MFC Options History — January 2018

In January 2018, MFC traded between $20.84 and $21.99. ATM implied volatility averaged 20.4%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 8.3% (HV 20d: 12.0%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-01-10: Highest Volume — 1,349 contracts
  • 2018-01-25: Largest IV spike — 38.1% change
  • 2018-01-31: Highest IV Rank — 84.2%
  • 2018-01-31: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.58$20.84$21.99$20.84$21.25
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV20.4%15.6%28.4%15.6%28.4%
Expected Move6.1%4.5%8.1%4.5%8.1%
HV 20d12.0%8.4%13.5%8.4%13.5%
HV 60d15.0%14.8%15.8%15.0%14.8%
IV Rank35.5%6.7%84.2%6.7%84.2%
IV Percentile42.9%1.6%97.6%1.6%97.6%
Term Structure-1.5%-9.1%3.8%3.8%-7.9%
VWIV25.0%19.2%39.9%19.2%30.1%
Skew 25d3.7%-0.6%7.4%5.9%7.4%
Skew 10d5.7%-12.4%30.6%7.4%6.2%
Call IV 25d20.0%13.0%27.9%13.0%25.1%
Put IV 25d23.6%18.9%32.6%18.9%32.6%
Bid-Ask Spread %118.1438.29148.3438.29139.43
Gamma HHI0.310.250.480.360.25
Net GEX234.9K170.2K386.4K170.2K200.6K
Net DEX-3.7M-5.2M-2.1M-2.1M-2.8M
Net VEX-15.7K-17.3K-12.2K-12.2K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.351.360.861.24
Total Volume1,034.3816181,349618727
Total OI5,051.7623,9995,7953,9995,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$20.84$21.0015.6%4.5%8.4%6.7%19.2%5.9%3.8%170.2K-2.1M-12.2K0.8638.29N/AN/A3332852,8811,118
2018-01-03$20.87$21.0016.2%4.6%8.4%10.0%39.9%3.9%3.1%172.7K-2.2M-12.3K0.42110.94N/AN/A7673242,9051,118
2018-01-04$21.42$21.0016.6%6.0%12.4%12.4%22.1%4.5%-1.6%199.4K-3.3M-13.8K0.35108.04N/AN/A8342883,2581,078
2018-01-05$21.49$21.0015.8%5.9%12.0%8.0%20.5%3.4%-0.7%225.5K-3.8M-14.7K0.6985.74N/AN/A4783293,5391,087
2018-01-08$21.33$21.0017.3%5.8%12.4%16.7%20.7%3.9%-0.6%226.7K-3.4M-14.3K0.51128.62N/AN/A5462773,5041,152
2018-01-09$21.38$21.0017.5%6.1%12.4%18.1%19.4%6.5%0.6%229.3K-3.5M-14.3K0.87118.65N/AN/A6515653,5121,154
2018-01-10$21.40$21.0021.4%6.1%12.1%42.0%20.6%2.6%-0.8%217.3K-3.4M-15.1K0.5097.19N/AN/A9004493,5991,409
2018-01-11$21.68$21.0020.1%5.7%12.7%33.5%20.8%4.3%-0.3%256.8K-4.1M-16.2K0.51100.48N/AN/A8854493,9491,431
2018-01-12$21.80$21.0020.1%5.8%12.6%34.0%20.2%4.2%-0.6%281.1K-4.6M-16.9K0.5089.34N/AN/A8904494,1791,421
2018-01-16$21.81$21.0020.4%5.8%12.2%35.7%22.2%4.6%-1.1%286.0K-4.7M-16.6K0.7299.34N/AN/A7255224,1841,441
2018-01-17$21.86$21.0021.3%6.1%12.2%41.2%24.9%2.2%-2.4%291.5K-4.9M-16.6K0.78122.49N/AN/A6625154,2341,491
2018-01-18$21.90$21.0025.8%7.4%12.2%68.2%31.0%4.4%-6.1%314.1K-5.0M-16.5K0.57141.63N/AN/A6433654,2661,529
2018-01-19$21.99$21.0021.5%6.2%12.2%42.4%30.6%2.7%-2.1%386.4K-5.2M-16.3K0.48136.78N/AN/A7723744,2681,519
2018-01-22$21.93$21.0017.7%5.1%12.3%19.4%22.5%4.4%-1.3%206.8K-3.9M-16.0K0.62123.46N/AN/A6273903,6631,277
2018-01-23$21.76$21.0020.1%5.8%12.4%33.7%23.8%3.4%-1.1%214.8K-3.7M-16.8K0.69121.16N/AN/A6494493,7481,283
2018-01-24$21.80$21.0017.9%5.1%12.2%20.5%23.7%2.5%2.9%210.8K-3.9M-17.1K1.07144.51N/AN/A4424723,8031,352
2018-01-25$21.62$21.0024.7%7.1%12.6%61.8%29.8%2.1%-4.7%206.2K-3.4M-17.0K1.05137.38N/AN/A4594803,7651,375
2018-01-26$21.77$21.0020.8%6.0%12.4%37.8%27.6%0.5%0.1%208.7K-3.7M-17.3K1.36148.34N/AN/A3564853,7841,375
2018-01-29$21.67$21.0022.4%6.4%12.5%47.5%28.3%-0.6%-1.4%213.9K-3.5M-17.0K1.20147.18N/AN/A5256313,8141,412
2018-01-30$21.53$21.0026.3%7.5%12.5%71.1%27.7%4.3%-9.1%213.5K-3.2M-16.5K1.15142.03N/AN/A3514023,7871,272
2018-01-31$21.25$21.0028.4%8.1%13.5%84.2%30.1%7.4%-7.9%200.6K-2.8M-16.5K1.24139.43N/AN/A3254023,7941,357