MFC Options History — August 2017

In August 2017, MFC traded between $19.17 and $20.60. ATM implied volatility averaged 21.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.1% (HV 20d: 22.3%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 4.26.

Notable Days

  • 2017-08-11: Highest Volume — 3,943 contracts
  • 2017-08-09: Largest IV drop — 22.2% change
  • 2017-08-07: Highest IV Rank — 54.6%
  • 2017-08-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.91$19.17$20.60$20.55$19.67
Max Pain$18.91$18.00$19.00$18.00$19.00
ATM IV21.2%16.6%29.8%23.4%16.6%
Expected Move5.8%4.8%7.3%6.7%4.8%
HV 20d22.3%14.8%26.6%15.6%25.5%
HV 60d21.3%20.3%23.2%21.3%21.1%
IV Rank17.6%0.0%54.6%27.0%0.0%
IV Percentile32.3%0.0%95.6%61.5%0.0%
Term Structure0.7%-5.0%3.7%-3.5%2.2%
VWIV21.1%17.5%28.0%28.0%17.5%
Skew 25d4.7%-0.2%8.1%8.1%3.4%
Skew 10d5.4%-6.9%14.5%13.4%4.0%
Call IV 25d17.7%14.3%21.7%20.5%15.3%
Put IV 25d22.5%18.6%28.6%28.6%18.6%
Bid-Ask Spread %15.469.8429.1623.549.84
Gamma HHI0.440.290.630.300.55
Net GEX-106.2K-376.2K102.3K40.4K-287.8K
Net DEX-4.8M-7.8M-922.7K-7.7M-4.1M
Net VEX-31.5K-36.8K-27.2K-33.3K-27.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.260.3812.3411.600.85
Total Volume2,046.6097373,9433,668777
Total OI18,958.21717,68920,05919,03618,262

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$20.55$18.0023.4%6.7%15.6%27.0%28.0%8.1%-3.5%40.4K-7.7M-33.3K11.6023.54N/AN/A2913,3776,83912,197
2017-08-02$20.60$18.0025.3%7.3%15.6%35.1%27.1%6.8%-5.0%43.4K-7.7M-33.4K12.3412.97N/AN/A2633,2466,86112,229
2017-08-03$20.44$19.0025.8%6.3%16.0%37.1%22.8%4.3%0.1%48.0K-7.3M-33.1K8.4623.58N/AN/A3863,2656,89712,229
2017-08-04$20.48$19.0025.9%6.4%15.3%37.8%20.2%3.4%0.2%64.2K-7.5M-33.0K10.5719.52N/AN/A3113,2867,01912,249
2017-08-07$20.47$19.0029.8%6.3%15.3%54.6%19.4%7.5%-0.1%73.0K-7.5M-32.2K8.5512.02N/AN/A3843,2837,06512,290
2017-08-08$20.47$19.0029.1%6.2%14.8%51.3%18.7%6.4%1.4%102.3K-7.8M-31.7K12.1016.81N/AN/A2743,3167,19412,316
2017-08-09$20.16$19.0022.6%6.5%16.0%23.5%23.8%3.8%-0.0%25.8K-5.9M-34.4K8.0110.28N/AN/A4073,2617,24412,374
2017-08-10$19.17$19.0022.3%6.4%23.0%22.2%22.4%3.9%1.1%-120.5K-922.7K-36.8K6.689.96N/AN/A5113,4147,35412,442
2017-08-11$19.70$19.0020.2%5.8%25.1%13.0%22.4%7.1%1.8%-23.1K-3.8M-35.7K7.5214.47N/AN/A4633,4807,47812,485
2017-08-14$19.70$19.0018.4%5.3%25.0%5.5%21.7%4.5%1.9%-47.6K-4.0M-33.6K1.2911.76N/AN/A4585897,47612,554
2017-08-15$19.77$19.0017.8%5.1%25.0%2.8%19.7%4.4%3.7%-43.2K-4.3M-32.7K1.4219.62N/AN/A4215977,48512,546
2017-08-16$20.15$19.0018.5%5.3%25.0%5.7%21.8%4.1%2.1%59.6K-7.1M-29.6K1.2428.77N/AN/A4775937,49012,554
2017-08-17$19.99$19.0020.4%5.9%25.2%14.1%26.1%2.6%0.7%83.0K-5.8M-31.3K0.3829.16N/AN/A1,2694797,48712,572
2017-08-18$19.50$19.0021.3%6.1%26.6%17.7%18.9%-0.2%0.9%-329.7K-2.4M-32.1K1.0215.01N/AN/A4684796,87712,583
2017-08-21$19.45$19.0021.8%6.3%26.2%20.1%20.1%5.7%0.5%-322.8K-1.8M-31.8K0.8211.17N/AN/A4193425,54712,142
2017-08-22$19.50$19.0019.6%5.6%25.5%10.5%18.9%2.8%1.2%-330.0K-2.7M-30.9K0.8110.27N/AN/A4493655,61912,162
2017-08-23$19.61$19.0019.4%5.5%25.3%9.5%19.4%4.5%-0.1%-244.5K-2.9M-31.0K0.9113.25N/AN/A3863515,71112,179
2017-08-24$19.87$19.0017.7%5.1%25.8%2.5%18.3%5.6%1.1%-162.7K-4.7M-27.6K0.8313.36N/AN/A4904055,72912,181
2017-08-25$19.87$19.0018.1%5.2%25.7%4.3%20.4%6.0%0.9%-160.1K-4.7M-28.4K0.8212.35N/AN/A4924045,78712,181
2017-08-28$19.70$19.0018.6%5.3%25.4%6.3%21.1%5.6%0.5%-252.6K-3.8M-28.0K0.7012.06N/AN/A5804045,79012,181
2017-08-29$19.64$19.0017.9%5.1%25.3%3.4%19.3%5.2%1.7%-281.8K-3.6M-28.1K0.4713.02N/AN/A7493525,81112,181
2017-08-30$19.51$19.0017.1%4.9%25.3%0.0%18.3%2.9%1.9%-376.2K-2.9M-28.5K0.7112.81N/AN/A6214386,00112,189
2017-08-31$19.67$19.0016.6%4.8%25.5%0.0%17.5%3.4%2.2%-287.8K-4.1M-27.2K0.859.84N/AN/A4203576,00912,253