MFC Options History — March 2017

In March 2017, MFC traded between $17.09 and $18.39. ATM implied volatility averaged 21.3%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.6% (HV 20d: 19.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-03-08: Highest Volume — 4,488 contracts
  • 2017-03-13: Largest IV spike — 23.0% change
  • 2017-03-14: Highest IV Rank — 25.8%
  • 2017-03-24: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.92$17.09$18.39$18.32$17.81
Max Pain$17.57$17.00$18.00$18.00$18.00
ATM IV21.3%18.5%26.6%21.5%18.5%
Expected Move6.0%5.3%6.8%6.2%5.3%
HV 20d19.7%17.4%24.0%17.7%20.9%
HV 60d18.4%17.1%19.4%18.9%18.8%
IV Rank9.1%0.3%25.8%9.8%0.3%
IV Percentile16.9%0.4%55.2%13.1%0.4%
Term Structure2.7%-2.1%4.8%-0.3%4.8%
VWIV20.0%16.7%24.6%21.5%17.2%
Skew 25d3.4%-2.8%8.1%0.7%4.7%
Skew 10d5.6%-11.9%17.5%0.9%7.2%
Call IV 25d19.2%16.1%22.5%19.6%16.9%
Put IV 25d22.6%18.1%30.7%20.3%21.6%
Bid-Ask Spread %34.1414.7686.0629.4320.31
Gamma HHI0.350.280.430.310.36
Net GEX122.6K21.2K247.0K80.3K207.8K
Net DEX-1.4M-2.6M634.7K-2.1M-1.2M
Net VEX-21.3K-24.9K-13.6K-20.2K-20.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.321.741.421.27
Total Volume1,466.5224554,4881,833709
Total OI11,796.3048,35615,32312,5239,082

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$18.32$18.0021.5%6.2%17.7%9.8%21.5%0.7%-0.3%80.3K-2.1M-20.2K1.4229.43N/AN/A7571,0765,6836,840
2017-03-02$18.11$18.0021.0%6.0%18.0%8.2%24.6%8.1%0.7%56.1K-1.7M-20.8K1.1043.55N/AN/A7678455,7867,069
2017-03-03$18.26$18.0021.8%6.2%18.0%10.6%21.9%0.3%-2.1%76.5K-1.9M-20.5K1.3338.80N/AN/A7691,0205,8167,069
2017-03-06$18.38$17.0022.8%6.2%17.8%14.0%20.1%5.9%2.5%76.3K-2.0M-21.1K1.0729.06N/AN/A8068605,8827,300
2017-03-07$18.20$17.0020.5%5.8%17.4%6.6%19.5%4.2%3.2%38.9K-1.7M-21.6K0.9822.98N/AN/A8007875,8947,408
2017-03-08$18.12$17.0020.4%5.8%17.5%6.4%19.1%3.2%2.8%21.2K-1.4M-21.2K0.3262.37N/AN/A3,3961,0925,9017,421
2017-03-09$17.97$17.0021.0%5.8%17.5%8.2%20.9%3.0%3.5%53.2K-1.2M-23.9K1.2134.83N/AN/A8521,0337,4767,436
2017-03-10$17.97$17.0020.1%5.7%17.5%5.2%20.5%3.3%2.3%59.3K-1.4M-23.9K1.3727.46N/AN/A8021,1027,5957,340
2017-03-13$18.17$17.0024.7%6.0%17.9%19.8%20.8%3.3%2.9%88.5K-2.0M-24.7K1.3229.68N/AN/A8291,0967,6177,392
2017-03-14$18.05$17.0026.6%6.0%17.8%25.8%20.3%2.2%1.7%39.5K-1.5M-23.4K1.3823.85N/AN/A7931,0967,6367,403
2017-03-15$18.39$17.0021.6%6.2%18.2%10.2%18.7%5.0%1.6%138.0K-2.6M-24.3K1.3949.44N/AN/A8491,1827,6397,403
2017-03-16$18.36$17.0020.7%5.9%18.2%7.3%18.6%3.9%1.8%131.8K-2.6M-24.9K1.5122.13N/AN/A7351,1127,7847,516
2017-03-17$18.13$17.0019.4%5.6%18.5%3.2%20.0%1.8%3.5%247.0K-2.4M-23.4K1.7486.06N/AN/A7121,2387,8027,521
2017-03-20$17.98$18.0018.8%5.4%18.6%1.1%18.9%3.6%4.1%225.5K-1.6M-21.7K0.4914.76N/AN/A4862406,4361,920
2017-03-21$17.25$18.0021.8%6.2%23.1%10.5%21.6%-2.8%3.3%154.6K-494.5K-19.2K1.2234.97N/AN/A2052506,4861,964
2017-03-22$17.09$18.0020.4%5.8%23.1%6.2%20.1%2.9%4.6%89.7K634.7K-13.6K0.5745.35N/AN/A5993436,4972,046
2017-03-23$17.39$18.0023.0%6.6%24.0%14.5%20.2%4.7%3.5%150.5K-329.4K-19.2K0.5025.42N/AN/A6043026,5602,170
2017-03-24$17.48$18.0023.8%6.8%23.2%17.0%20.1%1.4%2.5%165.0K-667.6K-20.4K0.9824.10N/AN/A3383306,5492,180
2017-03-27$17.47$18.0023.2%6.6%23.1%15.0%21.4%4.5%4.7%148.4K-244.9K-18.3K1.2422.32N/AN/A3354146,5612,213
2017-03-28$17.70$18.0020.8%6.0%22.8%7.7%19.6%4.3%3.1%173.7K-702.5K-20.2K1.1729.72N/AN/A3504106,5832,366
2017-03-29$17.81$18.0019.0%5.4%21.5%1.7%18.7%4.7%4.4%195.7K-961.7K-21.2K1.3736.90N/AN/A2934006,6722,363
2017-03-30$17.79$18.0018.7%5.4%21.1%0.9%16.7%5.0%3.5%201.7K-1.0M-21.0K1.2531.71N/AN/A3183986,6782,360
2017-03-31$17.81$18.0018.5%5.3%20.9%0.3%17.2%4.7%4.8%207.8K-1.2M-20.9K1.2720.31N/AN/A3133966,7192,363