MFC Options History — September 2016

In September 2016, MFC traded between $13.46 and $14.35. ATM implied volatility averaged 22.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.4% (HV 20d: 19.5%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.68.

Notable Days

  • 2016-09-30: Highest Volume — 3,882 contracts
  • 2016-09-13: Largest IV spike — 46.8% change
  • 2016-09-13: Highest IV Rank — 61.1%
  • 2016-09-14: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.85$13.46$14.35$13.63$14.17
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV22.9%19.5%40.4%20.6%23.7%
Expected Move6.3%5.6%7.7%5.9%6.8%
HV 20d19.5%15.4%24.2%16.6%23.1%
HV 60d29.9%22.7%34.8%34.8%22.9%
IV Rank12.3%2.7%61.1%5.7%14.4%
IV Percentile15.3%1.2%93.7%2.4%25.4%
Term Structure3.2%0.9%6.6%1.7%1.1%
VWIV23.5%20.4%27.3%26.0%24.0%
Skew 25d6.7%0.4%13.9%5.2%13.9%
Skew 10d14.1%1.2%30.7%8.2%30.7%
Call IV 25d19.7%14.1%23.9%20.3%15.6%
Put IV 25d26.5%24.2%32.3%25.5%29.5%
Bid-Ask Spread %55.0320.9098.7852.4455.53
Gamma HHI0.520.360.710.710.45
Net GEX-142.1K-238.2K-76.7K-237.9K-115.2K
Net DEX3.1M1.5M4.5M4.0M2.7M
Net VEX-21.5K-29.3K-19.0K-21.4K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.681.269.826.456.89
Total Volume2,137.0481,3243,8823,0483,882
Total OI11,952.3819,32013,36113,36113,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$13.63$14.0020.6%5.9%16.6%5.7%26.0%5.2%1.7%-237.9K4.0M-21.4K6.4552.44N/AN/A4092,6393,19810,163
2016-09-02$13.70$14.0019.9%5.7%16.6%3.7%27.3%7.0%2.3%-187.8K3.6M-21.8K5.3478.37N/AN/A4442,3713,1989,764
2016-09-06$13.83$14.0019.6%6.3%16.5%3.0%23.1%10.4%2.1%-122.7K3.3M-20.7K3.2241.60N/AN/A4321,3913,2269,772
2016-09-07$13.73$14.0022.7%6.3%16.7%11.5%23.8%2.0%2.1%-174.3K3.6M-20.7K3.1747.89N/AN/A4421,3993,2349,774
2016-09-08$13.89$14.0019.6%6.0%16.9%3.0%22.8%0.8%2.5%-116.7K3.2M-19.9K3.2364.63N/AN/A4301,3903,2129,764
2016-09-09$13.95$14.0022.5%6.6%16.8%11.0%24.3%3.8%2.2%-126.3K3.0M-20.6K3.2828.77N/AN/A4161,3653,2299,764
2016-09-12$13.82$14.0027.5%6.2%15.4%25.1%23.6%2.5%2.9%-171.7K3.6M-20.1K2.9333.60N/AN/A4391,2873,2369,826
2016-09-13$13.52$14.0040.4%6.8%17.0%61.1%25.3%9.9%2.5%-222.2K4.4M-19.8K2.7590.64N/AN/A4681,2873,2649,816
2016-09-14$13.46$14.0026.8%7.7%17.1%23.1%24.0%10.7%0.9%-238.2K4.5M-19.6K2.4495.60N/AN/A4831,1773,2739,816
2016-09-15$13.82$14.0022.4%6.4%19.4%10.9%22.8%8.2%2.7%-187.9K3.8M-19.6K2.4297.57N/AN/A4951,1993,2579,841
2016-09-16$13.65$14.0021.3%6.1%20.0%7.6%21.9%7.5%3.7%-132.1K3.9M-19.0K3.3569.61N/AN/A5181,7353,3109,798
2016-09-19$13.81$14.0021.6%6.2%19.9%8.5%21.8%7.2%6.2%-142.7K3.0M-20.2K1.9298.78N/AN/A7031,3502,2157,105
2016-09-20$13.91$14.0021.4%6.1%19.7%8.0%22.0%2.1%5.1%-112.2K2.6M-20.8K3.5020.90N/AN/A3991,3972,6247,105
2016-09-21$14.16$14.0023.0%6.6%20.5%12.4%23.3%5.3%3.1%-100.1K2.1M-21.1K2.0753.19N/AN/A5241,0832,7287,167
2016-09-22$14.35$14.0021.8%6.2%20.8%9.1%21.6%6.5%3.3%-89.8K1.5M-22.1K2.3841.63N/AN/A4291,0212,9557,314
2016-09-23$14.02$14.0020.8%6.0%22.5%6.4%21.3%0.4%4.6%-89.8K2.1M-21.8K2.2921.29N/AN/A4039212,9997,314
2016-09-26$13.77$14.0022.4%6.4%23.5%10.8%24.0%7.1%2.9%-103.9K2.8M-21.3K1.2649.67N/AN/A6688433,0167,334
2016-09-27$13.73$14.0020.7%5.9%23.5%5.9%24.3%7.0%4.7%-98.0K3.0M-21.1K1.4544.55N/AN/A5958613,1567,346
2016-09-28$14.05$14.0019.5%5.6%24.2%2.7%20.4%11.8%6.6%-76.7K2.1M-21.9K9.8236.90N/AN/A3443,3783,3237,379
2016-09-29$13.96$14.0023.7%6.8%22.6%14.3%25.1%12.1%3.7%-137.0K3.2M-28.6K7.1132.55N/AN/A4763,3853,3329,659
2016-09-30$14.17$14.0023.7%6.8%23.1%14.4%24.0%13.9%1.1%-115.2K2.7M-29.3K6.8955.53N/AN/A4923,3903,5299,665