MFC Options History — October 2015

In October 2015, MFC traded between $15.48 and $17.10. ATM implied volatility averaged 25.2%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.2% (HV 20d: 23.1%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-10-14: Highest Volume — 1,704 contracts
  • 2015-10-02: Largest IV drop — 13.2% change
  • 2015-10-01: Highest IV Rank — 75.5%
  • 2015-10-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.49$15.48$17.10$15.48$16.62
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV25.2%22.5%34.8%34.8%22.8%
Expected Move7.3%6.5%10.0%10.0%6.5%
HV 20d23.1%16.7%27.2%26.4%21.3%
HV 60d28.5%28.0%29.2%28.2%29.2%
IV Rank38.1%27.5%75.5%75.5%28.6%
IV Percentile66.6%45.6%97.6%97.6%50.4%
Term Structure-1.0%-7.2%1.7%-7.2%0.4%
VWIV25.9%17.8%30.6%30.6%28.2%
Skew 25d5.0%0.8%9.5%9.5%3.8%
Skew 10d12.0%-2.3%46.9%18.4%0.8%
Call IV 25d23.6%15.9%27.5%27.1%21.8%
Put IV 25d28.6%24.1%36.6%36.6%25.6%
Bid-Ask Spread %32.1621.0056.0124.8325.87
Gamma HHI0.190.160.240.240.19
Net GEX-36.7K-86.7K11.0K-81.8K-12.4K
Net DEX2.9M1.5M4.7M4.5M2.4M
Net VEX-20.7K-22.9K-17.8K-18.0K-22.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.532.211.270.71
Total Volume1,358.227931,7049951,578
Total OI9,910.6368,86611,1888,86611,188

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$15.48$16.0034.8%10.0%26.4%75.5%30.6%9.5%-7.2%-81.8K4.5M-18.0K1.2724.83N/AN/A4385573,5435,323
2015-10-02$15.52$16.0030.2%8.7%26.2%57.6%30.3%2.9%1.7%-78.2K4.7M-17.8K1.2829.95N/AN/A4315513,6675,347
2015-10-05$15.94$16.0026.8%8.0%26.6%44.0%26.0%6.2%-2.0%-86.7K4.3M-18.1K2.2136.79N/AN/A29643,5865,371
2015-10-06$16.15$16.0026.5%7.9%26.7%43.2%27.1%7.0%-1.5%-80.1K4.0M-18.9K1.5132.79N/AN/A3365073,6775,327
2015-10-07$16.38$16.0028.3%8.0%27.0%50.1%27.3%4.8%-1.4%-74.9K3.5M-19.6K0.8027.91N/AN/A7075633,6945,323
2015-10-08$16.58$16.0025.4%7.2%27.2%38.9%25.9%4.4%-0.5%-41.5K3.1M-20.4K0.8126.75N/AN/A6885604,0185,325
2015-10-09$16.68$16.0022.7%6.7%26.7%28.1%25.9%4.8%0.4%-31.0K2.9M-20.7K0.6622.33N/AN/A8825794,1115,326
2015-10-12$16.60$16.0024.1%7.5%26.7%33.6%26.4%3.4%-2.0%-11.4K2.7M-21.3K0.7624.29N/AN/A7896024,4455,403
2015-10-13$16.57$16.0024.8%7.1%26.5%36.6%27.0%3.4%-1.1%-24.5K2.8M-21.4K0.8527.99N/AN/A7086044,4805,431
2015-10-14$16.43$16.0025.5%7.3%25.1%39.2%25.5%3.3%-0.5%-43.6K3.1M-20.7K0.5330.45N/AN/A1,1155894,4705,434
2015-10-15$16.42$16.0025.3%7.3%24.0%38.4%25.7%2.4%-0.2%-32.9K2.9M-20.9K0.5733.28N/AN/A1,0355894,8315,460
2015-10-16$16.52$16.0023.1%6.6%23.3%29.9%26.0%6.3%-0.3%-37.2K2.8M-20.7K0.5356.01N/AN/A1,1075894,8415,460
2015-10-19$16.39$16.0025.7%7.4%21.9%39.9%25.4%4.8%-0.3%-36.6K3.1M-19.9K0.6842.24N/AN/A8195534,5355,361
2015-10-20$16.61$16.0023.5%6.7%19.6%31.5%26.3%7.8%-1.4%-30.4K2.5M-21.5K0.6836.75N/AN/A8485784,6165,366
2015-10-21$16.56$16.0023.7%6.8%19.2%32.1%27.1%2.8%-1.7%-30.0K2.5M-22.2K0.7329.38N/AN/A8786444,6565,490
2015-10-22$16.83$16.0023.4%6.7%19.6%31.0%17.8%6.3%-1.2%-27.2K2.2M-21.8K0.8636.03N/AN/A7576544,7335,474
2015-10-23$17.01$16.0024.2%6.9%19.3%34.1%20.1%6.7%-1.3%-20.0K1.7M-22.4K0.8233.44N/AN/A7996544,7035,494
2015-10-26$16.83$16.0024.3%7.0%16.7%34.5%26.9%0.8%-1.6%-14.9K1.8M-21.6K0.7338.40N/AN/A9506954,8185,509
2015-10-27$16.59$16.0024.6%7.1%17.9%35.7%26.6%8.0%-1.3%-15.2K2.5M-21.4K0.7429.47N/AN/A8826504,9715,599
2015-10-28$17.10$16.0022.5%6.5%19.2%27.5%20.1%8.4%-0.3%-7.1K1.5M-21.0K0.6141.56N/AN/A1,0386315,0035,614
2015-10-29$16.87$16.0022.7%6.5%20.2%28.3%26.7%1.8%0.9%11.0K1.6M-22.9K0.8321.00N/AN/A9047505,3245,687
2015-10-30$16.62$16.0022.8%6.5%21.3%28.6%28.2%3.8%0.4%-12.4K2.4M-22.2K0.7125.87N/AN/A9236555,3525,836