MFC Options History — February 2016

In February 2016, MFC traded between $11.37 and $13.79. ATM implied volatility averaged 41.2%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 13.7% (HV 20d: 54.9%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 2.29.

Notable Days

  • 2016-02-19: Highest Volume — 3,433 contracts
  • 2016-02-11: Largest IV spike — 23.3% change
  • 2016-02-11: Highest IV Rank — 97.8%
  • 2016-02-11: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.84$11.37$13.79$13.79$13.36
Max Pain$15.70$14.00$16.00$14.00$16.00
ATM IV41.2%33.8%53.4%33.8%38.9%
Expected Move11.4%9.6%15.3%9.7%11.2%
HV 20d54.9%43.5%63.9%43.5%59.8%
HV 60d40.4%33.4%45.5%33.4%45.3%
IV Rank65.5%46.0%97.8%46.0%59.4%
IV Percentile94.3%86.1%99.6%90.5%93.7%
Term Structure-3.7%-8.8%-1.1%-2.9%-3.5%
VWIV41.3%33.8%59.3%40.6%37.8%
Skew 25d7.5%2.3%11.8%9.4%11.8%
Skew 10d22.3%11.1%36.7%11.6%20.9%
Call IV 25d37.6%27.0%50.7%27.0%31.8%
Put IV 25d45.1%36.4%61.4%36.4%43.6%
Bid-Ask Spread %49.2027.5798.3743.9228.73
Gamma HHI0.220.170.310.260.22
Net GEX-59.9K-82.1K-26.2K-73.9K-63.2K
Net DEX4.0M3.3M5.3M3.3M3.5M
Net VEX-9.9K-12.0K-6.1K-10.4K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.291.045.211.322.67
Total Volume2,064.851,2363,4331,2592,193
Total OI9,987.58,36512,0478,36510,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$13.79$14.0033.8%9.7%43.5%46.0%40.6%9.4%-2.9%-73.9K3.3M-10.4K1.3243.92N/AN/A5427173,5174,848
2016-02-02$12.99$14.0037.7%10.8%47.5%56.3%38.0%2.6%-2.6%-47.9K4.0M-8.2K1.0431.66N/AN/A7107393,5204,868
2016-02-03$13.20$14.0040.6%11.6%48.0%64.0%38.9%7.6%-4.7%-52.0K3.7M-9.5K1.3040.26N/AN/A6979073,6984,933
2016-02-04$13.55$16.0035.9%9.6%48.1%51.4%35.9%6.5%-3.7%-73.6K3.5M-10.1K1.5255.04N/AN/A5658593,6995,139
2016-02-05$13.50$16.0043.5%10.9%45.5%71.5%40.1%8.9%-5.1%-74.4K3.5M-10.6K1.5256.18N/AN/A5608513,6925,158
2016-02-08$13.11$16.0050.9%11.6%46.7%91.3%42.2%8.5%-6.5%-65.7K3.7M-9.9K1.1950.56N/AN/A5646723,6935,160
2016-02-09$12.63$16.0050.3%11.9%48.3%89.6%42.9%8.1%-4.3%-52.0K4.2M-8.7K1.2551.09N/AN/A5617023,7045,178
2016-02-10$12.42$16.0043.3%12.4%48.5%71.1%42.8%3.8%-5.4%-49.5K4.3M-8.5K1.2855.72N/AN/A5797433,7095,208
2016-02-11$11.37$16.0053.4%15.3%56.9%97.8%59.3%10.6%-8.3%-26.2K4.8M-6.1K5.2148.17N/AN/A5252,7333,7535,307
2016-02-12$11.75$16.0052.0%14.9%58.1%94.2%52.0%9.1%-8.8%-72.7K5.3M-9.5K3.7296.46N/AN/A5361,9963,8307,285
2016-02-16$11.97$16.0042.9%12.3%55.7%69.9%47.4%11.1%-2.3%-70.3K5.2M-8.7K2.4398.37N/AN/A8161,9863,8507,405
2016-02-17$13.05$16.0036.9%10.6%63.9%54.2%41.4%8.4%-2.7%-80.7K4.0M-10.0K2.0941.49N/AN/A8991,8794,1627,444
2016-02-18$13.09$16.0037.6%10.8%63.6%56.0%38.1%7.2%-1.7%-82.1K3.7M-10.3K2.0743.88N/AN/A1,0162,1004,3277,538
2016-02-19$12.76$16.0037.1%10.6%62.3%54.8%38.1%7.4%-2.3%-43.8K4.4M-9.9K2.5435.74N/AN/A9702,4634,3537,694
2016-02-22$12.86$16.0035.9%10.3%61.4%51.6%36.3%2.3%-1.3%-50.6K3.7M-11.3K3.5948.94N/AN/A4621,6603,7006,663
2016-02-23$12.67$16.0037.0%10.6%60.4%54.3%40.2%6.2%-2.0%-51.0K3.9M-11.1K3.7134.76N/AN/A4321,6013,7256,655
2016-02-24$12.55$16.0044.3%12.7%59.8%73.6%45.5%2.4%-2.7%-52.6K3.9M-11.2K2.8266.58N/AN/A4791,3523,7606,716
2016-02-25$12.92$16.0035.2%10.1%60.8%49.7%33.9%7.2%-1.1%-53.1K3.7M-11.3K2.3028.88N/AN/A6341,4613,7676,859
2016-02-26$13.25$16.0037.0%10.6%59.9%54.4%33.8%10.5%-1.5%-63.4K3.6M-12.0K2.3127.57N/AN/A6461,4903,6826,951
2016-02-29$13.36$16.0038.9%11.2%59.8%59.4%37.8%11.8%-3.5%-63.2K3.5M-11.6K2.6728.73N/AN/A5981,5953,6906,910