MFC Options History — March 2018

In March 2018, MFC traded between $18.31 and $19.11. ATM implied volatility averaged 21.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.6% (HV 20d: 16.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-03-16: Highest Volume — 1,147 contracts
  • 2018-03-14: Largest IV drop — 26.3% change
  • 2018-03-13: Highest IV Rank — 7.7%
  • 2018-03-02: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.68$18.31$19.11$18.89$18.58
Max Pain$19.10$19.00$20.00$20.00$19.00
ATM IV21.6%18.2%27.4%21.0%20.4%
Expected Move5.9%5.2%7.0%6.0%5.8%
HV 20d16.0%14.1%19.6%19.2%17.5%
HV 60d16.0%14.9%17.3%14.9%17.3%
IV Rank4.2%2.2%7.7%3.9%3.5%
IV Percentile57.2%18.7%96.4%55.6%44.8%
Term Structure1.2%-1.8%4.1%-0.1%1.5%
VWIV25.0%19.0%69.3%45.2%23.0%
Skew 25d3.8%0.7%8.0%7.6%8.0%
Skew 10d8.6%-4.0%17.4%10.0%17.4%
Call IV 25d19.5%15.7%23.0%17.4%17.0%
Put IV 25d23.4%20.8%26.5%25.0%24.9%
Bid-Ask Spread %79.3345.97133.24118.0873.62
Gamma HHI0.180.170.210.180.20
Net GEX12.4K-7.4K38.9K38.9K18.8K
Net DEX609.8K68.0K933.9K483.6K501.3K
Net VEX-10.0K-10.9K-9.4K-10.1K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.541.220.720.79
Total Volume908.5246551,147655867
Total OI5,370.4294,4206,3425,6574,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$18.89$20.0021.0%6.0%19.2%3.9%45.2%7.6%-0.1%38.9K483.6K-10.1K0.72118.08N/AN/A3802754,2051,452
2018-03-02$18.57$20.0024.5%7.0%19.6%6.0%69.3%3.5%-1.8%26.0K832.5K-9.9K0.8696.93N/AN/A3833284,2081,560
2018-03-05$18.67$19.0022.8%6.2%16.6%5.0%23.6%3.5%0.6%23.9K715.0K-9.9K0.9792.71N/AN/A3753644,2241,571
2018-03-06$18.76$19.0023.9%6.0%15.2%5.6%23.3%3.9%0.6%28.6K466.3K-10.2K0.7845.97N/AN/A4663644,2241,491
2018-03-07$18.70$19.0022.2%5.6%14.4%4.6%19.8%4.5%2.3%21.7K542.0K-9.8K1.2258.42N/AN/A4655694,2521,496
2018-03-08$18.57$19.0022.4%5.9%14.4%4.7%20.5%2.9%0.3%-6.3K933.9K-9.8K1.02102.22N/AN/A4864964,2571,686
2018-03-09$18.86$19.0019.6%5.4%15.8%3.0%19.0%1.8%1.8%-3.2K544.9K-10.2K0.6961.37N/AN/A5874044,2571,627
2018-03-12$18.79$19.0022.9%6.0%15.6%5.0%21.1%4.7%0.9%4.5K491.5K-10.3K0.6057.42N/AN/A6984164,3801,631
2018-03-13$18.60$19.0027.4%6.0%15.3%7.7%20.6%1.5%0.8%1.2K706.8K-9.7K0.5448.17N/AN/A6803684,4571,612
2018-03-14$18.66$19.0020.2%5.8%15.5%3.4%21.3%1.2%0.9%1.1K783.4K-9.9K0.8986.38N/AN/A5855214,4611,675
2018-03-15$18.65$19.0018.9%5.4%14.1%2.6%20.6%5.5%2.0%-7.4K872.4K-10.0K0.9054.57N/AN/A5725174,4831,837
2018-03-16$18.70$19.0018.2%5.2%14.1%2.2%19.9%0.7%2.3%9.5K899.3K-9.8K0.72133.24N/AN/A6664814,4941,848
2018-03-19$18.56$19.0019.3%5.5%14.2%2.9%21.1%7.4%2.3%3.2K642.1K-9.7K0.7747.93N/AN/A5734422,9641,456
2018-03-20$18.91$19.0018.6%5.3%15.2%2.5%21.1%2.9%2.9%14.8K334.5K-10.1K1.01102.40N/AN/A4374432,9841,456
2018-03-21$19.11$19.0019.3%5.5%15.8%2.8%19.3%2.3%4.1%28.3K68.0K-10.9K0.6287.32N/AN/A4792973,0221,462
2018-03-22$18.73$19.0020.5%5.9%16.5%3.6%21.1%0.9%2.7%17.3K426.4K-10.6K0.6690.47N/AN/A4703103,1201,471
2018-03-23$18.59$19.0022.0%6.3%16.7%4.5%23.6%1.4%-0.0%12.4K547.8K-10.4K0.9265.57N/AN/A4313973,1241,488
2018-03-26$18.69$19.0021.4%6.1%16.4%4.1%23.8%7.2%-0.7%14.9K497.1K-9.9K1.0193.15N/AN/A3933973,1461,505
2018-03-27$18.36$19.0023.5%6.7%17.4%5.4%23.2%5.0%0.4%3.1K799.4K-9.4K0.9063.24N/AN/A4343923,1701,505
2018-03-28$18.31$19.0024.3%7.0%16.8%5.8%24.0%4.6%0.5%8.3K717.1K-9.8K0.8286.73N/AN/A4793923,2191,510
2018-03-29$18.58$19.0020.4%5.8%17.5%3.5%23.0%8.0%1.5%18.8K501.3K-10.2K0.7973.62N/AN/A4853823,2791,510