MFC Options History — May 2017

In May 2017, MFC traded between $16.68 and $17.99. ATM implied volatility averaged 21.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.6% (HV 20d: 21.0%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2017-05-23: Highest Volume — 2,936 contracts
  • 2017-05-10: Largest IV drop — 16.7% change
  • 2017-05-03: Highest IV Rank — 31.6%
  • 2017-05-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.50$16.68$17.99$17.61$17.22
Max Pain$17.86$17.00$18.00$17.00$18.00
ATM IV21.6%17.8%27.7%23.2%21.6%
Expected Move6.1%5.1%7.9%6.7%6.2%
HV 20d21.0%16.7%26.6%17.2%25.1%
HV 60d19.8%18.1%22.0%18.4%20.9%
IV Rank11.9%0.0%31.6%16.3%12.8%
IV Percentile26.7%0.0%77.4%40.9%27.4%
Term Structure0.7%-4.4%4.3%-1.2%-0.1%
VWIV20.3%14.9%27.9%27.9%19.9%
Skew 25d2.7%-1.7%4.7%3.1%-1.7%
Skew 10d5.6%-3.6%34.1%2.2%-1.1%
Call IV 25d19.4%16.2%24.7%20.5%21.7%
Put IV 25d22.1%18.4%25.8%23.6%20.0%
Bid-Ask Spread %23.998.72107.7073.2511.18
Gamma HHI0.480.350.570.430.48
Net GEX366.4K110.6K540.4K367.2K260.9K
Net DEX-1.1M-3.1M1.4M-1.8M243.1K
Net VEX-19.2K-22.0K-14.3K-21.6K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.120.640.160.42
Total Volume2,439.2732,0172,9362,0372,815
Total OI12,090.45511,40712,87811,40712,878

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$17.61$17.0023.2%6.7%17.2%16.3%27.9%3.1%-1.2%367.2K-1.8M-21.6K0.1673.25N/AN/A1,7542838,7312,676
2017-05-02$17.56$17.0025.9%7.4%16.7%25.7%26.8%2.0%-2.3%349.0K-1.8M-21.2K0.1426.94N/AN/A1,7762418,7332,676
2017-05-03$17.58$17.0027.7%7.9%16.7%31.6%25.7%1.0%-4.4%357.3K-1.6M-20.8K0.13107.70N/AN/A1,8652438,7582,685
2017-05-04$17.79$18.0023.9%6.0%16.7%18.9%15.2%2.8%3.1%431.4K-2.5M-22.0K0.1249.53N/AN/A1,9532408,8692,693
2017-05-05$17.95$18.0020.5%5.7%16.9%7.3%14.9%2.7%1.6%487.9K-2.9M-21.7K0.1533.92N/AN/A1,7792758,9712,681
2017-05-08$17.99$18.0021.5%5.5%16.8%10.5%15.2%3.7%2.1%520.6K-3.1M-21.4K0.1614.06N/AN/A1,7762849,0342,727
2017-05-09$17.79$18.0021.7%5.2%17.2%11.2%19.1%1.1%4.3%493.6K-2.2M-19.0K0.1619.24N/AN/A1,7892909,0352,732
2017-05-10$17.85$18.0018.1%5.2%16.8%0.0%18.6%1.5%3.4%540.4K-2.4M-19.0K0.1613.01N/AN/A1,7922909,0492,762
2017-05-11$17.47$18.0021.0%6.0%18.5%10.1%20.6%4.4%1.6%371.3K-786.3K-17.4K0.2222.83N/AN/A1,7933889,0702,762
2017-05-12$17.20$18.0021.0%6.0%18.8%9.8%20.7%3.4%1.3%279.7K164.2K-16.4K0.3314.03N/AN/A2,0306608,9022,897
2017-05-15$17.46$18.0020.7%5.9%19.4%9.0%20.5%4.6%1.0%362.5K-628.6K-18.1K0.3718.67N/AN/A2,0437599,0123,082
2017-05-16$17.48$18.0020.7%5.9%19.4%8.9%19.8%2.2%1.5%366.2K-951.3K-18.3K0.2413.66N/AN/A2,1975359,0653,090
2017-05-17$16.68$18.0022.4%6.4%25.6%14.7%23.5%2.8%-0.2%110.6K1.4M-14.3K0.2911.67N/AN/A1,9245649,1423,108
2017-05-18$17.03$18.0023.4%6.7%25.5%18.2%24.1%4.0%-0.9%169.7K592.7K-16.9K0.2719.79N/AN/A2,0395599,1543,264
2017-05-19$17.40$18.0022.1%6.3%26.6%13.8%22.3%4.7%0.5%322.0K-628.0K-18.8K0.3111.22N/AN/A2,0306279,2803,364
2017-05-22$17.30$18.0021.3%6.1%24.6%10.8%17.8%-0.1%0.5%297.6K-210.1K-17.4K0.3312.10N/AN/A1,8075969,0383,112
2017-05-23$17.44$18.0021.7%6.2%24.8%12.4%17.7%2.4%0.2%365.2K-815.6K-18.2K0.6413.63N/AN/A1,7851,1519,0763,080
2017-05-24$17.54$18.0018.2%5.2%24.9%0.6%18.3%3.4%1.0%396.8K-948.8K-20.9K0.4812.95N/AN/A1,7888589,0913,580
2017-05-25$17.60$18.0017.8%5.1%24.6%0.0%18.5%4.3%2.4%427.5K-1.2M-20.4K0.4810.55N/AN/A1,8078749,0963,585
2017-05-26$17.61$18.0019.2%5.5%24.6%4.9%19.5%3.9%0.6%429.8K-1.4M-20.6K0.478.72N/AN/A1,8708749,0883,605
2017-05-30$17.45$18.0022.0%6.3%24.7%14.3%19.8%3.5%-0.6%353.5K-216.0K-18.5K0.359.16N/AN/A1,9786839,1523,605
2017-05-31$17.22$18.0021.6%6.2%25.1%12.8%19.9%-1.7%-0.1%260.9K243.1K-18.7K0.4211.18N/AN/A1,9888279,2333,645