MFC Options History — January 2016

In January 2016, MFC traded between $12.25 and $14.66. ATM implied volatility averaged 38.5%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.1% (HV 20d: 34.4%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-01-28: Highest Volume — 1,552 contracts
  • 2016-01-11: Largest IV spike — 41.8% change
  • 2016-01-07: Highest IV Rank — 100.0%
  • 2016-01-15: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.24$12.25$14.66$14.66$13.44
Max Pain$15.00$14.00$16.00$16.00$14.00
ATM IV38.5%33.2%54.3%33.5%35.9%
Expected Move10.0%7.9%12.6%7.9%10.3%
HV 20d34.4%29.9%42.2%31.5%42.2%
HV 60d29.0%25.2%32.9%25.3%32.9%
IV Rank65.2%44.4%100.0%69.4%51.5%
IV Percentile95.8%88.1%100.0%94.8%94.4%
Term Structure-2.3%-5.5%0.5%-1.7%-2.6%
VWIV34.4%27.3%42.3%27.3%39.5%
Skew 25d7.2%4.7%12.7%6.3%8.6%
Skew 10d18.4%0.8%32.9%18.6%16.8%
Call IV 25d31.5%25.4%39.0%25.4%31.5%
Put IV 25d38.8%31.7%46.0%31.7%40.1%
Bid-Ask Spread %50.6337.2767.9148.3545.24
Gamma HHI0.250.190.350.310.24
Net GEX-52.4K-99.1K-21.1K-99.1K-64.5K
Net DEX3.9M3.4M4.3M3.4M3.6M
Net VEX-8.4K-12.1K-5.4K-12.1K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.962.151.811.09
Total Volume1,411.3681,2861,5521,4561,305
Total OI7,494.8956,9398,2237,1658,223

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$14.66$16.0033.5%7.9%31.5%69.4%27.3%6.3%-1.7%-99.1K3.4M-12.1K1.8148.35N/AN/A5189382,9914,174
2016-01-05$14.45$16.0038.7%8.9%31.2%90.4%28.1%6.4%-3.1%-92.0K3.4M-11.3K1.9037.27N/AN/A4899273,0044,054
2016-01-06$14.01$16.0038.3%8.9%31.2%88.7%27.3%5.1%-1.7%-80.1K3.8M-10.3K2.0643.45N/AN/A4871,0013,0074,125
2016-01-07$13.41$16.0045.0%10.5%31.7%100.0%31.1%8.1%-2.0%-63.1K4.1M-9.1K2.1561.20N/AN/A4831,0373,0554,225
2016-01-08$13.44$16.0038.3%9.7%31.8%76.6%28.1%4.7%0.5%-65.7K4.1M-9.1K1.9548.21N/AN/A4608973,0544,248
2016-01-11$13.31$16.0054.3%9.6%31.8%100.0%31.4%5.1%-1.5%-58.4K4.3M-8.0K1.5851.60N/AN/A5638873,0734,252
2016-01-12$13.21$16.0047.2%9.5%29.9%81.3%31.7%6.2%-1.9%-45.4K4.3M-7.4K1.0653.44N/AN/A6667063,1804,158
2016-01-13$12.90$15.0034.9%10.0%30.6%48.8%31.8%6.6%-2.6%-30.7K4.3M-6.5K1.0967.91N/AN/A6917513,3004,158
2016-01-14$13.10$15.0035.1%10.1%30.3%49.4%35.7%12.7%-3.8%-39.7K4.0M-8.2K1.0859.89N/AN/A6947513,3464,178
2016-01-15$12.41$15.0044.0%12.6%33.5%73.0%37.5%7.0%-5.5%-26.6K4.1M-6.9K1.1557.12N/AN/A6046963,3414,158
2016-01-19$12.43$15.0038.0%10.9%31.9%57.1%36.2%6.6%-2.9%-21.1K4.0M-5.6K1.5252.36N/AN/A5117753,0193,920
2016-01-20$12.25$15.0040.0%11.5%31.7%62.4%40.5%7.7%-3.7%-27.4K4.2M-5.4K1.4138.03N/AN/A5998433,0534,200
2016-01-21$12.82$14.0035.4%10.1%36.0%50.1%38.3%5.6%-1.7%-39.6K4.0M-7.1K1.3437.82N/AN/A5747713,1514,417
2016-01-22$13.21$14.0034.1%9.8%38.3%46.9%34.5%7.5%-2.1%-53.2K3.7M-8.6K0.9640.12N/AN/A7837493,1484,467
2016-01-25$12.77$14.0035.4%10.2%38.1%50.3%41.6%6.5%-1.3%-40.5K4.0M-7.4K1.0251.25N/AN/A7337493,2634,520
2016-01-26$13.07$14.0035.5%10.2%39.6%50.6%35.4%8.3%-2.5%-44.9K3.8M-8.3K1.0756.24N/AN/A6376823,3824,580
2016-01-27$13.11$14.0034.2%9.8%39.8%47.1%42.3%9.0%-0.6%-45.3K3.8M-8.3K1.1164.31N/AN/A6206873,3944,583
2016-01-28$13.62$14.0033.2%9.5%42.2%44.4%34.9%9.0%-2.2%-57.4K3.4M-9.4K1.4848.19N/AN/A6259273,4094,593
2016-01-29$13.44$14.0035.9%10.3%42.2%51.5%39.5%8.6%-2.6%-64.5K3.6M-10.0K1.0945.24N/AN/A6256803,4294,794