MFC Options History — November 2015

In November 2015, MFC traded between $16.01 and $16.81. ATM implied volatility averaged 24.0%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.1% (HV 20d: 23.0%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-11-02: Highest Volume — 1,659 contracts
  • 2015-11-19: Largest IV drop — 14.7% change
  • 2015-11-05: Highest IV Rank — 47.0%
  • 2015-11-04: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.45$16.01$16.81$16.64$16.47
Max Pain$17.70$16.00$18.00$16.00$18.00
ATM IV24.0%20.9%27.5%21.7%23.5%
Expected Move6.7%6.0%7.3%6.2%6.7%
HV 20d23.0%19.1%25.8%19.5%22.2%
HV 60d27.3%23.1%29.8%29.1%23.1%
IV Rank33.0%21.0%47.0%24.3%28.6%
IV Percentile58.1%24.2%81.3%32.9%55.6%
Term Structure0.3%-1.8%2.9%-0.5%-0.8%
VWIV22.7%19.2%27.4%19.2%19.8%
Skew 25d4.5%-0.1%9.3%3.0%3.1%
Skew 10d9.1%-2.8%47.0%47.0%1.9%
Call IV 25d21.3%17.0%25.6%21.4%19.6%
Put IV 25d25.8%20.6%28.9%24.4%22.8%
Bid-Ask Spread %27.5213.3146.1225.5122.60
Gamma HHI0.270.180.370.180.37
Net GEX-41.1K-66.4K-9.3K-9.3K-47.6K
Net DEX3.1M2.4M4.8M2.5M2.7M
Net VEX-18.4K-21.3K-15.6K-21.3K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.071.890.690.17
Total Volume951.05411,6591,65941
Total OI11,252.159,98011,99511,25010,108

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$16.64$16.0021.7%6.2%19.5%24.3%19.2%3.0%-0.5%-9.3K2.5M-21.3K0.6925.51N/AN/A9796805,3905,860
2015-11-03$16.74$16.0023.3%6.7%19.1%30.6%19.9%3.5%-1.8%-15.4K2.5M-21.3K0.6421.20N/AN/A9796315,5375,890
2015-11-04$16.47$16.0025.3%7.3%19.6%38.5%24.3%3.0%-0.4%-12.3K3.0M-20.3K0.6521.58N/AN/A9736355,5375,893
2015-11-05$16.39$18.0027.5%7.2%19.1%47.0%22.7%6.1%-0.2%-23.9K3.6M-19.6K0.6819.84N/AN/A9726655,5415,978
2015-11-06$16.81$18.0023.9%6.6%21.1%32.9%23.1%9.3%0.4%-26.8K2.4M-21.0K1.1139.43N/AN/A55615,3606,094
2015-11-09$16.65$18.0027.1%6.4%21.3%45.3%22.5%7.5%1.1%-37.7K2.9M-19.8K0.8839.61N/AN/A34305,3186,095
2015-11-10$16.65$18.0026.5%6.6%21.3%43.1%20.5%8.2%-0.4%-33.3K3.0M-19.8K0.7840.25N/AN/A8556695,4126,125
2015-11-11$16.71$18.0023.2%6.7%21.1%30.2%19.8%7.8%0.5%-29.9K2.6M-19.9K0.7829.50N/AN/A8556695,4156,125
2015-11-12$16.07$18.0024.3%7.0%25.4%34.3%25.6%2.5%1.4%-59.9K4.4M-18.0K1.8946.12N/AN/A3196035,4156,261
2015-11-13$16.01$18.0025.1%7.2%25.3%37.8%27.4%3.3%-0.0%-66.4K4.8M-17.0K1.7740.37N/AN/A3345915,4096,277
2015-11-16$16.24$18.0024.9%7.1%25.8%36.9%25.1%3.2%1.1%-58.8K4.2M-16.9K0.0731.51N/AN/A301205,3386,278
2015-11-17$16.35$18.0023.6%6.8%25.4%31.6%27.2%5.9%1.6%-48.6K3.5M-18.2K0.5722.66N/AN/A7134095,6796,268
2015-11-18$16.50$18.0024.5%7.0%25.6%35.1%24.5%3.9%-0.4%-44.5K3.2M-18.2K0.5624.19N/AN/A7344095,7116,284
2015-11-19$16.68$18.0020.9%6.0%25.3%21.0%22.5%4.9%2.9%-44.6K2.8M-18.3K0.6313.31N/AN/A6934395,6886,284
2015-11-20$16.40$18.0023.3%6.7%25.5%30.6%22.7%7.4%1.3%-50.8K3.0M-16.8K0.5819.85N/AN/A7434335,6476,289
2015-11-23$16.20$18.0023.2%6.6%25.6%30.0%21.0%4.5%0.0%-54.8K3.2M-16.0K1.2822.20N/AN/A1101414,7715,209
2015-11-24$16.36$18.0023.2%6.7%25.5%30.3%23.2%-0.1%-0.6%-52.6K2.9M-16.6K0.7330.35N/AN/A30224,8615,255
2015-11-25$16.38$18.0021.8%6.3%22.8%22.0%20.7%0.5%0.5%-49.4K2.8M-16.9K0.6415.52N/AN/A7104514,9595,260
2015-11-27$16.30$18.0023.8%6.8%22.4%29.9%22.8%1.9%-0.3%-54.9K3.1M-15.9K0.8124.73N/AN/A5724614,9605,262
2015-11-30$16.47$18.0023.5%6.7%22.2%28.6%19.8%3.1%-0.8%-47.6K2.7M-15.6K0.1722.60N/AN/A3564,8675,241