MFC Options History — June 2015

In June 2015, MFC traded between $18.29 and $19.53. ATM implied volatility averaged 19.2%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.9% (HV 20d: 17.3%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-06-09: Highest Volume — 9,979 contracts
  • 2015-06-29: Largest IV spike — 18.2% change
  • 2015-06-01: Highest IV Rank — 37.2%
  • 2015-06-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.12$18.29$19.53$18.29$18.61
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV19.2%17.8%21.2%21.2%19.3%
Expected Move5.5%5.1%6.1%6.1%5.5%
HV 20d17.3%14.9%20.4%15.5%19.9%
HV 60d16.5%14.9%17.8%17.5%16.7%
IV Rank27.4%20.5%37.2%37.2%27.8%
IV Percentile36.8%22.6%53.6%53.6%37.3%
Term Structure1.1%-1.0%3.2%0.3%2.0%
VWIV19.6%17.7%21.3%20.6%21.3%
Skew 25d3.9%-0.9%9.3%1.3%4.3%
Skew 10d7.6%-8.0%15.4%0.9%3.7%
Call IV 25d17.6%15.1%23.7%18.6%17.9%
Put IV 25d21.5%16.8%25.8%19.8%22.2%
Bid-Ask Spread %40.7719.1296.8327.0021.04
Gamma HHI0.410.300.600.580.41
Net GEX651.1K393.6K1.0M826.8K411.5K
Net DEX-13.7M-22.3M-5.3M-15.8M-5.3M
Net VEX-57.9K-88.1K-43.6K-81.5K-46.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.083.530.732.02
Total Volume2,545.0457879,9794,3031,645
Total OI20,658.18213,82628,76526,07515,195

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$18.29$18.0021.2%6.1%15.5%37.2%20.6%1.3%0.3%826.8K-15.8M-81.5K0.7327.00N/AN/A2,4911,81220,0646,011
2015-06-02$18.53$18.0019.1%5.5%15.0%27.0%19.5%2.0%-0.3%935.9K-18.8M-88.1K0.1531.37N/AN/A68710021,4226,708
2015-06-03$18.91$18.0018.6%5.3%16.4%24.6%19.4%9.3%0.6%1.0M-22.2M-87.4K0.8833.38N/AN/A1,6201,42021,9626,803
2015-06-04$18.83$18.0018.8%5.6%16.5%25.5%19.0%4.9%2.3%1.0M-21.0M-87.3K1.0924.74N/AN/A1,2321,34521,3967,109
2015-06-05$19.05$18.0018.4%5.5%16.6%23.5%19.0%6.1%1.6%1.0M-22.3M-83.7K0.7026.16N/AN/A1,12278421,0237,110
2015-06-08$18.88$18.0018.7%5.6%16.6%25.0%19.5%3.7%2.4%1.0M-20.5M-80.7K0.8125.83N/AN/A82867320,6957,120
2015-06-09$19.13$18.0019.2%5.2%17.3%27.2%18.2%3.8%1.9%1.0M-22.2M-78.0K0.0841.62N/AN/A9,25172820,5037,121
2015-06-10$19.53$18.0019.3%5.5%18.6%27.7%20.6%5.7%-0.6%734.3K-16.6M-54.2K0.1656.95N/AN/A7,3761,15414,2847,094
2015-06-11$19.38$18.0019.7%5.7%18.8%30.0%19.9%4.5%0.4%616.2K-11.9M-44.6K0.7335.79N/AN/A1,28893812,0376,946
2015-06-12$19.18$18.0018.8%5.4%19.1%25.2%19.7%1.9%0.6%598.6K-10.6M-47.6K1.5944.48N/AN/A8031,27412,1887,158
2015-06-15$19.19$18.0020.2%5.8%18.8%32.6%21.3%4.2%-0.2%592.8K-10.5M-47.0K1.3448.26N/AN/A8861,18812,1717,276
2015-06-16$19.27$18.0019.1%5.5%18.4%26.6%20.8%3.7%1.2%541.4K-11.0M-47.0K1.4029.08N/AN/A7211,00912,3337,300
2015-06-17$19.38$18.0020.5%5.9%18.3%33.7%21.3%5.6%-1.0%534.5K-11.8M-45.3K1.4157.45N/AN/A65391812,3387,250
2015-06-18$19.44$18.0020.2%5.8%18.1%32.1%18.6%2.2%-0.3%519.5K-12.4M-44.3K1.2658.69N/AN/A71690212,3647,237
2015-06-19$19.31$18.0018.5%5.3%18.3%23.8%20.0%5.6%1.0%414.4K-12.0M-43.6K1.5841.30N/AN/A6901,09012,3547,215
2015-06-22$19.37$18.0018.3%5.2%17.2%22.7%17.8%4.8%3.2%410.7K-10.0M-44.2K3.1796.83N/AN/A3971,2579,5954,231
2015-06-23$19.48$18.0018.5%5.3%15.0%24.0%18.1%4.6%1.8%403.4K-10.1M-44.7K3.5289.83N/AN/A4011,4139,8104,639
2015-06-24$19.36$18.0019.0%5.4%15.4%26.4%19.4%4.8%2.2%393.6K-9.6M-45.2K2.1340.70N/AN/A4599799,8204,760
2015-06-25$19.44$18.0018.3%5.2%15.2%22.9%18.0%4.2%2.0%414.7K-10.1M-43.7K3.5319.67N/AN/A2338229,8314,764
2015-06-26$19.37$18.0017.8%5.1%14.9%20.5%17.7%-0.1%2.5%408.8K-9.6M-44.5K3.3919.12N/AN/A2568699,8044,781
2015-06-29$18.67$18.0021.1%6.0%20.4%36.7%21.1%-0.9%0.8%426.3K-6.6M-45.4K2.2527.68N/AN/A4801,0819,8124,846
2015-06-30$18.61$18.0019.3%5.5%19.9%27.8%21.3%4.3%2.0%411.5K-5.3M-46.1K2.0221.04N/AN/A5441,1019,8635,332