MFC Options History — December 2015

In December 2015, MFC traded between $14.67 and $16.80. ATM implied volatility averaged 24.1%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 4.1% (HV 20d: 28.1%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.46.

Notable Days

  • 2015-12-18: Highest Volume — 1,852 contracts
  • 2015-12-07: Largest IV spike — 29.7% change
  • 2015-12-14: Highest IV Rank — 52.7%
  • 2015-12-14: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.46$14.67$16.80$16.79$14.97
Max Pain$17.09$17.00$18.00$18.00$17.00
ATM IV24.1%18.6%29.4%19.7%24.7%
Expected Move6.9%5.6%8.4%5.6%7.1%
HV 20d28.1%23.2%32.0%23.3%31.3%
HV 60d24.8%22.9%25.9%22.9%25.2%
IV Rank31.1%8.7%52.7%13.3%33.6%
IV Percentile55.5%6.7%85.3%15.9%64.3%
Term Structure0.5%-2.5%2.3%-0.7%-1.1%
VWIV23.6%18.7%28.9%21.4%23.4%
Skew 25d4.4%-0.8%12.7%4.8%2.5%
Skew 10d7.4%-3.1%19.3%3.4%8.7%
Call IV 25d22.8%16.6%29.5%19.6%21.2%
Put IV 25d27.2%22.4%34.9%24.5%23.7%
Bid-Ask Spread %34.1619.3756.0622.3822.65
Gamma HHI0.300.250.360.330.30
Net GEX-84.1K-119.2K-15.1K-31.9K-92.3K
Net DEX3.9M1.6M6.7M1.9M2.3M
Net VEX-13.8K-16.3K-11.9K-16.2K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.4530.760.451.36
Total Volume1,416.1363291,8523291,527
Total OI9,628.5456,55812,26710,1356,962

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$16.79$18.0019.7%5.6%23.3%13.3%21.4%4.8%-0.7%-31.9K1.9M-16.2K0.4522.38N/AN/A2271024,8925,243
2015-12-02$16.80$18.0020.4%5.9%23.2%16.3%20.0%3.4%-0.2%-15.1K1.6M-16.1K0.7422.64N/AN/A7645665,1425,294
2015-12-03$16.52$17.0021.1%5.9%23.3%18.9%20.7%3.6%1.6%-31.7K2.8M-16.3K0.6630.87N/AN/A7835195,2735,493
2015-12-04$16.66$17.0018.6%5.7%23.4%8.7%18.7%8.3%1.7%-35.2K2.5M-15.6K0.5619.37N/AN/A7704295,2335,499
2015-12-07$16.15$17.0024.1%6.4%24.1%31.0%22.7%4.7%1.1%-60.9K3.8M-14.0K30.7636.29N/AN/A175235,1675,474
2015-12-08$15.51$17.0023.0%6.4%27.6%26.8%23.8%1.9%0.7%-107.7K5.3M-13.0K1.2533.40N/AN/A7529435,2515,935
2015-12-09$15.44$17.0024.9%7.2%27.6%34.6%19.2%5.1%-0.1%-106.7K5.3M-13.4K1.2433.41N/AN/A7499285,2655,986
2015-12-10$15.41$17.0025.2%7.2%27.4%35.8%19.4%6.3%-0.2%-114.7K5.4M-13.3K1.2933.58N/AN/A7499675,2726,046
2015-12-11$14.86$17.0029.0%8.3%27.0%50.9%24.3%7.5%-2.5%-96.0K6.0M-11.9K0.9133.90N/AN/A8207475,2696,031
2015-12-14$14.78$17.0029.4%8.4%27.0%52.7%27.2%5.3%-2.1%-102.4K6.2M-12.0K1.1540.74N/AN/A7018075,3346,220
2015-12-15$15.05$17.0026.4%7.6%27.4%40.4%26.9%5.1%0.2%-97.7K6.0M-12.3K1.3047.57N/AN/A6498455,4746,239
2015-12-16$15.26$17.0026.0%7.5%27.9%38.9%27.3%4.6%-0.0%-111.2K5.8M-13.1K1.9256.06N/AN/A6341,2175,4826,363
2015-12-17$14.67$17.0025.0%7.2%30.2%34.7%25.1%-0.1%0.3%-119.2K6.7M-12.2K1.2534.61N/AN/A7188995,4866,635
2015-12-18$14.72$17.0024.1%6.9%29.7%31.0%27.2%12.7%1.1%-72.8K6.7M-12.3K1.4831.01N/AN/A7471,1055,5856,682
2015-12-21$14.99$17.0024.7%7.1%30.7%33.7%27.3%9.1%1.7%-86.7K2.7M-13.5K1.0335.49N/AN/A7177382,7643,794
2015-12-22$15.01$17.0023.6%6.8%30.6%29.1%26.3%1.4%1.9%-90.0K2.7M-13.4K1.0054.41N/AN/A6866832,8263,874
2015-12-23$15.33$17.0023.0%6.6%31.5%26.7%28.9%6.5%2.2%-87.5K2.4M-14.1K1.1130.67N/AN/A7007782,8413,883
2015-12-24$15.35$17.0023.3%6.7%31.5%27.8%20.4%1.1%2.3%-95.6K2.4M-14.5K1.1129.16N/AN/A7047782,8763,999
2015-12-28$15.19$17.0024.7%7.1%31.6%33.4%23.3%-0.8%1.6%-98.6K2.6M-13.9K1.2025.63N/AN/A6467772,9053,999
2015-12-29$15.44$17.0024.9%7.1%32.0%34.5%23.8%2.9%0.3%-93.8K2.2M-14.3K1.1533.82N/AN/A6467462,9523,947
2015-12-30$15.23$17.0024.2%6.9%31.1%31.4%22.3%0.6%1.4%-103.6K2.5M-13.4K1.1943.89N/AN/A6167362,9523,989
2015-12-31$14.97$17.0024.7%7.1%31.3%33.6%23.4%2.5%-1.1%-92.3K2.3M-15.2K1.3622.65N/AN/A6488792,9594,003