MFC Options History — November 2017

In November 2017, MFC traded between $20.43 and $21.67. ATM implied volatility averaged 20.3%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.5% (HV 20d: 18.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2017-11-17: Highest Volume — 2,361 contracts
  • 2017-11-08: Largest IV drop — 31.1% change
  • 2017-11-07: Highest IV Rank — 78.2%
  • 2017-11-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.00$20.43$21.67$20.43$21.04
Max Pain$18.95$18.00$20.00$20.00$20.00
ATM IV20.3%17.0%30.0%26.5%19.6%
Expected Move5.5%4.9%7.6%7.6%5.6%
HV 20d18.8%10.8%21.7%13.4%20.7%
HV 60d16.3%14.4%18.7%18.7%15.2%
IV Rank21.6%2.7%78.2%54.4%18.5%
IV Percentile30.0%0.4%98.4%87.7%29.0%
Term Structure0.3%-6.2%2.7%-6.2%-0.7%
VWIV21.0%15.7%31.1%25.0%21.3%
Skew 25d4.9%2.4%10.6%10.4%2.4%
Skew 10d7.9%-5.7%17.2%13.8%4.7%
Call IV 25d17.1%9.3%22.2%22.2%20.2%
Put IV 25d22.0%18.5%32.7%32.7%22.6%
Bid-Ask Spread %28.509.2892.0292.0217.08
Gamma HHI0.330.270.460.310.34
Net GEX286.6K118.7K520.1K300.8K150.8K
Net DEX-6.4M-11.3M-2.0M-6.6M-2.7M
Net VEX-14.2K-18.7K-10.3K-18.7K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.122.160.890.14
Total Volume1,323.9056132,3619731,608
Total OI7,721.3334,54710,1888,5245,117

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$20.43$20.0026.5%7.6%13.4%54.4%25.0%10.4%-6.2%300.8K-6.6M-18.7K0.8992.02N/AN/A5164576,0082,516
2017-11-02$20.71$18.0024.1%5.7%14.1%41.3%21.5%3.7%0.5%289.8K-7.5M-18.2K0.8221.31N/AN/A5494516,0522,597
2017-11-03$20.84$18.0024.8%5.7%14.2%45.4%22.0%4.1%0.2%314.5K-8.0M-18.2K0.8869.05N/AN/A5464816,2682,617
2017-11-06$20.87$18.0027.3%5.9%14.0%62.4%23.0%4.4%-0.6%327.5K-8.2M-17.5K0.8110.42N/AN/A5284296,2872,577
2017-11-07$20.74$18.0030.0%5.8%10.8%78.2%23.0%5.7%0.2%328.0K-7.8M-17.7K2.1615.80N/AN/A1994296,2892,584
2017-11-08$20.68$18.0020.6%5.9%10.8%23.8%24.6%4.1%-0.1%327.8K-7.7M-17.0K0.2948.21N/AN/A1,1683366,2922,584
2017-11-09$21.67$18.0017.9%5.1%19.6%8.4%19.9%3.1%2.0%472.4K-11.3M-14.8K0.3235.02N/AN/A9823177,1982,603
2017-11-10$21.22$18.0019.6%5.6%21.2%18.5%21.9%3.7%0.8%478.6K-10.4M-14.8K0.3848.78N/AN/A7152737,5112,622
2017-11-13$21.08$18.0018.6%5.3%21.4%12.1%23.0%4.3%1.8%422.1K-9.3M-15.0K0.4223.26N/AN/A6552757,4672,721
2017-11-14$20.95$18.0018.2%5.2%21.5%9.9%20.4%3.7%1.7%426.3K-9.1M-14.2K0.829.28N/AN/A3502867,4672,695
2017-11-15$21.02$18.0018.6%5.3%21.5%12.5%20.5%3.0%1.7%424.9K-9.4M-13.7K0.8816.80N/AN/A3262877,4372,708
2017-11-16$21.06$19.0017.9%5.1%21.5%8.2%18.2%3.7%2.7%520.1K-9.0M-12.7K1.0610.72N/AN/A3233447,0802,703
2017-11-17$21.11$19.0017.2%4.9%21.2%3.7%31.1%8.0%2.0%217.2K-9.1M-13.1K0.1710.24N/AN/A2,0223397,0792,774
2017-11-20$20.90$20.0017.0%4.9%21.5%2.7%17.5%6.1%1.1%119.7K-2.0M-10.6K0.2031.27N/AN/A1,4382832,4932,054
2017-11-21$21.11$20.0017.1%4.9%21.7%3.3%19.5%4.0%0.5%118.7K-2.2M-10.3K0.1612.99N/AN/A1,7422742,4942,080
2017-11-22$21.13$20.0017.5%5.0%21.2%5.4%17.5%4.3%0.6%145.1K-2.7M-12.1K0.1623.30N/AN/A1,6992692,8982,092
2017-11-24$21.23$20.0017.8%5.1%21.2%7.6%17.2%10.6%-0.2%160.6K-3.0M-12.1K0.1618.23N/AN/A1,6902772,9272,097
2017-11-27$21.08$20.0018.6%5.3%21.4%12.2%18.7%2.5%-0.8%156.3K-2.8M-11.9K0.1359.06N/AN/A1,6792202,9292,107
2017-11-28$21.11$20.0017.5%5.0%21.4%5.8%15.7%8.5%0.5%161.0K-2.9M-11.7K0.1210.92N/AN/A1,3291592,9492,108
2017-11-29$21.07$20.0019.7%5.7%21.3%19.1%20.4%2.4%-1.4%156.4K-2.7M-11.7K0.1414.76N/AN/A1,3611912,9482,119
2017-11-30$21.04$20.0019.6%5.6%20.7%18.5%21.3%2.4%-0.7%150.8K-2.7M-11.7K0.1417.08N/AN/A1,4141942,9552,162