3%
Call IV 25d17.8%14.3%26.6%26.6%18.1%
Put IV 25d21.8%18.8%31.6%31.6%19.3%
Bid-Ask Spread %36.6518.9382.4238.4746.65
Gamma HHI0.280.230.510.250.51
Net GEX94.9K-55.8K653.4K21.5K653.4K
Net DEX-2.1M-12.7M505.2K-31.9K-12.7M
Net VEX-22.3K-69.8K-17.2K-21.7K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.002.782.670.28
Total Volume2,437.24020,6141,3196,029
Total OI10,782.858,62622,62810,19922,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$18.20$18.0025.3%7.2%14.2%57.7%28.0%5.0%-5.4%21.5K-31.9K-21.7K2.6738.47N/AN/A3599604,9235,276
2015-05-04$18.51$17.0016.4%5.4%15.0%13.4%21.0%7.0%0.6%66.1K-881.4K-22.7K2.0782.42N/AN/A1743604,9375,548
2015-05-05$18.66$17.0022.2%5.8%15.0%42.4%21.9%7.3%0.0%33.0K-1.0M-23.3K1.8536.73N/AN/A5841,0825,0375,892
2015-05-06$18.67$17.0023.8%5.5%14.0%50.3%20.7%3.8%1.2%63.7K-1.6M-21.9K2.1834.87N/AN/A5231,1425,1915,788
2015-05-07$18.85$17.0019.3%5.4%14.2%28.0%19.4%1.3%1.0%48.8K-2.4M-21.2K2.7859.99N/AN/A4531,2605,2595,909
2015-05-08$19.04$17.0017.8%5.1%14.4%20.1%20.5%2.5%2.3%161.7K-3.6M-19.5K0.6428.69N/AN/A128825,2245,554
2015-05-11$19.05$17.0020.0%5.3%14.4%31.2%19.3%2.9%1.5%159.5K-3.5M-20.5K0.1425.88N/AN/A230335,2135,581
2015-05-12$19.20$17.0019.7%5.5%14.4%29.8%19.5%5.1%0.8%175.5K-3.8M-18.7K2.5838.97N/AN/A4931,2745,1465,609
2015-05-13$19.15$17.0018.6%5.3%12.5%24.4%19.2%1.3%1.3%164.6K-3.5M-19.8K2.5531.12N/AN/A4941,2605,0585,614
2015-05-14$19.08$17.0017.8%5.1%12.6%20.2%19.1%1.5%2.4%186.1K-3.5M-18.0K2.6428.55N/AN/A4741,2525,0435,607
2015-05-15$18.91$17.0017.2%4.9%12.9%17.5%19.2%2.5%3.0%75.3K-2.3M-18.6K2.3025.10N/AN/A5461,2585,0535,699
2015-05-18$18.72$18.0018.5%5.3%13.6%23.7%20.3%5.6%-0.3%41.2K-507.4K-17.8K1.2736.64N/AN/A40513,5675,059
2015-05-19$18.89$18.0018.6%5.3%13.4%24.2%0.0%5.0%-0.3%46.4K-544.6K-17.9K0.0053.63N/AN/A4003,5425,087
2015-05-20$18.80$18.0018.1%5.2%13.6%22.0%19.9%5.1%-0.4%43.4K-874.6K-17.8K1.3334.04N/AN/A6498663,7415,087
2015-05-21$18.92$18.0017.5%5.0%12.9%18.9%18.4%5.2%0.3%60.4K-937.3K-18.7K1.2227.36N/AN/A6057383,9185,245
2015-05-22$18.63$19.0016.7%4.8%14.1%14.8%19.0%6.4%0.6%-392-142.3K-18.2K0.9118.93N/AN/A5725233,9725,442
2015-05-26$18.25$19.0020.5%5.9%15.8%33.7%19.5%1.2%-0.8%-50.2K314.2K-17.2K1.4321.59N/AN/A7691,0973,9735,511
2015-05-27$18.35$19.0019.6%5.6%15.8%29.2%20.2%5.3%0.7%-55.8K505.2K-20.6K1.7229.31N/AN/A6351,0954,3785,861
2015-05-28$18.51$19.0018.7%5.3%16.0%24.7%21.8%4.5%0.7%3.7K-203.9K-22.2K0.0634.07N/AN/A19,5221,0924,6215,864
2015-05-29$18.36$18.0019.9%5.7%15.4%30.8%19.6%1.2%2.4%653.4K-12.7M-69.8K0.2846.65N/AN/A4,7071,32216,7325,896