MFC Options History — July 2016

In July 2016, MFC traded between $12.99 and $13.83. ATM implied volatility averaged 30.5%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 14.5% (HV 20d: 45.0%). Max pain ranged from $13.00 to $17.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.26.

Notable Days

  • 2016-07-12: Highest Volume — 2,125 contracts
  • 2016-07-12: Largest IV spike — 33.0% change
  • 2016-07-12: Highest IV Rank — 81.5%
  • 2016-07-13: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.54$12.99$13.83$13.77$13.65
Max Pain$14.45$13.00$17.00$15.00$14.00
ATM IV30.5%25.7%47.6%26.8%30.6%
Expected Move8.5%7.4%9.8%7.7%8.8%
HV 20d45.0%23.9%51.4%48.9%23.9%
HV 60d34.8%33.9%35.7%34.7%33.9%
IV Rank33.4%19.9%81.5%23.0%33.7%
IV Percentile58.6%33.3%97.6%42.9%64.7%
Term Structure-1.4%-7.2%2.1%2.1%-4.2%
VWIV30.5%26.2%35.5%28.3%31.6%
Skew 25d4.9%-0.7%10.7%6.2%-0.7%
Skew 10d10.3%0.1%23.5%8.3%0.6%
Call IV 25d26.6%20.8%30.9%26.3%28.1%
Put IV 25d31.5%27.4%36.8%32.5%27.4%
Bid-Ask Spread %63.7723.12118.5494.3233.62
Gamma HHI0.410.360.470.380.40
Net GEX-212.2K-291.5K-173.5K-262.1K-233.5K
Net DEX5.4M4.2M6.9M5.4M5.2M
Net VEX-23.7K-25.4K-21.9K-25.1K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.262.284.384.093.01
Total Volume1,719.81,3862,1251,7011,402
Total OI12,070.511,23413,44811,51112,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$13.77$15.0026.8%7.7%48.9%23.0%28.3%6.2%2.1%-262.1K5.4M-25.1K4.0994.32N/AN/A3341,3672,0949,417
2016-07-05$13.18$13.0031.9%9.5%50.6%37.4%34.4%4.3%-2.2%-212.0K6.4M-23.3K3.6355.52N/AN/A3711,3452,0949,545
2016-07-06$13.02$13.0032.1%9.3%50.6%38.1%32.3%7.3%-2.8%-201.8K6.9M-22.6K3.4051.42N/AN/A4361,4832,0929,599
2016-07-07$12.99$15.0032.5%9.2%50.4%39.1%32.0%7.2%-1.3%-183.6K6.8M-22.7K3.2657.96N/AN/A4361,4232,1979,743
2016-07-08$13.04$17.0031.1%9.0%50.1%35.1%29.4%4.2%-1.6%-187.1K6.8M-22.8K2.4478.82N/AN/A4121,0052,2089,793
2016-07-11$13.11$17.0035.8%8.9%49.2%48.4%35.5%5.1%-0.5%-173.5K6.9M-21.9K2.28118.54N/AN/A5821,3252,2089,806
2016-07-12$13.57$17.0047.6%9.0%51.0%81.5%34.8%10.7%-1.9%-264.5K5.8M-24.0K3.5990.58N/AN/A4631,6622,3799,930
2016-07-13$13.50$14.0034.1%9.8%50.9%43.7%32.8%7.6%-7.2%-241.3K5.7M-25.4K2.4898.65N/AN/A5251,3012,81810,289
2016-07-14$13.76$14.0029.0%8.3%51.4%29.4%34.1%4.7%-1.1%-291.5K5.1M-24.4K3.0991.37N/AN/A4661,4392,94210,304
2016-07-15$13.73$14.0028.6%8.2%51.4%28.2%34.4%2.1%0.4%-183.8K6.0M-24.1K2.8742.63N/AN/A4991,4343,01110,437
2016-07-18$13.80$14.0027.1%7.8%51.4%23.8%28.0%4.2%0.5%-184.8K4.2M-24.0K3.2042.24N/AN/A4271,3682,1889,046
2016-07-19$13.64$14.0027.1%7.8%50.7%24.1%27.8%2.3%1.0%-194.1K4.5M-24.1K2.8032.95N/AN/A4781,3382,3569,153
2016-07-20$13.79$14.0027.7%7.9%50.9%25.7%26.2%6.0%-1.5%-188.4K4.3M-24.1K3.1148.11N/AN/A4201,3062,4379,134
2016-07-21$13.73$14.0028.0%8.0%50.9%26.5%27.2%5.7%-0.8%-186.7K4.4M-24.2K4.0396.86N/AN/A3231,3032,4619,204
2016-07-22$13.83$14.0025.7%7.4%49.9%19.9%26.2%6.9%0.2%-189.6K4.3M-24.0K3.8364.99N/AN/A3401,3032,4699,264
2016-07-25$13.70$14.0027.9%8.0%37.0%26.3%28.1%6.4%-1.5%-197.9K4.6M-23.5K4.3823.12N/AN/A3111,3612,4939,321
2016-07-26$13.72$14.0026.9%7.7%28.7%23.3%27.9%5.1%-1.2%-215.3K4.7M-23.6K4.2628.39N/AN/A3111,3242,5049,541
2016-07-27$13.65$14.0030.2%8.7%26.9%32.7%30.5%-0.2%-3.3%-224.4K5.0M-23.1K2.72100.07N/AN/A3731,0142,5049,689
2016-07-28$13.61$14.0028.5%8.2%24.4%28.0%29.2%2.3%-1.3%-227.5K5.1M-23.3K2.8325.31N/AN/A3621,0242,5869,728
2016-07-29$13.65$14.0030.6%8.8%23.9%33.7%31.6%-0.7%-4.2%-233.5K5.2M-23.1K3.0133.62N/AN/A3501,0522,6019,825