MFC Options History — February 2017

In February 2017, MFC traded between $17.94 and $19.16. ATM implied volatility averaged 22.7%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.5% (HV 20d: 17.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.39.

Notable Days

  • 2017-02-16: Highest Volume — 1,879 contracts
  • 2017-02-10: Largest IV drop — 30.0% change
  • 2017-02-06: Highest IV Rank — 34.4%
  • 2017-02-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.76$17.94$19.16$19.16$17.94
Max Pain$18.05$18.00$19.00$19.00$18.00
ATM IV22.7%18.4%31.0%27.2%20.9%
Expected Move6.2%5.3%7.9%7.8%6.0%
HV 20d17.2%14.2%18.9%18.3%16.2%
HV 60d20.0%18.0%24.7%24.5%18.5%
IV Rank11.2%0.0%34.4%23.1%7.9%
IV Percentile23.5%0.0%78.6%53.2%9.5%
Term Structure0.8%-3.6%3.7%-3.6%0.7%
VWIV21.9%16.5%29.3%28.1%21.5%
Skew 25d2.2%-6.4%7.1%4.9%-6.4%
Skew 10d5.0%-9.2%28.3%28.3%-9.2%
Call IV 25d20.9%13.4%26.5%26.5%23.0%
Put IV 25d23.1%16.6%31.3%31.3%16.6%
Bid-Ask Spread %47.5916.84109.6147.3534.67
Gamma HHI0.300.270.340.290.29
Net GEX144.1K37.1K199.1K166.5K37.1K
Net DEX-3.9M-5.7M-1.2M-5.1M-1.2M
Net VEX-22.6K-25.5K-19.4K-24.1K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.862.321.151.32
Total Volume1,387.3681,1271,8791,3071,504
Total OI13,161.36812,00114,02212,93412,522

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$19.16$19.0027.2%7.8%18.3%23.1%28.1%4.9%-3.6%166.5K-5.1M-24.1K1.1547.35N/AN/A6086996,0996,835
2017-02-02$18.91$18.0026.8%6.8%17.8%22.1%24.5%3.5%-0.2%163.2K-4.5M-24.4K1.6879.93N/AN/A4747986,1936,866
2017-02-03$19.09$18.0029.3%6.7%18.1%29.3%23.1%3.2%-0.2%170.6K-5.0M-24.5K1.0543.17N/AN/A6546896,3166,986
2017-02-06$18.82$18.0031.0%6.8%18.9%34.4%24.3%4.6%-0.9%164.8K-4.4M-24.6K1.1427.17N/AN/A6026876,4826,998
2017-02-07$18.81$18.0028.9%6.6%18.9%28.2%24.0%4.1%1.1%156.3K-3.9M-25.5K1.4229.70N/AN/A5017116,5057,020
2017-02-08$18.65$18.0023.3%6.7%18.5%11.7%23.3%3.4%-0.6%144.9K-3.6M-23.9K1.3897.22N/AN/A5157116,4997,036
2017-02-09$18.59$18.0027.6%7.9%17.8%24.5%29.3%-0.0%0.7%157.3K-3.9M-23.5K1.40109.61N/AN/A4946906,6407,058
2017-02-10$18.66$18.0019.3%5.5%17.4%0.2%20.7%1.4%2.5%135.9K-3.9M-23.1K1.5744.90N/AN/A5548696,6747,089
2017-02-13$18.79$18.0019.9%5.7%17.5%1.8%16.5%5.8%2.0%158.6K-4.0M-22.1K1.6725.87N/AN/A4387326,6597,061
2017-02-14$19.08$18.0019.2%5.5%17.5%0.0%18.8%1.6%2.8%184.5K-5.3M-22.3K1.8529.40N/AN/A3957326,6777,141
2017-02-15$19.12$18.0018.9%5.4%17.3%0.0%19.1%1.8%2.9%199.1K-5.7M-22.2K2.3244.49N/AN/A3838896,7197,141
2017-02-16$19.05$18.0018.7%5.3%17.4%0.0%19.5%0.7%3.5%82.6K-5.1M-22.2K0.8635.31N/AN/A1,0128676,7617,261
2017-02-17$18.93$18.0018.4%5.3%17.0%0.0%18.7%2.5%3.7%180.6K-3.3M-21.6K1.0216.84N/AN/A7507686,0677,266
2017-02-21$18.97$18.0019.3%5.5%17.0%2.6%18.4%3.0%0.6%180.7K-4.2M-21.1K1.0928.37N/AN/A5786305,5436,458
2017-02-22$18.88$18.0019.5%5.6%15.7%3.5%22.0%7.1%0.5%180.5K-4.1M-21.0K1.79107.53N/AN/A5701,0225,5736,458
2017-02-23$18.57$18.0020.4%5.8%14.2%6.1%20.7%-0.5%-0.6%132.1K-3.1M-21.8K1.3829.47N/AN/A6739325,6196,752
2017-02-24$18.19$18.0021.1%6.1%15.6%8.6%22.1%2.9%-0.3%78.7K-2.0M-20.9K1.0424.55N/AN/A8558865,6846,762
2017-02-27$18.29$18.0021.4%6.1%15.2%9.3%21.6%-1.1%0.2%63.5K-2.0M-20.8K1.3548.62N/AN/A6338555,7016,945
2017-02-28$17.94$18.0020.9%6.0%16.2%7.9%21.5%-6.4%0.7%37.1K-1.2M-19.4K1.3234.67N/AN/A6498555,6826,840