MFC Options History — September 2017

In September 2017, MFC traded between $19.38 and $20.30. ATM implied volatility averaged 19.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.2% (HV 20d: 19.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2017-09-25: Highest Volume — 1,661 contracts
  • 2017-09-05: Largest IV spike — 31.2% change
  • 2017-09-05: Highest IV Rank — 26.9%
  • 2017-09-05: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.88$19.38$20.30$19.92$20.29
Max Pain$19.95$19.00$20.00$19.00$20.00
ATM IV19.2%17.1%23.0%17.5%18.2%
Expected Move5.5%5.0%6.3%5.0%5.2%
HV 20d19.0%15.2%27.9%26.0%15.2%
HV 60d20.5%19.4%21.4%21.0%19.5%
IV Rank12.7%2.2%26.9%3.9%8.7%
IV Percentile15.2%0.8%59.1%1.2%5.2%
Term Structure2.1%0.5%3.1%0.5%1.6%
VWIV18.2%12.6%20.2%19.3%15.8%
Skew 25d4.0%0.6%8.9%7.8%0.6%
Skew 10d5.3%-1.1%12.5%12.5%0.5%
Call IV 25d17.2%12.6%19.3%13.8%15.4%
Put IV 25d21.1%16.1%23.1%21.6%16.1%
Bid-Ask Spread %14.048.2919.0611.7411.18
Gamma HHI0.430.320.700.390.33
Net GEX122.7K-592.7K510.7K-34.9K365.5K
Net DEX-5.3M-7.3M-2.1M-5.9M-7.3M
Net VEX-22.1K-26.5K-18.9K-24.3K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.241.150.800.30
Total Volume951.654601,6618351,191
Total OI13,086.56,27818,69218,2779,286

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$19.92$19.0017.5%5.0%26.0%3.9%19.3%7.8%0.5%-34.9K-5.9M-24.3K0.8011.74N/AN/A4633726,01312,264
2017-09-05$19.38$20.0023.0%6.3%27.6%26.9%18.9%3.8%1.5%-484.1K-2.1M-26.5K1.1513.75N/AN/A4244866,03312,280
2017-09-06$19.54$20.0017.1%5.6%27.9%2.2%20.1%4.1%2.1%-383.5K-3.0M-26.0K1.0218.87N/AN/A4925016,04112,390
2017-09-07$19.41$20.0021.0%6.1%27.5%18.5%19.9%3.7%2.2%-576.2K-2.8M-25.8K1.1311.80N/AN/A4455016,07712,414
2017-09-08$19.46$20.0020.0%6.1%20.7%14.5%19.6%3.5%2.2%-592.7K-2.7M-25.2K0.8512.74N/AN/A4663976,06912,405
2017-09-11$19.76$20.0022.3%5.7%19.0%23.9%18.8%4.4%2.4%15.6K-5.8M-21.2K0.6819.06N/AN/A5853996,09012,412
2017-09-12$19.93$20.0018.5%5.4%19.3%8.2%19.1%3.1%2.7%383.1K-6.7M-19.9K0.8217.37N/AN/A4893996,16512,423
2017-09-13$19.95$20.0018.7%5.4%19.2%8.8%18.1%2.6%1.7%435.0K-6.8M-19.7K0.5212.95N/AN/A5112656,17512,423
2017-09-14$20.02$20.0018.9%5.4%18.0%12.8%16.6%4.1%1.7%510.7K-6.9M-19.6K0.6614.94N/AN/A4192756,16212,439
2017-09-15$19.90$20.0018.7%5.4%17.9%11.7%18.2%3.0%2.2%224.8K-6.1M-19.4K0.5413.88N/AN/A5052756,23612,456
2017-09-18$19.66$20.0018.9%5.4%16.1%12.9%19.0%0.9%2.3%235.4K-4.4M-19.2K0.6310.22N/AN/A3852414,6631,615
2017-09-19$19.79$20.0019.1%5.5%16.2%13.9%19.1%3.6%2.2%252.2K-4.7M-19.6K0.7511.55N/AN/A3132344,7751,619
2017-09-20$19.82$20.0019.0%5.4%16.2%13.1%15.4%7.0%2.9%266.7K-4.8M-19.2K0.5913.67N/AN/A3121844,8301,618
2017-09-21$19.93$20.0018.9%5.4%16.2%12.6%12.6%8.9%1.6%275.6K-5.2M-19.1K0.7812.49N/AN/A2582024,9181,638
2017-09-22$20.04$20.0018.0%5.2%15.6%8.0%18.1%3.0%2.9%282.8K-5.4M-18.9K0.7816.82N/AN/A9257234,9591,651
2017-09-25$20.09$20.0019.5%5.6%15.6%15.9%19.4%2.1%3.0%290.3K-5.8M-21.5K0.7714.92N/AN/A9417205,6642,176
2017-09-26$20.06$20.0019.4%5.6%15.3%15.8%20.2%3.5%1.4%312.5K-5.9M-25.0K0.8216.98N/AN/A8767206,3342,698
2017-09-27$20.30$20.0019.4%5.6%15.7%15.7%19.1%4.7%1.7%321.5K-6.8M-24.5K0.2417.59N/AN/A8942116,3892,698
2017-09-28$20.30$20.0017.7%5.1%15.4%6.3%15.7%4.9%3.1%352.9K-7.0M-24.3K0.268.29N/AN/A8232116,5412,691
2017-09-29$20.29$20.0018.2%5.2%15.2%8.7%15.8%0.6%1.6%365.5K-7.3M-23.9K0.3011.18N/AN/A9182736,5952,691