MFC Options History — November 2016

In November 2016, MFC traded between $14.21 and $17.60. ATM implied volatility averaged 25.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.6% (HV 20d: 26.0%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2016-11-10: Highest Volume — 3,274 contracts
  • 2016-11-09: Largest IV drop — 28.5% change
  • 2016-11-03: Highest IV Rank — 45.4%
  • 2016-11-02: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.24$14.21$17.60$14.37$17.48
Max Pain$15.29$14.00$16.00$14.00$16.00
ATM IV25.4%19.8%34.8%32.1%23.7%
Expected Move6.9%5.7%9.6%9.2%6.8%
HV 20d26.0%12.2%32.7%15.8%32.1%
HV 60d22.8%18.4%25.1%18.4%25.0%
IV Rank19.1%3.5%45.4%38.0%14.4%
IV Percentile33.2%2.8%81.7%75.4%25.4%
Term Structure0.3%-6.6%3.4%-5.5%-0.4%
VWIV25.6%20.1%32.8%31.9%25.5%
Skew 25d5.1%-2.9%10.4%10.4%0.7%
Skew 10d13.1%-4.4%29.3%29.3%3.1%
Call IV 25d22.6%17.5%33.6%28.3%22.8%
Put IV 25d27.7%20.9%38.7%38.7%23.5%
Bid-Ask Spread %47.0223.57114.1243.6538.45
Gamma HHI0.270.200.350.300.24
Net GEX-26.9K-144.4K85.3K-112.9K6.7K
Net DEX-1.9M-7.6M3.5M3.0M-2.1M
Net VEX-18.7K-27.5K-12.4K-27.5K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.583.301.883.17
Total Volume2,076.3811,4353,2741,8451,855
Total OI15,676.42912,92217,85816,10813,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$14.37$14.0032.1%9.2%15.8%38.0%31.9%10.4%-5.5%-112.9K3.0M-27.5K1.8843.65N/AN/A6411,2045,06911,039
2016-11-02$14.21$14.0033.4%9.6%12.3%41.5%32.8%3.5%-6.6%-144.4K3.5M-27.4K1.9270.20N/AN/A6421,2345,07111,174
2016-11-03$14.29$15.0034.8%7.7%12.5%45.4%28.9%4.6%-0.6%-127.8K2.9M-27.0K1.9364.60N/AN/A6391,2345,07111,219
2016-11-04$14.24$15.0031.8%8.2%12.2%37.0%30.7%7.5%-2.4%-140.5K3.5M-26.8K1.9723.57N/AN/A6381,2605,06811,269
2016-11-07$14.61$15.0030.6%6.7%15.0%33.9%27.4%9.0%2.2%-79.2K2.3M-26.0K1.5527.40N/AN/A6841,0595,07411,379
2016-11-08$14.68$15.0033.7%7.0%15.1%42.4%26.7%8.8%1.3%-58.4K2.1M-26.4K2.0724.57N/AN/A6011,2475,21011,414
2016-11-09$15.07$15.0024.1%6.9%17.6%15.5%27.4%9.0%0.6%15.5K-448.0K-23.8K1.83114.12N/AN/A7331,3455,23411,292
2016-11-10$16.24$15.0024.0%6.9%31.2%15.4%26.4%4.4%2.4%43.9K-4.8M-18.5K0.7771.37N/AN/A1,8451,4295,43811,253
2016-11-11$16.59$15.0022.6%6.5%31.7%11.5%26.1%9.9%2.4%85.3K-6.2M-19.8K1.2251.84N/AN/A9061,1076,49511,363
2016-11-14$17.03$15.0023.5%6.7%31.9%13.8%26.5%4.0%1.8%47.7K-7.5M-15.5K1.1430.33N/AN/A9851,1236,25111,340
2016-11-15$17.14$15.0022.8%6.5%31.8%11.8%24.8%3.4%2.6%-15.0K-7.6M-13.2K0.8393.76N/AN/A1,3471,1165,94111,361
2016-11-16$17.00$15.0021.6%6.2%32.2%8.7%24.9%3.6%2.5%-637-7.3M-14.6K0.8558.55N/AN/A1,2061,0306,08511,381
2016-11-17$17.00$15.0022.1%6.3%31.9%9.9%22.5%4.0%2.8%-6.6K-7.4M-13.7K0.6129.14N/AN/A1,8641,1366,03011,401
2016-11-18$17.00$16.0021.3%6.1%31.8%7.7%22.2%5.6%3.4%-48.1K-3.4M-12.7K0.5837.83N/AN/A1,9071,1153,59011,582
2016-11-21$17.20$16.0021.1%6.0%31.9%7.0%20.1%3.6%1.4%-35.5K-1.4M-12.8K2.5235.57N/AN/A4081,0272,07110,851
2016-11-22$17.53$16.0019.8%5.7%31.3%3.5%21.5%7.6%-0.5%-18.5K-1.8M-13.4K1.6450.77N/AN/A7761,2692,30610,924
2016-11-23$17.60$16.0019.9%5.7%31.3%3.8%21.1%3.8%0.4%14.9K-2.6M-12.4K2.2238.62N/AN/A5361,1882,72110,868
2016-11-25$17.50$16.0024.3%7.0%31.7%16.1%20.6%3.5%-1.1%4.5K-2.1M-15.1K2.0827.29N/AN/A5731,1902,79010,889
2016-11-28$17.13$16.0023.6%6.8%32.7%14.1%26.7%-2.9%-0.1%2.7K-1.7M-15.1K3.3024.94N/AN/A4041,3332,87010,886
2016-11-29$17.19$16.0022.4%6.4%32.6%10.7%23.6%2.9%0.1%1.9K-1.7M-16.1K3.2330.92N/AN/A4181,3502,91711,040
2016-11-30$17.48$16.0023.7%6.8%32.1%14.4%25.5%0.7%-0.4%6.7K-2.1M-15.4K3.1738.45N/AN/A4451,4102,93711,041