MFC Options History — May 2016

In May 2016, MFC traded between $13.84 and $14.97. ATM implied volatility averaged 28.4%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.2% (HV 20d: 26.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.52.

Notable Days

  • 2016-05-25: Highest Volume — 2,268 contracts
  • 2016-05-06: Largest IV drop — 17.4% change
  • 2016-05-05: Highest IV Rank — 57.1%
  • 2016-05-04: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.35$13.84$14.97$14.66$14.91
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.4%22.6%38.1%32.8%23.9%
Expected Move7.9%6.5%10.0%9.4%6.9%
HV 20d26.1%21.8%33.7%31.9%27.2%
HV 60d33.1%29.0%41.1%40.6%29.0%
IV Rank30.6%13.0%57.1%43.3%16.7%
IV Percentile54.9%18.7%90.9%76.6%29.4%
Term Structure0.5%-4.9%2.9%-4.0%0.3%
VWIV29.0%23.0%44.7%34.7%26.3%
Skew 25d5.1%-1.2%9.0%2.4%7.9%
Skew 10d9.0%0.8%17.1%4.5%13.4%
Call IV 25d26.5%19.3%35.9%30.1%21.9%
Put IV 25d31.6%27.3%40.3%32.5%29.8%
Bid-Ask Spread %46.6724.68101.3845.1990.09
Gamma HHI0.330.290.380.330.38
Net GEX-160.2K-204.4K-129.6K-136.0K-204.4K
Net DEX3.1M1.4M4.1M2.4M2.2M
Net VEX-16.6K-20.5K-14.6K-18.4K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.521.917.013.723.34
Total Volume1,194.4768502,2681,1801,098
Total OI10,488.6199,72111,59610,15611,596

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$14.66$15.0032.8%9.4%31.9%43.3%34.7%2.4%-4.0%-136.0K2.4M-18.4K3.7245.19N/AN/A2509302,8597,297
2016-05-03$14.19$15.0034.8%10.0%33.7%48.7%30.0%5.8%-4.9%-134.0K3.4M-17.2K3.6626.92N/AN/A2639622,8617,297
2016-05-04$14.02$15.0034.9%10.0%33.7%48.6%31.6%4.3%-3.9%-129.6K3.8M-17.0K3.3644.83N/AN/A2869602,8797,332
2016-05-05$14.18$15.0038.1%8.5%26.6%57.1%31.1%2.4%1.1%-147.5K3.5M-16.6K3.6759.59N/AN/A2781,0202,8967,363
2016-05-06$14.23$15.0031.5%8.1%26.0%39.4%28.0%4.3%1.8%-157.3K3.7M-16.6K3.4439.17N/AN/A2588882,8967,511
2016-05-09$13.99$15.0030.3%8.0%26.7%36.4%29.5%4.9%1.0%-144.4K4.0M-15.7K3.2033.50N/AN/A2818982,9087,510
2016-05-10$14.21$15.0029.4%7.9%24.0%34.0%27.6%4.1%1.2%-156.1K3.6M-16.2K3.2333.88N/AN/A2778952,9527,523
2016-05-11$14.26$15.0027.1%7.8%23.2%27.7%27.2%5.5%2.6%-162.2K3.5M-15.9K3.2427.57N/AN/A2799052,9377,523
2016-05-12$14.21$15.0026.2%7.5%23.1%25.4%26.3%4.8%1.7%-166.0K3.8M-15.2K3.0234.30N/AN/A2968952,9237,531
2016-05-13$13.84$15.0026.7%7.6%24.8%26.6%26.9%4.9%2.7%-152.2K4.1M-15.0K1.9130.50N/AN/A3075862,9437,530
2016-05-16$14.04$15.0027.1%7.8%24.7%27.8%27.2%3.8%1.2%-173.3K3.8M-15.0K2.2424.68N/AN/A2625882,9007,567
2016-05-17$14.07$15.0028.1%8.1%23.4%30.5%27.7%5.5%1.4%-168.8K3.9M-14.6K2.2727.41N/AN/A2625952,9367,558
2016-05-18$14.33$15.0028.1%8.1%21.8%30.5%44.7%8.5%0.1%-157.3K2.7M-15.7K3.3276.13N/AN/A2458142,9647,518
2016-05-19$14.06$15.0027.6%7.9%22.1%29.1%27.4%5.8%2.0%-191.6K3.8M-15.4K2.2438.29N/AN/A2746142,9777,782
2016-05-20$14.32$15.0026.7%7.6%23.3%26.6%26.8%6.6%2.9%-145.6K3.1M-15.7K2.6331.05N/AN/A2646932,9807,753
2016-05-23$14.19$15.0027.3%7.8%23.4%28.4%27.6%8.0%-0.4%-143.4K3.1M-15.0K5.2926.55N/AN/A1517992,6747,047
2016-05-24$14.72$15.0024.2%6.9%27.2%17.4%25.6%5.4%0.5%-160.5K2.1M-16.0K3.4132.58N/AN/A2538632,6807,090
2016-05-25$14.96$15.0024.9%7.1%27.8%19.5%23.9%-1.2%0.4%-148.6K1.4M-16.4K7.0174.45N/AN/A2831,9852,8127,179
2016-05-26$14.89$15.0023.7%6.8%27.3%16.2%23.0%4.8%0.7%-188.3K2.1M-20.5K6.6882.08N/AN/A2761,8452,9178,475
2016-05-27$14.97$15.0022.6%6.5%27.2%13.0%35.3%9.0%1.6%-197.6K1.9M-20.3K3.05101.38N/AN/A2989082,9148,471
2016-05-31$14.91$15.0023.9%6.9%27.2%16.7%26.3%7.9%0.3%-204.4K2.2M-19.8K3.3490.09N/AN/A2538452,9768,620