MFC Options History — September 2015

In September 2015, MFC traded between $15.13 and $15.96. ATM implied volatility averaged 31.8%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 3.6% (HV 20d: 35.4%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2015-09-14: Highest Volume — 1,759 contracts
  • 2015-09-22: Largest IV spike — 20.7% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.46$15.13$15.96$15.36$15.47
Max Pain$16.48$16.00$18.00$18.00$16.00
ATM IV31.8%25.4%41.1%41.1%33.6%
Expected Move9.0%7.3%11.8%11.8%9.6%
HV 20d35.4%26.6%38.7%36.7%26.6%
HV 60d26.9%25.7%28.3%26.1%28.3%
IV Rank63.7%38.7%100.0%100.0%70.9%
IV Percentile91.2%75.4%100.0%100.0%96.4%
Term Structure-1.3%-6.5%1.8%-4.9%-3.3%
VWIV30.2%25.6%42.1%42.1%31.9%
Skew 25d7.2%2.1%11.5%10.7%9.9%
Skew 10d16.8%2.5%31.1%3.8%30.9%
Call IV 25d29.0%19.6%40.5%40.5%28.1%
Put IV 25d36.1%28.9%51.2%51.2%38.0%
Bid-Ask Spread %48.2820.8469.3548.8952.78
Gamma HHI0.290.220.410.220.26
Net GEX-110.4K-182.9K-71.0K-71.0K-86.9K
Net DEX5.9M4.0M7.3M6.2M4.9M
Net VEX-17.9K-20.5K-16.4K-20.0K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.741.003.551.001.44
Total Volume1,184.193051,7591,3961,001
Total OI13,967.198,09717,92716,9958,809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$15.36$18.0041.1%11.8%36.7%100.0%42.1%10.7%-4.9%-71.0K6.2M-20.0K1.0048.89N/AN/A69769910,4896,506
2015-09-02$15.47$18.0039.8%11.4%37.0%95.2%36.4%8.8%-6.5%-83.0K6.5M-19.1K1.1150.53N/AN/A70778510,4416,549
2015-09-03$15.62$17.0033.0%8.4%37.0%68.9%28.6%6.8%-1.7%-79.9K6.1M-20.3K1.1467.88N/AN/A66475810,4736,531
2015-09-04$15.28$17.0035.5%9.8%37.3%78.3%31.1%8.5%-3.1%-116.1K6.7M-17.9K1.5268.89N/AN/A53381110,4936,571
2015-09-08$15.45$17.0036.9%9.5%36.3%83.8%32.4%5.1%-1.2%-130.7K6.7M-17.7K3.5569.35N/AN/A6723810,4106,595
2015-09-09$15.43$17.0033.2%9.5%36.2%69.1%29.7%4.0%-2.0%-142.1K6.2M-20.5K1.5365.57N/AN/A57788210,5446,693
2015-09-10$15.51$17.0029.6%8.5%36.4%55.2%26.4%6.8%-1.8%-145.6K6.8M-17.6K1.5145.37N/AN/A58488210,5656,713
2015-09-11$15.36$17.0032.6%9.3%36.2%66.8%30.2%7.1%-1.5%-143.9K7.0M-16.5K1.9942.85N/AN/A47093510,5656,713
2015-09-14$15.29$16.0032.7%9.4%36.1%67.4%30.6%6.6%-2.6%-148.8K6.9M-16.6K2.6840.23N/AN/A4781,28110,5806,768
2015-09-15$15.52$16.0027.3%7.8%36.8%46.3%30.6%11.5%-0.3%-169.7K7.3M-16.6K1.6145.59N/AN/A12620310,5117,144
2015-09-16$15.96$16.0025.9%7.4%38.6%40.8%28.8%6.6%1.0%-182.9K6.5M-18.7K2.7259.64N/AN/A4541,23710,6387,149
2015-09-17$15.67$16.0026.3%7.5%38.7%42.3%25.6%4.5%-1.5%-182.5K6.7M-18.0K3.1647.37N/AN/A4181,32010,6787,125
2015-09-18$15.46$16.0029.1%8.4%38.4%53.4%28.5%2.1%-0.9%-78.8K7.1M-17.3K2.2661.36N/AN/A41894410,6977,230
2015-09-21$15.88$16.0025.4%7.3%35.6%38.7%26.6%9.3%1.8%-83.7K4.1M-17.9K1.4653.10N/AN/A4035903,2014,896
2015-09-22$15.47$16.0030.6%8.8%35.5%59.2%26.7%9.2%0.2%-74.0K4.0M-19.7K1.4522.87N/AN/A4226123,2964,931
2015-09-23$15.33$16.0029.8%8.5%35.7%55.8%25.7%5.7%1.3%-77.9K4.5M-16.9K1.3120.84N/AN/A3684833,3175,006
2015-09-24$15.33$16.0030.6%8.8%32.7%59.2%32.1%9.0%0.1%-80.0K4.8M-16.6K1.3955.50N/AN/A3474823,3825,141
2015-09-25$15.57$16.0027.7%7.9%31.3%47.7%27.4%7.6%0.8%-85.0K4.5M-17.8K1.1623.09N/AN/A4204873,4005,177
2015-09-28$15.17$16.0032.9%9.4%32.4%68.2%30.9%5.9%-1.0%-75.1K4.7M-17.1K1.1829.09N/AN/A4795653,4515,187
2015-09-29$15.13$16.0033.5%9.6%32.3%70.5%31.5%4.8%-0.9%-81.2K5.0M-16.4K1.3843.16N/AN/A4386033,4765,270
2015-09-30$15.47$16.0033.6%9.6%26.6%70.9%31.9%9.9%-3.3%-86.9K4.9M-16.8K1.4452.78N/AN/A4115903,4865,323