MFC Options History — August 2016

In August 2016, MFC traded between $13.00 and $13.97. ATM implied volatility averaged 23.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.8% (HV 20d: 25.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 3.73.

Notable Days

  • 2016-08-31: Highest Volume — 2,387 contracts
  • 2016-08-05: Largest IV drop — 15.8% change
  • 2016-08-02: Highest IV Rank — 39.4%
  • 2016-08-02: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.43$13.00$13.97$13.41$13.64
Max Pain$14.70$14.00$15.00$14.00$14.00
ATM IV23.8%19.3%32.6%30.7%20.3%
Expected Move6.8%5.5%9.4%8.8%5.8%
HV 20d25.7%18.5%28.7%24.3%26.6%
HV 60d34.8%34.0%35.9%34.0%34.8%
IV Rank14.8%2.0%39.4%34.1%4.8%
IV Percentile18.1%0.4%72.2%65.5%1.6%
Term Structure2.6%-5.5%26.1%0.1%2.4%
VWIV23.5%17.9%30.0%26.7%24.4%
Skew 25d4.0%0.6%9.8%5.4%6.1%
Skew 10d9.6%-0.4%43.6%4.6%8.7%
Call IV 25d21.8%17.1%28.5%26.1%19.1%
Put IV 25d25.9%21.6%33.4%31.5%25.2%
Bid-Ask Spread %33.0911.4985.0144.6340.81
Gamma HHI0.570.410.720.410.72
Net GEX-244.7K-295.0K-161.4K-238.2K-193.8K
Net DEX5.4M3.0M7.0M5.5M3.5M
Net VEX-21.1K-23.7K-20.0K-22.5K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.731.145.593.744.84
Total Volume1,562.261302,3871,5202,387
Total OI12,762.1311,74513,50812,46012,638

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$13.41$14.0030.7%8.8%24.3%34.1%26.7%5.4%0.1%-238.2K5.5M-22.5K3.7444.63N/AN/A3211,1992,6159,845
2016-08-02$13.45$14.0032.6%9.4%18.5%39.4%30.0%4.9%-5.5%-249.3K5.8M-22.5K5.3385.01N/AN/A2981,5882,63710,072
2016-08-03$13.75$14.0030.9%8.9%19.2%34.7%29.3%0.9%-4.7%-235.5K5.3M-23.7K3.7540.47N/AN/A3161,1852,65910,134
2016-08-04$13.00$15.0027.5%7.2%28.4%24.9%25.5%3.1%1.8%-253.9K6.8M-21.1K3.7427.83N/AN/A3491,3052,69010,166
2016-08-05$13.07$15.0023.1%7.1%28.4%12.8%24.5%2.7%2.2%-257.7K7.0M-20.6K4.4017.18N/AN/A3031,3342,70310,248
2016-08-08$13.23$15.0023.6%6.7%28.7%14.3%23.4%4.7%2.5%-274.5K6.7M-20.1K3.5830.69N/AN/A3571,2772,70510,271
2016-08-09$13.32$15.0024.8%6.7%25.9%17.4%23.3%5.2%3.1%-270.4K6.5M-20.1K2.6947.95N/AN/A4171,1202,74810,296
2016-08-10$13.27$15.0022.8%6.5%25.8%11.9%23.2%3.6%4.1%-265.4K6.4M-20.2K2.8238.14N/AN/A3781,0662,80810,316
2016-08-11$13.37$15.0023.8%6.8%25.0%14.7%23.6%1.7%2.1%-264.1K6.3M-20.3K2.9123.62N/AN/A3811,1102,87610,318
2016-08-12$13.11$15.0022.8%6.5%25.8%11.8%23.0%3.3%4.1%-295.0K6.5M-20.0K3.1526.95N/AN/A3511,1072,71410,379
2016-08-15$13.31$15.0024.5%7.0%26.4%16.7%23.0%6.9%2.6%-276.0K6.1M-20.0K5.5929.90N/AN/A3531,9732,77710,279
2016-08-16$13.32$15.0024.8%7.1%26.2%17.6%23.2%7.2%2.2%-280.7K6.2M-22.1K5.5228.39N/AN/A3581,9762,80710,685
2016-08-17$13.31$15.0023.2%6.6%25.8%12.9%22.7%0.9%2.9%-273.4K6.0M-21.7K2.2734.03N/AN/A15342,80710,665
2016-08-18$13.32$15.0022.8%6.5%25.8%11.8%21.6%0.6%2.7%-272.3K6.0M-21.8K1.1429.57N/AN/A14162,82210,675
2016-08-19$13.50$15.0023.4%6.7%26.1%13.5%24.5%5.1%2.4%-232.2K5.8M-21.8K5.1926.28N/AN/A3001,5572,83410,674
2016-08-22$13.39$15.0022.2%6.4%26.1%10.1%23.3%1.4%26.1%-240.6K4.6M-21.1K4.7132.30N/AN/A2681,2622,5449,230
2016-08-23$13.44$15.0022.6%6.5%26.1%11.4%20.5%3.8%0.4%-239.1K4.4M-20.8K4.4111.49N/AN/A2881,2692,5359,210
2016-08-24$13.51$15.0019.5%5.6%26.2%2.6%17.9%5.7%3.8%-239.4K4.4M-20.9K4.0624.55N/AN/A361462,5469,262
2016-08-25$13.66$15.0019.3%5.5%26.5%2.0%20.6%2.3%1.5%-234.2K4.1M-20.7K2.2917.48N/AN/A6051,3842,5699,378
2016-08-26$13.74$14.0022.0%6.3%26.5%9.6%21.9%3.1%-0.4%-192.7K3.7M-21.1K3.0136.21N/AN/A4791,4442,9179,399
2016-08-29$13.74$14.0020.7%5.9%25.7%6.0%21.3%3.9%2.2%-188.6K3.5M-20.9K3.3331.41N/AN/A4601,5302,9949,464
2016-08-30$13.97$14.0020.6%5.9%26.2%5.8%23.8%9.8%1.7%-161.4K3.0M-21.0K3.2336.16N/AN/A4771,5393,0459,573
2016-08-31$13.64$14.0020.3%5.8%26.6%4.8%24.4%6.1%2.4%-193.8K3.5M-21.4K4.8440.81N/AN/A4091,9783,1289,510