MFC Options History — January 2017

In January 2017, MFC traded between $17.91 and $19.45. ATM implied volatility averaged 25.0%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.1% (HV 20d: 17.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2017-01-10: Highest Volume — 3,250 contracts
  • 2017-01-11: Largest IV spike — 22.3% change
  • 2017-01-17: Highest IV Rank — 28.4%
  • 2017-01-17: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.68$17.91$19.45$17.91$19.17
Max Pain$18.10$18.00$19.00$18.00$19.00
ATM IV25.0%21.0%29.0%22.5%27.1%
Expected Move7.4%6.4%8.3%6.4%7.8%
HV 20d17.9%15.6%21.4%20.4%18.3%
HV 60d24.2%23.8%24.7%23.8%24.5%
IV Rank16.8%5.1%28.4%9.2%22.9%
IV Percentile36.4%6.0%61.5%17.9%52.0%
Term Structure-1.7%-3.8%4.2%2.4%-3.5%
VWIV25.5%21.3%27.7%21.3%26.9%
Skew 25d3.9%0.7%8.9%0.7%6.7%
Skew 10d8.9%1.0%22.9%1.0%8.4%
Call IV 25d24.4%19.9%27.7%24.4%24.1%
Put IV 25d28.2%25.2%30.8%25.2%30.8%
Bid-Ask Spread %49.1027.0299.6627.0236.56
Gamma HHI0.380.270.630.300.29
Net GEX223.2K86.7K444.2K158.0K163.4K
Net DEX-4.2M-6.0M-1.9M-1.9M-4.9M
Net VEX-23.7K-26.7K-21.1K-21.4K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.462.702.351.11
Total Volume1,471.21,2103,2501,4021,279
Total OI13,162.111,78214,46012,61012,870

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$17.91$18.0022.5%6.4%20.4%9.2%21.3%0.7%2.4%158.0K-1.9M-21.4K2.3527.02N/AN/A4199835,7046,906
2017-01-04$18.30$18.0022.7%6.5%21.4%9.7%22.3%4.2%4.2%210.4K-2.8M-22.6K1.9042.72N/AN/A5179835,7087,043
2017-01-05$18.34$18.0022.9%7.5%21.1%10.3%26.5%4.4%-0.7%242.8K-3.1M-22.1K2.6646.84N/AN/A3699815,7927,043
2017-01-06$18.40$18.0022.1%7.5%20.4%8.2%26.4%3.9%-1.0%272.8K-3.4M-22.0K2.7047.47N/AN/A3639805,8357,044
2017-01-09$18.33$18.0023.3%7.9%16.8%11.7%27.6%3.4%-2.0%256.2K-3.1M-21.4K2.5051.42N/AN/A4021,0035,8467,046
2017-01-10$18.59$18.0021.0%7.4%17.5%5.1%26.7%2.6%-2.3%314.2K-3.9M-21.1K0.4660.05N/AN/A2,2301,0205,8347,022
2017-01-11$18.85$18.0025.7%7.4%18.1%18.9%27.4%4.0%-2.1%444.2K-6.0M-26.5K2.1447.72N/AN/A5011,0737,1517,039
2017-01-12$18.63$18.0025.1%7.2%18.5%17.1%27.0%3.4%-0.9%404.9K-4.9M-26.7K1.9044.95N/AN/A5721,0887,1687,075
2017-01-13$18.70$18.0025.3%7.2%18.0%17.5%26.8%2.3%-1.2%437.0K-5.5M-26.4K1.5041.13N/AN/A6049057,2347,093
2017-01-17$18.45$18.0029.0%8.3%17.1%28.4%27.4%1.1%-3.8%316.0K-4.3M-25.5K2.6256.30N/AN/A3699667,2287,121
2017-01-18$18.34$18.0026.8%7.7%16.1%22.0%24.4%5.9%-2.8%220.8K-3.8M-23.7K2.6683.98N/AN/A3699817,2297,174
2017-01-19$18.38$18.0026.6%7.6%15.6%21.6%23.7%5.8%-1.9%151.3K-3.9M-23.5K2.2567.90N/AN/A4229497,2417,194
2017-01-20$18.64$18.0024.1%6.9%15.8%14.3%22.5%8.4%-1.2%86.7K-4.4M-23.8K2.2599.66N/AN/A4329707,2627,198
2017-01-23$18.66$18.0024.6%7.0%15.7%15.6%22.6%8.9%-1.5%90.5K-3.2M-23.4K1.7437.65N/AN/A4808375,1236,659
2017-01-24$19.02$18.0025.6%7.3%16.1%18.5%26.0%3.1%-2.5%111.5K-4.0M-24.2K2.0243.38N/AN/A4008105,1896,683
2017-01-25$19.45$18.0025.8%7.4%17.4%19.1%24.9%2.3%-2.0%125.9K-5.1M-23.2K1.1935.99N/AN/A6017135,2086,709
2017-01-26$19.43$18.0026.5%7.6%17.4%21.2%25.5%4.8%-3.5%156.5K-5.5M-23.3K1.1433.64N/AN/A5986835,5286,739
2017-01-27$19.13$18.0026.4%7.6%17.8%20.9%27.7%0.7%-3.7%161.6K-5.1M-24.4K1.3032.45N/AN/A5747485,8546,740
2017-01-30$18.97$19.0027.4%7.8%18.1%23.7%27.1%1.2%-3.8%140.0K-4.5M-24.3K1.2745.17N/AN/A5507005,8956,815
2017-01-31$19.17$19.0027.1%7.8%18.3%22.9%26.9%6.7%-3.5%163.4K-4.9M-24.5K1.1136.56N/AN/A6066736,0366,834