MFC Options History — August 2015

In August 2015, MFC traded between $15.13 and $17.94. ATM implied volatility averaged 26.4%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.0% (HV 20d: 22.4%). Max pain ranged from $18.00 to $24.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2015-08-13: Highest Volume — 2,424 contracts
  • 2015-08-24: Largest IV spike — 30.9% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.81$15.13$17.94$17.64$16.27
Max Pain$18.81$18.00$24.00$24.00$18.00
ATM IV26.4%18.7%38.7%27.2%31.6%
Expected Move7.6%5.4%11.1%7.8%9.1%
HV 20d22.4%16.7%31.5%19.1%31.5%
HV 60d20.1%18.0%23.8%18.1%23.6%
IV Rank56.7%23.2%100.0%66.8%71.2%
IV Percentile73.2%26.6%100.0%89.7%96.8%
Term Structure-1.6%-6.6%1.7%-6.6%-2.1%
VWIV25.7%20.5%35.5%25.8%29.8%
Skew 25d5.4%2.1%10.5%3.8%10.5%
Skew 10d10.6%0.7%32.6%10.4%32.6%
Call IV 25d24.8%14.4%40.0%23.4%29.5%
Put IV 25d30.2%23.7%43.6%27.3%40.0%
Bid-Ask Spread %83.6528.4798.0888.6443.04
Gamma HHI0.390.230.590.490.24
Net GEX200.4K-57.3K532.5K369.0K-31.4K
Net DEX3.7M45.0K7.3M1.3M5.4M
Net VEX-29.5K-38.0K-19.9K-35.7K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.003.550.120.95
Total Volume1,605.2861192,4241191,349
Total OI16,874.1916,23917,56916,23916,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$17.64$24.0027.2%7.8%19.1%66.8%0.0%3.8%-6.6%369.0K1.3M-35.7K0.1288.64N/AN/A106139,6836,556
2015-08-04$17.64$24.0024.4%7.0%19.0%52.0%25.8%5.5%-3.5%392.6K662.7K-36.9K3.2588.59N/AN/A4651,5119,6936,562
2015-08-05$17.64$23.0023.7%6.8%18.0%48.6%24.7%5.5%-1.7%366.3K658.0K-38.0K2.7187.08N/AN/A5221,4149,7986,564
2015-08-06$17.80$18.0022.1%5.9%18.3%40.3%20.9%3.4%1.3%423.7K269.8K-37.9K3.3987.25N/AN/A4031,3679,9686,617
2015-08-07$17.53$18.0018.7%5.9%16.7%23.2%23.0%3.3%-0.3%373.8K1.5M-34.6K3.2598.08N/AN/A3591,1669,9206,621
2015-08-10$17.94$18.0018.9%5.4%18.7%23.9%21.3%9.4%1.7%532.5K45.0K-36.7K3.5595.53N/AN/A3141,1159,9666,841
2015-08-11$17.67$18.0024.3%6.3%19.3%51.7%21.7%6.3%-1.0%390.3K1.6M-34.3K0.0090.16N/AN/A1,02719,9666,826
2015-08-12$17.51$18.0021.8%6.3%19.5%38.9%20.7%3.6%1.2%352.8K2.0M-35.5K0.8389.93N/AN/A1,3191,09310,1686,807
2015-08-13$17.19$18.0022.2%6.4%20.2%40.8%23.2%2.7%0.0%262.1K3.3M-31.8K0.8492.48N/AN/A1,3161,10810,1616,818
2015-08-14$17.21$18.0022.7%6.5%20.3%43.5%20.5%5.9%-0.7%311.9K3.1M-32.4K1.0089.95N/AN/A1,1191,12410,1596,832
2015-08-17$17.05$18.0022.9%6.6%20.4%44.8%21.9%3.6%-1.0%239.8K3.8M-29.6K1.0896.55N/AN/A1,0611,14110,1676,792
2015-08-18$16.93$18.0021.5%6.2%20.3%37.2%20.9%3.5%-0.0%198.9K4.5M-29.2K1.1089.09N/AN/A1,0331,14010,2647,128
2015-08-19$16.67$18.0021.8%6.3%20.5%39.1%23.2%2.1%0.0%123.2K5.5M-27.2K0.9192.98N/AN/A16214710,1877,114
2015-08-20$16.34$18.0025.4%7.3%20.2%57.3%24.5%4.5%-1.0%38.1K6.7M-24.3K3.0687.16N/AN/A4061,24210,2307,202
2015-08-21$15.56$18.0029.4%8.4%25.9%78.1%32.4%7.5%-2.0%-23.4K7.3M-22.2K1.8390.97N/AN/A6701,22710,2707,299
2015-08-24$15.14$18.0038.5%11.0%26.7%100.0%35.5%3.6%-1.5%-22.5K6.1M-20.5K1.0396.45N/AN/A74476810,1986,337
2015-08-25$15.13$18.0038.7%11.1%25.3%100.0%30.4%6.8%-2.5%-26.3K6.0M-20.3K1.3062.57N/AN/A65485210,4316,336
2015-08-26$15.73$18.0032.2%9.2%28.7%73.5%35.4%5.4%-3.8%-57.3K6.5M-19.9K1.3382.04N/AN/A65386910,4416,541
2015-08-27$16.20$18.0033.7%9.7%31.3%79.8%30.0%5.6%-6.0%17.8K5.0M-25.6K1.1479.60N/AN/A64172810,4736,484
2015-08-28$16.24$18.0033.6%9.6%31.4%79.2%29.2%10.0%-4.5%-23.2K5.5M-22.8K1.1228.47N/AN/A64172110,4696,496
2015-08-31$16.27$18.0031.6%9.1%31.5%71.2%29.8%10.5%-2.1%-31.4K5.4M-23.4K0.9543.04N/AN/A69265710,4696,504