MFC Options History — July 2017

In July 2017, MFC traded between $18.86 and $20.67. ATM implied volatility averaged 22.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.3% (HV 20d: 18.2%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 4.94.

Notable Days

  • 2017-07-19: Highest Volume — 7,384 contracts
  • 2017-07-12: Largest IV spike — 20.0% change
  • 2017-07-28: Highest IV Rank — 34.9%
  • 2017-07-28: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.84$18.86$20.67$18.86$20.67
Max Pain$17.85$17.00$18.00$18.00$18.00
ATM IV22.5%18.3%25.3%18.3%23.7%
Expected Move6.6%5.3%7.2%5.3%6.8%
HV 20d18.2%15.1%21.0%21.0%15.1%
HV 60d21.3%20.8%21.8%21.5%21.3%
IV Rank21.6%3.8%34.9%3.8%28.3%
IV Percentile48.0%1.6%77.4%1.6%66.3%
Term Structure-1.5%-5.0%3.5%3.2%-2.7%
VWIV23.8%18.8%27.4%18.8%26.5%
Skew 25d4.0%1.9%8.6%7.0%8.5%
Skew 10d8.0%1.2%14.0%11.3%14.0%
Call IV 25d20.6%13.8%23.3%13.8%19.2%
Put IV 25d24.6%20.8%27.8%20.8%27.8%
Bid-Ask Spread %26.5710.7587.1810.7517.38
Gamma HHI0.410.300.510.490.30
Net GEX212.9K-45.1K504.2K304.1K40.3K
Net DEX-7.1M-9.8M-5.2M-5.2M-7.9M
Net VEX-31.4K-39.6K-25.6K-26.3K-33.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.940.1912.901.478.66
Total Volume2,873.94457,3844453,721
Total OI13,731.17,93020,1567,93218,974

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$18.86$18.0018.3%5.3%21.0%3.8%18.8%7.0%3.2%304.1K-5.2M-26.3K1.4710.75N/AN/A1802655,7902,142
2017-07-05$18.94$18.0019.6%5.6%19.9%8.1%20.0%8.6%3.5%304.5K-5.3M-26.0K1.3913.98N/AN/A1932695,7912,139
2017-07-06$19.10$17.0020.8%6.7%19.9%12.0%24.5%2.8%-0.8%303.0K-5.7M-26.0K0.8618.97N/AN/A2812425,8212,143
2017-07-07$19.41$17.0021.0%6.6%20.0%12.5%21.5%3.8%-0.3%302.4K-6.6M-25.8K0.3714.09N/AN/A5592055,9302,156
2017-07-10$19.39$17.0021.7%6.6%18.8%15.0%23.4%2.4%-1.4%317.0K-6.6M-26.3K0.3311.43N/AN/A7202396,1722,184
2017-07-11$19.24$18.0020.2%6.9%19.2%9.8%24.0%3.8%-1.3%361.5K-6.4M-27.1K0.3625.63N/AN/A6692426,5032,194
2017-07-12$19.42$18.0024.2%6.9%19.0%23.1%22.5%3.1%-2.0%347.3K-7.0M-26.6K0.5418.22N/AN/A6263396,4722,194
2017-07-13$19.85$18.0023.6%6.8%19.8%27.7%23.9%2.2%-1.6%336.7K-8.2M-25.6K0.1975.76N/AN/A1,7633396,5912,300
2017-07-14$19.96$18.0022.5%6.5%19.6%23.1%24.7%2.8%-0.2%504.2K-9.8M-25.9K3.3476.77N/AN/A7452,4877,5312,342
2017-07-17$19.79$18.0023.2%6.7%20.2%26.2%24.7%1.9%-1.2%417.8K-8.5M-29.4K4.8116.22N/AN/A4882,3477,5604,356
2017-07-18$19.75$18.0022.9%6.6%19.8%24.9%25.3%5.0%-2.5%342.3K-7.5M-33.5K12.9018.61N/AN/A4916,3327,5436,259
2017-07-19$20.12$18.0022.6%6.5%19.4%23.4%23.2%3.2%-2.3%188.7K-7.6M-39.0K5.8012.27N/AN/A1,0866,2987,56212,218
2017-07-20$20.11$18.0023.1%6.6%15.9%25.4%23.9%3.9%-2.0%253.2K-8.0M-39.6K5.0716.33N/AN/A6573,3347,89812,228
2017-07-21$20.14$18.0022.8%6.5%15.8%24.3%23.2%3.4%-2.5%-45.1K-8.6M-38.5K5.3715.60N/AN/A6343,4027,88212,274
2017-07-24$20.36$18.0022.8%6.5%15.8%24.4%23.1%4.5%-2.1%-26.8K-6.4M-36.6K10.6415.98N/AN/A3163,3616,35712,113
2017-07-25$20.66$18.0022.5%6.4%15.6%22.9%24.3%2.0%-2.5%1.1K-7.5M-33.6K7.6020.56N/AN/A4393,3376,44812,115
2017-07-26$20.35$18.0023.8%6.8%17.4%28.6%24.1%3.6%-2.1%-3.1K-6.6M-36.2K9.4487.18N/AN/A3463,2656,57912,144
2017-07-27$20.32$18.0025.1%7.2%16.2%34.4%26.3%2.9%-5.0%62-6.5M-36.6K8.1519.35N/AN/A4003,2616,64312,147
2017-07-28$20.43$18.0025.3%7.2%15.1%34.9%27.4%5.3%-3.7%8.7K-6.8M-36.3K11.4126.39N/AN/A2903,3106,73012,197
2017-07-31$20.67$18.0023.7%6.8%15.1%28.3%26.5%8.5%-2.7%40.3K-7.9M-33.4K8.6617.38N/AN/A3853,3366,77712,197