MFC Options History — June 2017

In June 2017, MFC traded between $17.20 and $18.84. ATM implied volatility averaged 20.7%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.2% (HV 20d: 22.9%). 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 22 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-06-07: Highest Volume — 4,086 contracts
  • 2017-06-02: Largest IV spike — 24.9% change
  • 2017-06-12: Highest IV Rank — 24.6%
  • 2017-06-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.96$17.20$18.84$17.61$18.80
Max Pain$17.68$17.00$18.00$18.00$18.00
ATM IV20.7%17.2%24.6%17.2%19.4%
Expected Move5.8%4.9%6.2%4.9%5.6%
HV 20d22.9%17.5%26.9%26.5%21.2%
HV 60d21.1%19.9%21.9%21.4%21.5%
IV Rank11.5%0.0%24.6%0.0%7.4%
IV Percentile20.7%0.0%61.5%0.0%8.3%
Term Structure2.1%0.4%3.9%2.2%2.6%
VWIV19.9%18.9%21.1%19.5%20.2%
Skew 25d4.3%1.0%8.1%4.5%5.4%
Skew 10d7.0%0.0%14.5%4.0%6.9%
Call IV 25d17.7%14.0%20.3%17.0%14.9%
Put IV 25d22.0%20.1%23.5%21.6%20.3%
Bid-Ask Spread %17.799.8597.0614.7919.54
Gamma HHI0.480.250.780.630.46
Net GEX347.0K94.9K963.2K465.2K300.6K
Net DEX-2.4M-5.7M712.2K-846.4K-4.8M
Net VEX-20.5K-27.0K-15.8K-19.4K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.101.890.421.86
Total Volume1,971.0913954,0862,853557
Total OI10,199.6365,09013,16412,9877,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$17.61$18.0017.2%4.9%26.5%0.0%19.5%4.5%2.2%465.2K-846.4K-19.4K0.4214.79N/AN/A2,0118429,2723,715
2017-06-02$17.50$18.0021.4%6.1%26.2%14.0%20.8%1.0%0.4%404.9K-667.7K-19.3K0.3114.88N/AN/A2,0496419,2823,692
2017-06-05$17.44$17.0021.5%6.0%25.9%14.1%19.5%3.2%1.5%388.5K-454.1K-18.4K0.329.85N/AN/A1,9276119,3323,693
2017-06-06$17.20$17.0020.9%6.2%26.3%12.1%19.6%5.0%1.3%211.4K712.2K-16.9K0.2811.66N/AN/A1,8925229,4383,723
2017-06-07$17.21$17.0022.0%6.2%26.1%15.8%19.8%4.2%1.1%211.0K681.0K-16.7K0.1511.48N/AN/A3,5645229,4433,721
2017-06-08$17.47$17.0023.3%6.1%26.7%20.1%20.2%6.0%1.2%261.9K260.3K-16.8K0.1220.23N/AN/A3,4804068,7113,721
2017-06-09$17.89$17.0021.7%5.7%26.9%14.8%20.0%3.8%1.6%542.0K-1.9M-17.8K0.1516.73N/AN/A1,9152838,7133,731
2017-06-12$18.06$17.0024.6%5.6%26.3%24.6%19.9%3.7%2.2%621.2K-2.8M-17.4K0.1012.64N/AN/A1,9282008,8263,734
2017-06-13$18.27$17.0024.6%5.8%26.1%24.3%19.7%3.7%1.0%645.2K-4.1M-17.2K0.2316.29N/AN/A2,3485298,9863,736
2017-06-14$18.14$18.0020.9%6.0%26.3%12.4%20.1%3.6%1.5%753.5K-4.0M-17.8K0.2697.06N/AN/A2,0735319,3503,508
2017-06-15$18.11$18.0020.8%6.0%19.2%11.9%19.5%2.9%0.7%963.2K-4.0M-17.2K0.2615.91N/AN/A2,0115159,3173,503
2017-06-16$18.24$18.0020.7%5.9%18.2%11.7%19.4%2.6%1.6%94.9K-5.7M-16.2K0.4511.15N/AN/A1,8318209,3193,495
2017-06-19$18.53$18.0019.2%5.5%17.5%6.7%20.0%4.4%2.4%109.6K-2.0M-15.8K0.2011.27N/AN/A2,2174362,9142,176
2017-06-20$18.27$18.0020.5%5.9%18.3%11.0%20.6%3.8%3.3%209.9K-3.2M-25.2K0.1515.97N/AN/A2,2343344,8912,078
2017-06-21$17.81$18.0019.8%5.7%20.7%8.7%20.2%1.9%2.5%176.7K-2.1M-24.1K1.2310.68N/AN/A1912344,9522,080
2017-06-22$17.80$18.0019.5%5.6%20.7%7.7%19.7%2.0%2.2%179.3K-2.2M-24.1K1.2713.62N/AN/A1842344,9662,090
2017-06-23$17.81$18.0018.5%5.3%20.6%4.4%18.9%7.1%3.9%186.7K-2.2M-24.0K1.2410.93N/AN/A1762195,0242,090
2017-06-26$17.77$18.0019.3%5.5%20.7%7.1%19.4%6.5%3.3%178.3K-2.0M-23.8K0.4711.99N/AN/A4752245,0362,120
2017-06-27$18.01$18.0019.7%5.6%20.8%8.2%19.8%8.1%2.9%202.7K-2.6M-24.5K0.5313.37N/AN/A4222245,0492,130
2017-06-28$18.45$18.0021.0%6.0%21.5%12.5%21.1%5.5%2.1%226.2K-3.5M-25.1K0.3411.37N/AN/A7442565,0602,130
2017-06-29$18.84$18.0018.4%5.3%21.4%4.1%20.9%6.1%3.5%300.5K-5.0M-26.6K1.8919.86N/AN/A1913615,6932,062
2017-06-30$18.80$18.0019.4%5.6%21.2%7.4%20.2%5.4%2.6%300.6K-4.8M-27.0K1.8619.54N/AN/A1953625,7482,142