MFC Options History — December 2017

In December 2017, MFC traded between $20.68 and $21.25. ATM implied volatility averaged 17.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.6% (HV 20d: 11.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2017-12-08: Highest Volume — 1,778 contracts
  • 2017-12-13: Largest IV drop — 22.0% change
  • 2017-12-04: Highest IV Rank — 31.9%
  • 2017-12-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.91$20.68$21.25$21.25$20.87
Max Pain$20.60$20.00$21.00$20.00$21.00
ATM IV17.5%14.5%21.8%21.1%14.8%
Expected Move4.8%4.2%6.0%6.0%4.2%
HV 20d11.9%7.7%20.7%20.5%9.3%
HV 60d15.0%14.8%15.2%15.2%15.0%
IV Rank9.6%0.0%31.9%27.5%1.5%
IV Percentile14.2%0.0%57.1%48.0%0.8%
Term Structure2.7%-2.0%5.1%-2.0%4.9%
VWIV19.9%13.6%44.3%19.3%13.6%
Skew 25d2.4%-0.1%6.9%-0.1%5.5%
Skew 10d4.0%-2.5%11.0%-0.6%8.9%
Call IV 25d16.1%10.4%19.0%19.0%11.6%
Put IV 25d18.5%16.9%20.6%19.0%17.1%
Bid-Ask Spread %32.5814.4665.0922.5833.59
Gamma HHI0.340.310.380.370.35
Net GEX151.5K114.9K196.3K160.7K163.2K
Net DEX-2.5M-3.1M-2.0M-3.1M-2.1M
Net VEX-11.8K-12.8K-11.0K-11.8K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.132.000.140.72
Total Volume1,0514761,7781,695680
Total OI4,694.753,1355,7275,1603,953

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$21.25$20.0021.1%6.0%20.5%27.5%19.3%-0.1%-2.0%160.7K-3.1M-11.8K0.1422.58N/AN/A1,4872083,0012,159
2017-12-04$21.17$21.0021.8%5.2%20.5%31.9%17.8%3.9%2.5%172.3K-3.0M-11.5K0.1316.53N/AN/A1,5412043,1362,173
2017-12-05$21.04$20.0019.7%5.2%20.6%19.1%18.2%2.5%2.4%196.3K-3.1M-12.2K0.1424.05N/AN/A1,5142053,4842,181
2017-12-06$20.87$20.0020.4%5.0%20.7%23.3%17.8%2.2%2.4%182.9K-2.7M-12.1K0.1321.42N/AN/A1,5181963,4842,177
2017-12-07$20.91$20.0019.0%5.1%20.7%14.6%17.8%2.5%2.1%177.2K-2.8M-11.8K0.1428.60N/AN/A1,5182153,4502,207
2017-12-08$20.89$20.0016.9%4.9%11.4%1.6%17.6%2.7%2.9%158.3K-2.7M-11.4K0.1515.94N/AN/A1,5442343,4122,173
2017-12-11$20.76$20.0020.2%4.8%9.1%21.9%16.1%1.3%2.6%151.9K-2.5M-11.3K0.1514.46N/AN/A1,4582133,4392,181
2017-12-12$20.87$20.0021.4%4.8%9.1%29.7%16.3%1.8%2.1%145.5K-2.6M-11.1K0.4519.07N/AN/A6122773,4102,172
2017-12-13$20.82$20.0016.7%4.8%8.9%1.1%17.0%2.5%1.8%145.2K-2.5M-11.2K0.6653.74N/AN/A4983313,4072,196
2017-12-14$20.68$21.0016.6%4.7%9.0%0.0%16.8%1.2%2.1%137.2K-2.0M-11.0K0.6922.25N/AN/A5313653,4072,252
2017-12-15$20.73$21.0016.0%4.6%9.1%0.0%16.8%0.5%3.2%114.9K-2.0M-11.0K1.1331.43N/AN/A4044583,4272,300
2017-12-18$20.75$21.0016.3%4.7%9.0%1.8%18.2%2.2%-0.8%119.4K-2.0M-11.2K0.9933.16N/AN/A3073052,334801
2017-12-19$20.85$21.0016.3%4.7%8.5%1.7%16.8%1.7%3.8%133.4K-2.2M-11.8K1.1530.24N/AN/A2212552,516861
2017-12-20$20.88$21.0016.1%4.6%7.7%0.3%17.1%2.0%3.7%141.3K-2.3M-12.0K1.5632.77N/AN/A2503892,588864
2017-12-21$21.11$21.0016.0%4.6%8.7%0.1%16.7%2.8%3.5%142.2K-2.6M-12.6K2.0043.18N/AN/A2214412,6411,003
2017-12-22$21.00$21.0014.5%4.2%8.7%0.0%19.9%0.8%4.8%144.4K-2.4M-12.8K1.7549.03N/AN/A2283982,6891,045
2017-12-26$20.96$21.0016.3%4.7%8.4%10.5%44.3%1.4%5.1%145.8K-2.3M-12.4K1.3065.09N/AN/A2693512,6861,044
2017-12-27$20.83$21.0015.2%4.4%8.6%4.1%37.5%4.0%4.1%143.3K-2.0M-12.4K1.5553.25N/AN/A2273512,7271,088
2017-12-28$20.99$21.0014.6%4.2%9.1%0.3%22.4%6.9%3.7%154.1K-2.3M-12.2K0.8841.30N/AN/A3172792,7391,088
2017-12-29$20.87$21.0014.8%4.2%9.3%1.5%13.6%5.5%4.9%163.2K-2.1M-12.4K0.7233.59N/AN/A3952852,8381,115