MFC Options History — April 2017

In April 2017, MFC traded between $16.91 and $17.74. ATM implied volatility averaged 23.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.2% (HV 20d: 18.6%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2017-04-21: Highest Volume — 3,704 contracts
  • 2017-04-12: Largest IV spike — 30.3% change
  • 2017-04-17: Highest IV Rank — 33.4%
  • 2017-04-17: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.38$16.91$17.74$17.61$17.54
Max Pain$17.16$17.00$18.00$18.00$17.00
ATM IV23.7%19.3%28.2%19.5%22.3%
Expected Move7.1%5.5%8.1%5.6%6.4%
HV 20d18.6%13.6%21.0%21.0%17.1%
HV 60d18.6%17.8%19.0%18.9%18.6%
IV Rank18.1%2.8%33.4%3.4%13.3%
IV Percentile41.2%4.0%77.4%5.6%31.0%
Term Structure-1.1%-3.2%6.9%3.7%0.0%
VWIV25.5%19.9%29.2%19.9%26.9%
Skew 25d5.6%0.4%10.5%2.9%8.3%
Skew 10d7.5%-1.1%19.4%3.4%12.1%
Call IV 25d21.4%17.7%24.6%19.4%20.2%
Put IV 25d27.0%20.2%30.3%22.3%28.5%
Bid-Ask Spread %36.8822.4862.3838.8422.48
Gamma HHI0.330.280.380.350.37
Net GEX136.9K-43.7K293.6K172.8K293.6K
Net DEX-52.2K-1.3M1.4M-473.1K-1.3M
Net VEX-17.0K-20.5K-13.0K-18.8K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.071.711.370.11
Total Volume1,412.4215413,7046782,746
Total OI9,575.9479,08510,7459,08510,745

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$17.61$18.0019.5%5.6%21.0%3.4%19.9%2.9%3.7%172.8K-473.1K-18.8K1.3738.84N/AN/A2863926,7212,364
2017-04-04$17.60$18.0020.1%5.8%20.8%5.3%20.1%0.7%3.4%174.3K-560.1K-19.0K1.4626.50N/AN/A2693926,7252,364
2017-04-05$17.40$18.0019.3%5.5%21.0%2.8%19.9%0.4%6.9%156.9K-345.0K-18.3K1.5330.46N/AN/A2573926,7212,364
2017-04-06$17.43$17.0020.6%7.5%20.9%7.0%25.8%3.7%-1.1%147.5K-81.5K-16.9K1.7144.64N/AN/A2564396,7282,364
2017-04-07$17.37$17.0020.2%7.2%20.9%5.6%26.5%7.5%-1.8%135.2K83.9K-17.3K1.1933.97N/AN/A2563046,7342,464
2017-04-10$17.51$17.0021.2%6.8%20.7%8.8%26.0%9.8%-0.3%147.0K-50.8K-17.0K1.1726.63N/AN/A2633076,7342,532
2017-04-11$17.35$17.0020.8%7.8%20.8%8.2%27.1%9.2%-2.4%127.6K150.8K-16.9K0.9343.55N/AN/A2802616,7342,532
2017-04-12$17.24$17.0027.1%7.8%19.4%29.7%27.6%7.2%-2.6%102.6K351.0K-16.1K1.1027.90N/AN/A2923216,7162,582
2017-04-13$17.02$17.0026.8%7.7%19.7%28.5%27.6%4.6%-2.6%47.7K818.5K-15.3K0.9847.18N/AN/A3123056,7172,684
2017-04-17$17.12$17.0028.2%8.1%19.7%33.4%28.0%4.8%-2.4%21.1K898.0K-14.6K0.9540.60N/AN/A3223056,7392,800
2017-04-18$17.10$17.0026.9%7.7%19.6%29.0%27.3%5.0%-3.0%-14.8K1.1M-13.6K1.3325.63N/AN/A2963956,7392,875
2017-04-19$16.91$17.0026.6%7.6%13.6%28.0%28.1%6.6%-2.1%-43.7K1.4M-13.0K1.1631.84N/AN/A2883346,7592,885
2017-04-20$17.27$17.0026.2%7.5%15.3%26.7%24.8%5.5%-3.2%-6.8K906.1K-13.4K0.0762.38N/AN/A3,3492486,7762,905
2017-04-21$17.18$17.0026.9%7.7%14.1%29.1%25.7%5.5%-3.1%166.4K144.2K-16.8K0.0828.09N/AN/A3,4202847,5752,905
2017-04-24$17.67$17.0023.4%6.7%17.3%17.1%25.0%10.5%-2.0%236.3K-934.1K-18.5K0.1154.12N/AN/A1,9602087,1132,592
2017-04-25$17.74$17.0023.9%6.9%17.3%18.7%24.7%6.5%-2.6%254.2K-1.2M-19.1K0.1526.25N/AN/A1,8662797,2552,592
2017-04-26$17.69$17.0024.8%7.1%16.7%21.7%23.4%3.1%-2.7%261.0K-1.3M-19.7K0.1761.16N/AN/A1,8703097,3102,617
2017-04-27$17.49$17.0026.2%7.5%17.0%26.6%29.2%5.5%-2.3%221.7K-650.6K-18.8K0.1128.45N/AN/A2,4952787,3142,667
2017-04-28$17.54$17.0022.3%6.4%17.1%13.3%26.9%8.3%0.0%293.6K-1.3M-20.5K0.1122.48N/AN/A2,4632838,0712,674