MFC Options History — October 2017

In October 2017, MFC traded between $20.12 and $20.80. ATM implied volatility averaged 20.7%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.0% (HV 20d: 11.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-10-09: Highest Volume — 1,148 contracts
  • 2017-10-11: Largest IV spike — 19.1% change
  • 2017-10-30: Highest IV Rank — 49.0%
  • 2017-10-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.47$20.12$20.80$20.24$20.12
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV20.7%17.2%25.5%18.4%25.2%
Expected Move6.1%4.9%7.3%5.3%7.2%
HV 20d11.7%8.9%14.7%14.7%12.4%
HV 60d18.8%18.3%19.3%19.2%18.4%
IV Rank22.6%3.2%49.0%10.1%47.3%
IV Percentile35.3%1.2%82.9%6.7%81.3%
Term Structure-1.6%-4.9%4.6%2.2%-4.2%
VWIV21.7%17.1%26.6%17.3%25.4%
Skew 25d3.7%-1.7%6.6%-0.2%3.4%
Skew 10d7.3%-1.6%21.8%0.2%5.1%
Call IV 25d19.4%16.1%24.3%17.0%24.3%
Put IV 25d23.1%16.3%27.7%16.8%27.7%
Bid-Ask Spread %27.008.4380.9011.6622.96
Gamma HHI0.330.290.350.330.35
Net GEX355.4K250.5K419.2K380.6K309.2K
Net DEX-7.7M-9.7M-5.8M-7.0M-5.8M
Net VEX-20.1K-23.8K-17.7K-23.8K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.311.230.320.79
Total Volume798.6824451,1481,095833
Total OI9,2297,8399,8609,4488,521

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$20.24$20.0018.4%5.3%14.7%10.1%17.3%-0.2%2.2%380.6K-7.0M-23.8K0.3211.66N/AN/A8302656,6952,753
2017-10-03$20.24$20.0017.2%4.9%10.2%3.4%17.4%-1.7%4.6%385.9K-6.8M-23.5K0.318.43N/AN/A8422656,6752,762
2017-10-04$20.35$20.0018.3%5.2%10.1%9.3%17.1%1.1%2.8%379.3K-7.4M-22.9K0.3114.31N/AN/A8422656,7052,762
2017-10-05$20.24$20.0018.9%5.9%9.9%12.9%20.0%5.1%-0.3%391.2K-6.9M-23.2K0.339.54N/AN/A8412776,7252,762
2017-10-06$20.27$20.0017.3%6.0%9.9%4.0%20.5%6.1%-1.0%398.7K-7.1M-23.1K0.3110.89N/AN/A8582676,7272,784
2017-10-09$20.18$20.0017.6%6.4%8.9%5.5%21.9%5.6%-2.2%414.8K-6.8M-22.0K0.3412.48N/AN/A8582906,7072,784
2017-10-10$20.72$20.0017.2%5.7%12.4%3.2%21.3%3.9%-1.4%367.8K-9.1M-20.0K0.6719.97N/AN/A4482986,7272,808
2017-10-11$20.80$20.0020.4%5.9%12.4%21.1%21.5%5.2%-2.2%387.2K-9.6M-19.3K0.5117.92N/AN/A4242186,8662,818
2017-10-12$20.64$20.0020.8%6.0%12.9%23.3%22.2%2.8%-1.9%398.0K-9.1M-20.5K0.5527.30N/AN/A4262356,9632,829
2017-10-13$20.73$20.0020.2%5.8%12.6%20.0%20.5%3.8%-1.3%387.2K-9.5M-19.3K0.7346.71N/AN/A3232356,9532,851
2017-10-16$20.76$20.0021.3%6.1%11.4%26.2%21.5%3.1%-2.0%382.9K-9.6M-18.5K0.9034.33N/AN/A2572326,9522,851
2017-10-17$20.71$20.0020.5%5.9%11.5%21.5%21.4%2.8%-1.4%417.7K-9.1M-18.9K0.9819.20N/AN/A2462406,9812,846
2017-10-18$20.77$20.0020.4%5.8%11.5%20.8%20.8%3.5%-1.4%396.9K-9.6M-18.0K0.9168.20N/AN/A2512296,9802,857
2017-10-19$20.80$20.0020.8%6.0%11.4%23.4%21.1%4.1%-1.5%419.2K-9.7M-17.9K1.1442.86N/AN/A2082376,9802,863
2017-10-20$20.61$20.0020.6%5.9%12.0%22.3%22.3%5.7%-2.7%250.5K-9.1M-18.3K1.0680.90N/AN/A2252386,9772,883
2017-10-23$20.53$20.0021.0%6.0%12.2%24.4%21.5%6.5%-2.7%261.7K-6.8M-17.7K0.6516.03N/AN/A6093935,5982,241
2017-10-24$20.52$20.0021.5%6.2%12.1%26.9%22.5%6.6%-2.7%289.1K-6.9M-18.9K1.2314.40N/AN/A3504295,8772,372
2017-10-25$20.29$20.0024.3%7.0%12.2%42.2%24.8%3.5%-2.5%298.5K-6.2M-19.4K0.8641.30N/AN/A4563935,9332,362
2017-10-26$20.24$20.0024.3%7.0%12.2%42.4%24.8%4.9%-3.5%293.8K-6.0M-19.6K0.8330.19N/AN/A4753935,9042,507
2017-10-27$20.23$20.0023.6%6.8%12.2%38.5%24.2%2.5%-4.0%306.4K-6.0M-19.4K1.0225.40N/AN/A3763845,9372,507
2017-10-30$20.24$20.0025.5%7.3%12.2%49.0%26.6%2.9%-4.9%303.3K-6.0M-18.8K0.8118.97N/AN/A4473635,9452,508
2017-10-31$20.12$20.0025.2%7.2%12.4%47.3%25.4%3.4%-4.2%309.2K-5.8M-19.4K0.7922.96N/AN/A4663676,0102,511