MFC Options History — June 2016

In June 2016, MFC traded between $12.59 and $14.97. ATM implied volatility averaged 28.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.3% (HV 20d: 28.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.53.

Notable Days

  • 2016-06-02: Highest Volume — 2,247 contracts
  • 2016-06-24: Largest IV spike — 75.7% change
  • 2016-06-27: Highest IV Rank — 66.1%
  • 2016-06-27: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.15$12.59$14.97$14.81$13.63
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.4%22.3%41.9%24.1%29.2%
Expected Move8.2%6.4%12.0%6.9%8.4%
HV 20d28.8%20.0%48.6%24.4%48.6%
HV 60d29.6%27.1%36.5%29.0%36.5%
IV Rank29.0%12.2%66.1%17.1%29.9%
IV Percentile51.2%15.1%94.8%29.8%58.7%
Term Structure1.0%-9.0%9.3%0.3%0.2%
VWIV29.6%24.5%41.6%25.2%31.7%
Skew 25d6.3%-1.6%13.5%6.6%1.2%
Skew 10d13.5%-2.5%27.0%12.3%-1.9%
Call IV 25d26.8%18.4%44.9%22.8%29.0%
Put IV 25d33.2%25.2%50.6%29.4%30.2%
Bid-Ask Spread %63.9623.02115.3988.52101.62
Gamma HHI0.370.330.470.380.36
Net GEX-234.2K-333.0K-168.5K-204.5K-246.2K
Net DEX4.4M2.2M6.6M2.5M5.5M
Net VEX-21.5K-25.5K-19.5K-19.8K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.532.058.226.483.75
Total Volume1,548.7277062,2472,1481,588
Total OI11,958.2278,65013,62811,61111,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$14.81$15.0024.1%6.9%24.4%17.1%25.2%6.6%0.3%-204.5K2.5M-19.8K6.4888.52N/AN/A2871,8612,9818,630
2016-06-02$14.81$15.0023.8%6.9%23.9%16.4%27.6%11.0%1.1%-264.0K2.9M-22.0K6.8326.68N/AN/A2871,9603,0379,782
2016-06-03$14.72$15.0023.5%7.0%23.8%15.5%27.8%11.0%1.5%-267.4K3.1M-21.2K7.3837.20N/AN/A2201,6233,0379,796
2016-06-06$14.86$15.0024.4%6.9%24.0%17.9%25.9%9.3%1.3%-283.4K2.8M-21.1K8.2231.07N/AN/A1971,6203,0789,816
2016-06-07$14.88$15.0023.5%7.0%22.9%15.5%25.2%1.2%1.4%-299.0K2.5M-20.4K8.0436.68N/AN/A2031,6323,0959,823
2016-06-08$14.97$15.0022.3%6.4%22.4%12.2%25.8%3.3%3.2%-314.3K2.2M-21.0K6.8755.74N/AN/A2381,6353,16910,017
2016-06-09$14.61$15.0023.6%6.8%24.4%15.8%24.6%1.1%2.1%-333.0K3.3M-20.8K2.8427.29N/AN/A1845223,21210,017
2016-06-10$14.13$15.0026.9%7.7%27.3%25.0%24.7%6.8%2.5%-218.7K5.1M-20.3K4.5146.03N/AN/A1848293,21310,037
2016-06-13$14.03$15.0029.3%8.4%25.6%31.4%27.2%6.4%0.3%-228.3K5.6M-20.1K2.2923.02N/AN/A3538093,21310,320
2016-06-14$13.91$15.0030.7%8.8%25.3%35.4%32.7%6.5%-1.0%-217.0K5.9M-19.6K3.2751.15N/AN/A2799123,23810,330
2016-06-15$13.84$15.0028.8%8.2%25.3%30.0%30.5%2.3%0.6%-213.2K6.1M-19.5K3.0587.79N/AN/A3159603,23410,394
2016-06-16$13.89$15.0029.3%8.4%24.4%31.5%34.4%13.5%-0.1%-246.4K5.9M-19.9K3.4351.13N/AN/A3151,0793,28410,144
2016-06-17$13.98$15.0029.1%8.3%23.6%30.9%31.7%5.9%-0.3%-251.2K5.8M-20.1K2.2729.32N/AN/A3247343,28410,245
2016-06-20$14.32$15.0027.8%8.0%24.3%27.3%30.8%8.5%9.3%-189.6K3.1M-19.9K2.0524.09N/AN/A2655431,5127,138
2016-06-21$14.37$15.0028.0%8.0%24.1%28.0%24.5%8.7%3.4%-200.0K3.2M-22.8K4.6194.63N/AN/A2321,0701,6337,849
2016-06-22$14.33$15.0029.2%8.4%20.0%31.2%25.6%7.6%2.6%-197.9K3.2M-23.0K6.21109.83N/AN/A2221,3791,6787,858
2016-06-23$14.70$15.0022.9%6.6%21.3%14.1%26.5%9.6%3.8%-186.6K2.9M-23.6K4.67109.14N/AN/A3131,4631,6958,179
2016-06-24$13.39$15.0040.3%11.6%39.2%61.8%41.6%-1.6%-9.0%-191.9K5.1M-22.9K4.7395.24N/AN/A3641,7201,8188,256
2016-06-27$12.59$15.0041.9%12.0%43.7%66.1%40.4%8.5%-3.3%-168.5K6.6M-22.3K2.17115.39N/AN/A5851,2701,8839,115
2016-06-28$13.00$15.0033.4%9.6%46.0%41.6%32.9%2.9%1.8%-193.6K6.4M-23.1K2.2553.30N/AN/A5901,3252,0019,143
2016-06-29$13.44$15.0033.9%9.7%48.2%43.0%32.8%9.4%0.5%-238.5K6.0M-24.7K3.82112.30N/AN/A3281,2532,0249,404
2016-06-30$13.63$15.0029.2%8.4%48.6%29.9%31.7%1.2%0.2%-246.2K5.5M-25.5K3.75101.62N/AN/A3341,2542,0539,416