MFC Options History — April 2016

In April 2016, MFC traded between $13.00 and $15.13. ATM implied volatility averaged 30.4%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.7% (HV 20d: 33.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.55.

Notable Days

  • 2016-04-20: Highest Volume — 2,320 contracts
  • 2016-04-11: Largest IV spike — 60.5% change
  • 2016-04-11: Highest IV Rank — 88.8%
  • 2016-04-11: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.25$13.00$15.13$14.03$14.73
Max Pain$14.43$14.00$16.00$14.00$15.00
ATM IV30.4%25.0%50.0%27.3%30.8%
Expected Move8.6%7.8%9.4%7.8%8.8%
HV 20d33.1%28.1%36.0%28.1%32.8%
HV 60d44.3%40.9%46.5%45.7%40.9%
IV Rank37.0%22.6%88.8%28.8%38.1%
IV Percentile68.5%51.2%98.0%62.7%71.8%
Term Structure-1.5%-3.3%2.7%2.7%-1.6%
VWIV29.7%26.0%32.3%26.5%31.9%
Skew 25d6.5%0.7%11.7%0.7%9.9%
Skew 10d14.0%-7.5%27.7%1.2%21.6%
Call IV 25d27.3%22.5%31.2%24.2%26.8%
Put IV 25d33.8%24.9%37.6%24.9%36.7%
Bid-Ask Spread %44.0222.8886.3628.4530.11
Gamma HHI0.250.190.350.210.34
Net GEX-65.5K-136.9K-22.3K-26.2K-136.8K
Net DEX1.5M136.6K2.4M1.2M2.3M
Net VEX-15.4K-19.3K-11.7K-13.2K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.927.082.433.72
Total Volume1,191.3338372,3201,3281,203
Total OI8,347.2387,03410,1457,03410,145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$14.03$14.0027.3%7.8%28.1%28.8%26.5%0.7%2.7%-26.2K1.2M-13.2K2.4328.45N/AN/A3879412,5314,503
2016-04-04$13.76$16.0029.6%8.5%28.8%34.8%26.0%5.0%-1.3%-32.2K1.4M-13.1K2.3565.33N/AN/A4009412,5924,513
2016-04-05$13.53$16.0025.0%9.0%29.2%22.6%29.8%5.5%-1.3%-47.5K1.7M-12.9K2.3036.58N/AN/A4189622,5924,513
2016-04-06$13.73$14.0026.3%8.6%28.3%26.2%30.2%5.1%-1.4%-41.7K1.7M-12.8K2.3243.45N/AN/A4179682,6354,544
2016-04-07$13.00$14.0032.6%9.4%33.7%42.7%30.7%5.1%-1.7%-56.0K2.2M-11.7K0.9242.57N/AN/A5324922,6404,551
2016-04-08$13.26$14.0031.1%9.3%34.5%39.0%30.7%9.3%-2.6%-32.0K1.7M-12.6K0.9951.95N/AN/A4954902,9094,556
2016-04-11$13.45$14.0050.0%9.4%31.4%88.8%32.1%11.7%-2.5%-34.3K1.7M-11.9K0.9833.21N/AN/A5074952,9124,564
2016-04-12$13.95$14.0036.8%8.7%34.4%53.9%30.2%5.6%-2.4%-25.8K1.1M-12.5K2.7661.24N/AN/A4731,3062,9014,569
2016-04-13$14.20$14.0030.3%8.7%34.6%36.7%32.3%6.5%-2.1%-34.5K1.1M-15.0K1.2086.36N/AN/A4435322,9565,352
2016-04-14$14.29$14.0028.9%8.3%34.6%33.0%29.1%6.8%-1.2%-37.8K847.5K-15.3K2.1257.67N/AN/A2685692,9605,407
2016-04-15$14.19$14.0029.2%8.4%34.1%33.8%31.3%6.4%-0.5%-36.1K956.5K-14.7K2.1150.00N/AN/A2785862,9655,391
2016-04-18$14.41$14.0031.1%8.9%34.5%38.7%28.9%10.8%-2.6%-38.0K1.2M-14.9K1.3944.08N/AN/A3935482,4015,149
2016-04-19$14.70$14.0028.0%8.0%34.7%30.5%26.1%9.6%-1.2%-31.3K811.6K-15.3K1.5027.39N/AN/A3515272,4855,215
2016-04-20$15.13$14.0028.1%8.1%36.0%30.9%28.1%2.8%-1.7%-22.3K136.6K-15.1K7.0839.70N/AN/A2872,0332,5315,226
2016-04-21$14.88$14.0028.4%8.1%36.0%31.7%28.8%1.9%-1.8%-103.0K1.5M-18.5K2.4548.73N/AN/A2496092,6196,725
2016-04-22$14.83$14.0028.0%8.0%35.5%30.6%29.4%1.9%-0.3%-105.5K1.5M-19.0K2.4135.90N/AN/A3718932,6586,869
2016-04-25$14.80$15.0030.0%8.6%35.1%36.0%30.0%3.6%-1.9%-128.5K2.1M-19.3K3.4222.88N/AN/A2628962,7897,187
2016-04-26$14.80$15.0029.2%8.4%33.9%33.9%30.9%9.1%-2.0%-133.0K2.0M-19.3K3.4824.45N/AN/A2639142,7947,281
2016-04-27$14.85$15.0028.2%8.1%32.6%31.2%29.5%8.1%-0.5%-135.4K2.0M-19.3K4.1469.97N/AN/A2219142,7957,281
2016-04-28$14.63$15.0030.0%8.6%33.0%35.8%30.5%11.1%-3.3%-136.9K2.4M-18.7K3.5724.47N/AN/A2599252,8057,281
2016-04-29$14.73$15.0030.8%8.8%32.8%38.1%31.9%9.9%-1.6%-136.8K2.3M-18.8K3.7230.11N/AN/A2559482,8537,292