MFC Options History — March 2016

In March 2016, MFC traded between $13.60 and $14.45. ATM implied volatility averaged 30.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 12.1% (HV 20d: 42.2%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.57.

Notable Days

  • 2016-03-03: Highest Volume — 2,488 contracts
  • 2016-03-07: Largest IV spike — 19.2% change
  • 2016-03-07: Highest IV Rank — 51.9%
  • 2016-03-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.03$13.60$14.45$14.02$14.17
Max Pain$13.82$13.00$16.00$16.00$14.00
ATM IV30.1%26.6%36.1%33.1%27.9%
Expected Move8.5%7.6%9.5%9.5%8.0%
HV 20d42.2%28.1%61.6%61.6%28.1%
HV 60d45.8%45.3%46.6%46.6%45.7%
IV Rank36.1%26.9%51.9%44.1%30.3%
IV Percentile72.2%63.1%88.1%79.4%65.9%
Term Structure0.9%-1.9%3.2%-0.7%1.6%
VWIV30.3%25.3%37.6%37.6%29.3%
Skew 25d5.5%-2.0%14.3%9.0%-2.0%
Skew 10d12.2%-3.6%28.6%22.8%-3.6%
Call IV 25d28.6%20.6%33.6%31.7%30.3%
Put IV 25d34.1%24.0%40.7%40.7%28.3%
Bid-Ask Spread %44.3717.75110.2630.6931.99
Gamma HHI0.260.180.480.260.23
Net GEX-46.4K-86.5K-1.9K-80.4K-15.4K
Net DEX2.2M796.9K3.4M2.9M1.0M
Net VEX-13.0K-14.9K-11.7K-11.7K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.571.573.482.172.78
Total Volume1,799.3181,1832,4882,3791,293
Total OI9,706.4556,55812,11210,7476,919

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$14.02$16.0033.1%9.5%61.6%44.1%37.6%9.0%-0.7%-80.4K2.9M-11.7K2.1730.69N/AN/A7501,6293,6857,062
2016-03-02$13.85$16.0031.6%9.0%57.6%40.0%35.0%4.9%0.3%-76.8K2.9M-12.1K2.2532.96N/AN/A6541,4723,8657,115
2016-03-03$13.71$13.0032.1%8.7%57.6%41.5%32.1%5.9%0.8%-76.5K3.1M-11.7K2.5352.20N/AN/A7041,7843,7907,174
2016-03-04$13.84$13.0030.2%8.5%57.0%36.5%30.8%6.8%0.7%-76.4K3.0M-12.8K2.3339.99N/AN/A7061,6463,8597,263
2016-03-07$13.95$13.0036.1%8.6%57.0%51.9%29.3%5.9%0.4%-82.4K2.9M-12.7K2.2952.74N/AN/A7031,6073,8697,351
2016-03-08$13.60$13.0035.6%8.9%56.7%50.8%32.0%6.0%0.7%-75.8K3.4M-12.3K2.3065.95N/AN/A7001,6073,8697,371
2016-03-09$13.83$13.0031.6%9.0%55.0%40.1%32.4%2.9%-0.6%-79.7K3.2M-12.2K2.1237.05N/AN/A5281,1193,8747,371
2016-03-10$13.68$13.0032.4%9.3%54.7%42.2%33.2%4.3%-1.9%-75.7K3.3M-12.1K2.4433.75N/AN/A5291,2923,9137,390
2016-03-11$14.24$13.0029.6%8.5%43.6%34.9%31.9%8.0%1.0%-86.5K2.6M-12.2K1.7733.82N/AN/A6291,1133,9047,393
2016-03-14$14.15$13.0029.5%8.5%43.2%34.5%28.9%6.0%1.2%-76.3K2.5M-12.0K1.5717.75N/AN/A7351,1574,0307,393
2016-03-15$13.96$14.0029.1%8.4%43.8%33.7%26.5%7.4%-0.3%-58.8K3.2M-12.9K1.8836.38N/AN/A7961,4944,3267,706
2016-03-16$14.06$14.0027.9%8.0%32.5%30.3%30.0%3.8%1.2%-64.3K2.3M-14.9K2.43110.26N/AN/A7011,7064,3287,627
2016-03-17$14.31$14.0028.8%8.3%32.9%32.8%27.0%5.9%0.4%-8.2K2.1M-14.2K2.6735.37N/AN/A6021,6054,3487,723
2016-03-18$14.22$14.0027.3%7.8%31.2%28.9%26.5%5.3%1.7%-7.1K2.1M-14.2K2.1567.24N/AN/A6061,3054,3647,748
2016-03-21$14.45$14.0029.4%8.4%31.4%34.5%30.4%7.9%2.2%-3.2K796.9K-14.2K2.9970.31N/AN/A2978882,2994,259
2016-03-22$14.35$14.0026.6%7.6%30.9%26.9%25.3%0.1%3.2%-1.9K833.8K-14.1K3.4824.90N/AN/A2679292,3494,274
2016-03-23$14.12$14.0028.2%8.1%31.4%31.2%29.2%5.7%1.1%-11.2K968.1K-13.7K3.4568.54N/AN/A2699282,3534,288
2016-03-24$13.91$14.0027.3%7.8%31.0%28.8%28.7%1.9%3.1%-21.6K1.3M-13.5K3.1829.68N/AN/A2839002,3654,334
2016-03-28$14.15$14.0029.7%8.5%30.4%35.0%28.3%14.3%0.8%-11.7K1.1M-13.6K3.2350.67N/AN/A2809042,4154,336
2016-03-29$13.83$14.0027.7%7.9%31.7%29.8%32.0%0.5%2.5%-22.7K1.3M-12.9K3.2528.40N/AN/A2879322,4214,341
2016-03-30$14.23$14.0029.8%8.5%28.4%35.3%30.0%9.8%0.8%-8.6K1.0M-13.4K3.2825.55N/AN/A2929572,4694,409
2016-03-31$14.17$14.0027.9%8.0%28.1%30.3%29.3%-2.0%1.6%-15.4K1.0M-13.2K2.7831.99N/AN/A3429512,4764,443