MFC Options History — December 2016

In December 2016, MFC traded between $17.38 and $18.77. ATM implied volatility averaged 23.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.2% (HV 20d: 24.0%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2016-12-14: Highest Volume — 3,583 contracts
  • 2016-12-13: Largest IV drop — 23.5% change
  • 2016-12-12: Highest IV Rank — 39.2%
  • 2016-12-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.12$17.38$18.77$17.60$17.78
Max Pain$17.62$16.00$18.00$16.00$18.00
ATM IV23.8%21.5%33.0%23.5%22.1%
Expected Move6.5%6.0%7.1%6.7%6.3%
HV 20d24.0%19.0%31.9%31.1%20.4%
HV 60d24.6%23.8%25.1%24.9%23.8%
IV Rank13.3%6.5%39.2%13.8%8.2%
IV Percentile24.2%7.9%77.0%21.4%13.9%
Term Structure5.2%-1.6%60.5%-1.2%2.3%
VWIV23.1%19.2%28.5%28.5%20.8%
Skew 25d3.8%1.2%6.8%4.9%6.8%
Skew 10d8.1%-4.4%21.0%6.0%12.5%
Call IV 25d21.4%17.5%23.4%21.8%17.5%
Put IV 25d25.1%23.6%26.8%26.7%24.3%
Bid-Ask Spread %67.1525.83109.1350.17100.67
Gamma HHI0.350.240.450.280.27
Net GEX124.8K25.1K226.5K25.1K128.7K
Net DEX-3.3M-6.2M-1.5M-2.4M-1.5M
Net VEX-19.4K-22.7K-14.4K-15.5K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.603.662.091.24
Total Volume1,831.6671,2483,5832,1521,424
Total OI14,230.38111,41418,50614,24812,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$17.60$16.0023.5%6.7%31.1%13.8%28.5%4.9%-1.2%25.1K-2.4M-15.5K2.0950.17N/AN/A6961,4563,14711,101
2016-12-02$17.50$16.0024.6%7.1%31.6%17.0%23.3%4.8%-1.6%50.7K-2.4M-16.0K3.6673.06N/AN/A4031,4753,49911,289
2016-12-05$17.38$17.0025.6%6.8%31.8%19.6%23.6%2.5%1.8%33.8K-2.1M-16.6K3.2162.20N/AN/A4161,3353,55611,461
2016-12-06$17.60$17.0021.9%6.0%31.3%7.6%21.5%3.2%3.0%47.2K-2.6M-15.5K3.3427.69N/AN/A4001,3353,58611,481
2016-12-07$17.89$17.0021.9%6.3%31.4%7.5%22.2%4.1%2.3%50.2K-3.1M-16.0K2.2132.03N/AN/A6071,3433,58911,481
2016-12-08$18.48$17.0026.8%6.9%31.9%21.6%24.1%4.4%0.6%76.3K-4.3M-14.4K1.9238.29N/AN/A6911,3283,86911,481
2016-12-09$18.56$18.0028.3%6.2%20.8%25.8%25.2%5.1%2.9%78.4K-4.6M-15.1K2.04104.67N/AN/A8191,6694,05611,518
2016-12-12$18.47$18.0033.0%6.8%20.5%39.2%24.2%3.6%2.3%79.6K-4.5M-17.4K2.2241.78N/AN/A6961,5484,39611,912
2016-12-13$18.59$18.0025.2%6.2%19.0%17.0%22.2%3.6%2.3%70.0K-4.6M-18.7K2.9496.18N/AN/A5241,5384,51312,178
2016-12-14$18.38$18.0023.9%6.8%19.7%13.2%22.1%3.1%1.5%80.5K-4.2M-19.5K0.60106.66N/AN/A2,2411,3424,59112,186
2016-12-15$18.77$18.0022.4%6.4%20.2%9.1%23.0%2.8%2.2%215.4K-6.2M-21.0K1.9699.69N/AN/A6561,2875,91512,241
2016-12-16$18.46$18.0024.6%7.1%21.5%15.3%24.6%3.9%0.8%201.8K-5.6M-22.2K1.6497.03N/AN/A7761,2766,26212,244
2016-12-19$18.25$18.0022.2%6.4%22.2%8.3%28.4%2.2%60.5%205.6K-3.3M-22.2K1.0685.99N/AN/A6066425,3406,074
2016-12-20$18.47$18.0023.6%6.8%22.2%12.5%19.2%5.9%3.4%226.4K-3.8M-22.1K1.0036.93N/AN/A6686715,3576,079
2016-12-21$18.36$18.0022.3%6.4%21.7%8.8%19.2%4.2%5.3%226.5K-3.6M-21.9K1.5254.86N/AN/A6349635,4466,110
2016-12-22$18.13$18.0022.0%6.3%22.3%7.7%21.7%3.8%5.2%184.6K-2.7M-22.7K1.2434.95N/AN/A5727095,4466,422
2016-12-23$18.06$18.0021.9%6.3%22.2%7.5%22.6%5.2%4.3%173.8K-2.4M-22.7K1.1630.63N/AN/A6247235,4666,490
2016-12-27$18.07$18.0021.5%6.2%20.5%6.5%23.3%1.2%5.3%189.0K-2.6M-21.6K1.14101.82N/AN/A6327235,5276,506
2016-12-28$17.84$18.0021.8%6.2%21.2%7.2%23.1%1.9%2.5%146.7K-1.9M-21.3K1.47109.13N/AN/A6559665,5666,506
2016-12-29$17.78$18.0021.5%6.2%20.5%6.5%23.1%1.9%4.4%131.3K-1.6M-22.1K1.3025.83N/AN/A6067905,6196,804
2016-12-30$17.78$18.0022.1%6.3%20.4%8.2%20.8%6.8%2.3%128.7K-1.5M-22.1K1.24100.67N/AN/A6377875,6246,904