MFC Options History — July 2015

In July 2015, MFC traded between $17.12 and $18.72. ATM implied volatility averaged 24.1%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.8% (HV 20d: 19.3%). Max pain ranged from $18.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2015-07-30: Highest Volume — 2,088 contracts
  • 2015-07-14: Largest IV drop — 26.8% change
  • 2015-07-13: Highest IV Rank — 99.9%
  • 2015-07-28: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.99$17.12$18.72$18.72$17.72
Max Pain$23.45$18.00$24.00$18.00$24.00
ATM IV24.1%19.1%33.7%19.4%25.3%
Expected Move6.6%5.5%7.7%5.6%7.2%
HV 20d19.3%16.7%20.4%18.6%19.9%
HV 60d17.4%16.5%18.3%16.7%18.2%
IV Rank51.0%27.0%99.9%28.6%56.7%
IV Percentile69.7%33.7%99.6%38.5%83.7%
Term Structure-1.5%-6.0%3.2%1.4%-5.6%
VWIV22.8%18.7%25.7%19.1%25.2%
Skew 25d4.4%-0.3%9.8%5.0%5.1%
Skew 10d10.3%0.7%45.2%6.8%10.5%
Call IV 25d21.0%17.4%27.0%17.4%20.5%
Put IV 25d25.4%21.6%29.0%22.4%25.7%
Bid-Ask Spread %81.0417.45103.9339.7395.25
Gamma HHI0.460.390.540.390.48
Net GEX367.8K253.8K438.3K423.0K382.8K
Net DEX-1.5M-5.9M2.4M-5.9M68.1K
Net VEX-41.0K-46.1K-33.7K-46.1K-38.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.744.172.184.17
Total Volume1,358.7738672,0881,6431,878
Total OI15,662.45514,89316,21515,29716,215

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$18.72$18.0019.4%5.6%18.6%28.6%19.1%5.0%1.4%423.0K-5.9M-46.1K2.1839.73N/AN/A5171,1269,9405,357
2015-07-02$18.57$18.0019.1%5.5%18.8%27.0%18.7%3.7%3.2%438.3K-4.6M-45.8K3.0017.45N/AN/A3269779,9975,470
2015-07-06$18.24$24.0023.4%6.7%19.1%48.2%22.5%3.5%-1.9%413.4K-3.2M-44.1K2.4132.99N/AN/A4119909,9655,471
2015-07-07$18.11$24.0021.5%6.7%19.0%39.0%23.9%5.5%-1.3%380.4K-2.1M-44.3K1.9367.38N/AN/A6211,1969,9485,653
2015-07-08$17.79$24.0025.6%7.0%18.9%58.3%24.1%2.4%-2.2%305.3K-598.9K-43.3K2.4059.00N/AN/A4941,1859,9415,886
2015-07-09$17.81$24.0029.9%6.8%16.7%80.7%22.8%4.3%-1.6%329.6K-926.8K-42.9K2.0267.82N/AN/A38277310,0155,896
2015-07-10$18.24$24.0031.1%7.0%19.5%86.7%24.8%6.0%-2.1%370.2K-2.3M-43.9K1.7587.81N/AN/A3786639,9506,032
2015-07-13$18.36$24.0033.7%6.6%19.6%99.9%23.2%6.4%-2.4%379.2K-2.9M-43.3K2.9077.04N/AN/A2336759,9896,037
2015-07-14$18.27$24.0024.7%6.3%19.6%53.6%22.0%5.3%-1.3%385.1K-2.8M-42.6K3.3386.35N/AN/A21571610,0316,057
2015-07-15$18.22$24.0021.8%6.3%19.4%39.0%21.1%3.7%-0.9%390.1K-2.3M-42.4K3.5192.67N/AN/A19568410,0366,052
2015-07-16$18.30$24.0020.9%6.0%19.3%34.1%19.9%3.5%-0.6%357.4K-3.2M-42.4K2.6498.69N/AN/A26570010,0766,077
2015-07-17$18.25$24.0020.2%5.8%19.2%30.6%20.3%2.8%1.1%361.3K-2.8M-41.4K3.0196.20N/AN/A21665110,1136,090
2015-07-20$18.13$24.0023.0%6.6%19.2%44.9%21.1%3.9%-2.9%381.5K-2.3M-40.7K1.3894.23N/AN/A4806619,1595,734
2015-07-21$18.16$24.0021.9%6.3%19.2%39.2%21.5%3.5%-1.6%395.9K-1.9M-40.9K1.6992.65N/AN/A4758019,2835,788
2015-07-22$17.94$24.0022.1%6.3%19.1%40.2%22.3%1.5%-1.1%372.9K-984.1K-40.3K2.40101.32N/AN/A3348029,2885,877
2015-07-23$17.54$24.0021.9%6.3%20.2%39.7%23.9%1.8%-0.8%346.5K765.9K-37.3K1.1097.86N/AN/A6837509,3035,917
2015-07-24$17.43$24.0026.8%7.7%19.9%64.5%23.9%7.4%-6.0%309.7K961.3K-37.4K0.74103.93N/AN/A1,0057459,5075,920
2015-07-27$17.12$24.0025.5%7.3%20.4%57.9%25.7%-0.3%-1.4%253.8K2.4M-33.7K1.2991.70N/AN/A6618529,5935,920
2015-07-28$17.42$24.0026.9%7.7%18.6%65.2%25.5%6.3%-3.7%309.9K1.4M-35.9K1.2694.34N/AN/A6818569,6666,002
2015-07-29$17.76$24.0022.8%6.5%20.3%44.1%25.0%9.8%-0.2%405.5K214.5K-37.6K1.43103.30N/AN/A6409129,6715,994
2015-07-30$17.75$24.0022.6%6.5%20.0%43.2%24.1%6.2%-0.4%399.9K312.3K-36.3K2.6085.13N/AN/A5801,5089,6755,983
2015-07-31$17.72$24.0025.3%7.2%19.9%56.7%25.2%5.1%-5.6%382.8K68.1K-38.9K4.1795.25N/AN/A3631,5159,6656,550