MFC Options History — October 2016

In October 2016, MFC traded between $14.10 and $14.76. ATM implied volatility averaged 25.2%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.6% (HV 20d: 20.6%). 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 8 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2016-10-04: Highest Volume — 4,410 contracts
  • 2016-10-11: Largest IV spike — 28.8% change
  • 2016-10-31: Highest IV Rank — 35.7%
  • 2016-10-31: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.53$14.10$14.76$14.10$14.50
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV25.2%20.3%31.3%21.8%31.3%
Expected Move7.4%6.1%9.0%6.3%9.0%
HV 20d20.6%15.4%25.0%23.2%15.4%
HV 60d22.0%18.4%22.9%22.9%18.4%
IV Rank18.7%5.0%35.7%9.2%35.7%
IV Percentile35.3%3.6%73.8%9.1%73.8%
Term Structure-0.5%-6.5%6.4%5.8%-6.5%
VWIV27.5%21.4%39.0%21.9%31.5%
Skew 25d7.9%1.9%17.3%13.8%7.3%
Skew 10d21.5%4.6%54.3%22.1%22.9%
Call IV 25d23.1%15.1%27.8%15.2%26.9%
Put IV 25d30.9%21.9%39.4%29.0%34.3%
Bid-Ask Spread %75.4325.27132.8731.4234.20
Gamma HHI0.360.310.460.460.31
Net GEX-64.3K-122.8K-21.6K-122.8K-74.0K
Net DEX1.3M104.4K2.7M2.7M2.3M
Net VEX-29.3K-31.4K-27.7K-28.2K-28.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.704.584.581.69
Total Volume2,515.2861,6764,4104,2141,748
Total OI15,742.95213,24616,99313,24616,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$14.10$14.0021.8%6.3%23.2%9.2%21.9%13.8%5.8%-122.8K2.7M-28.2K4.5831.42N/AN/A7553,4593,5819,665
2016-10-04$14.11$14.0021.2%6.1%23.0%7.5%21.4%6.9%6.4%-122.7K2.6M-28.6K3.6725.68N/AN/A9453,4653,9059,792
2016-10-05$14.53$14.0021.7%6.2%24.9%8.7%23.1%1.9%3.8%-90.7K1.2M-28.1K0.7062.49N/AN/A1,7731,2464,0879,902
2016-10-06$14.55$14.0020.3%7.2%24.7%5.0%24.4%4.9%-0.4%-21.6K588.9K-30.5K0.8240.10N/AN/A1,7841,4715,2479,967
2016-10-07$14.42$14.0022.2%7.9%25.0%10.2%24.8%4.6%-1.2%-36.6K1.2M-30.8K0.9651.76N/AN/A1,6261,5555,16010,220
2016-10-10$14.56$14.0021.5%7.1%24.8%8.3%25.0%5.9%-0.7%-35.7K812.1K-30.4K0.9145.75N/AN/A1,6261,4745,17310,478
2016-10-11$14.54$14.0027.7%7.1%23.1%25.7%28.3%3.9%1.0%-49.6K1.2M-30.9K2.44126.35N/AN/A6401,5635,17310,686
2016-10-12$14.55$14.0026.5%7.6%22.9%22.1%24.8%8.5%-1.5%-51.7K1.3M-31.4K2.4060.05N/AN/A6391,5315,19910,833
2016-10-13$14.51$14.0026.8%7.7%21.4%23.1%27.4%7.7%-1.3%-51.4K1.3M-30.6K2.0535.81N/AN/A7261,4875,20410,868
2016-10-14$14.63$14.0025.3%7.2%20.8%18.8%27.7%3.9%0.7%-54.5K897.9K-30.6K2.2345.82N/AN/A7551,6815,28811,016
2016-10-17$14.50$14.0029.2%8.4%21.0%29.9%28.3%8.2%-2.4%-52.7K1.1M-30.0K2.3925.27N/AN/A7241,7315,33111,139
2016-10-18$14.73$14.0024.3%7.0%21.4%16.0%27.5%9.6%0.2%-56.0K606.1K-29.7K1.67100.98N/AN/A9151,5325,33111,339
2016-10-19$14.76$14.0026.4%7.6%20.7%21.9%27.7%2.2%-1.9%-40.3K104.4K-29.8K1.9491.27N/AN/A7881,5275,56511,334
2016-10-20$14.66$14.0026.3%7.5%20.5%21.6%28.1%9.8%-1.6%-45.1K630.7K-29.3K1.92119.80N/AN/A7881,5125,65411,334
2016-10-21$14.62$14.0026.8%7.7%18.4%23.0%28.1%7.6%-2.0%-87.0K447.0K-28.8K2.20119.62N/AN/A6681,4695,65411,339
2016-10-24$14.69$14.0023.6%6.8%16.9%14.2%24.1%10.3%-0.8%-61.7K1.3M-27.7K1.47118.34N/AN/A7731,1374,75710,839
2016-10-25$14.53$14.0025.1%7.2%17.5%18.3%36.9%11.7%0.7%-74.5K1.7M-27.8K1.52132.87N/AN/A6641,0124,88010,842
2016-10-26$14.58$14.0024.2%6.9%15.8%15.7%39.0%17.3%0.3%-68.7K1.7M-27.7K1.50128.93N/AN/A7491,1254,88810,883
2016-10-27$14.66$14.0026.5%7.6%15.5%22.1%27.8%8.3%-3.7%-65.1K1.4M-27.9K1.71118.34N/AN/A6641,1364,94911,013
2016-10-28$14.49$14.0031.3%9.0%15.5%35.6%29.6%11.2%-4.8%-88.5K2.2M-28.6K1.4469.09N/AN/A8041,1544,97811,011
2016-10-31$14.50$14.0031.3%9.0%15.4%35.7%31.5%7.3%-6.5%-74.0K2.3M-28.2K1.6934.20N/AN/A6491,0995,05911,039