MFC Options History — May 2018

In May 2018, MFC traded between $18.20 and $19.56. ATM implied volatility averaged 18.7%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.4% (HV 20d: 18.3%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-05-18: Highest Volume — 2,179 contracts
  • 2018-05-04: Largest IV drop — 46.9% change
  • 2018-05-02: Highest IV Rank — 6.9%
  • 2018-05-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.10$18.20$19.56$18.79$18.85
Max Pain$19.09$19.00$20.00$19.00$19.00
ATM IV18.7%13.5%26.0%24.6%18.4%
Expected Move5.4%4.8%7.4%7.1%5.3%
HV 20d18.3%14.0%23.6%14.0%20.4%
HV 60d17.1%15.9%18.3%15.9%18.3%
IV Rank3.0%0.0%6.9%6.1%2.9%
IV Percentile26.9%0.0%94.4%86.5%25.4%
Term Structure-0.3%-5.2%1.7%-3.6%-0.9%
VWIV19.3%15.5%25.1%22.2%21.4%
Skew 25d1.9%-1.2%7.4%5.9%1.3%
Skew 10d3.6%-5.4%35.2%3.2%-0.7%
Call IV 25d17.5%14.0%26.9%21.8%20.9%
Put IV 25d19.4%14.8%28.4%27.8%22.1%
Bid-Ask Spread %52.3514.15141.52141.5217.20
Gamma HHI0.420.290.570.360.50
Net GEX165.4K32.7K292.9K92.5K108.6K
Net DEX-942.4K-2.2M658.1K-78.1K-162.2K
Net VEX-14.3K-17.2K-9.9K-12.0K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.240.780.490.48
Total Volume1,418.6821,0612,1791,1051,376
Total OI6,730.6825,8017,7365,8017,736

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$18.79$19.0024.6%7.1%14.0%6.1%22.2%5.9%-3.6%92.5K-78.1K-12.0K0.49141.52N/AN/A7423634,3081,493
2018-05-02$18.20$19.0026.0%7.4%18.2%6.9%25.1%1.5%-5.2%38.3K658.1K-9.9K0.76133.95N/AN/A7375594,3161,493
2018-05-03$18.49$20.0025.4%6.6%18.9%6.5%24.3%7.4%-3.3%32.7K443.4K-11.4K0.57120.89N/AN/A7294144,3261,754
2018-05-04$18.75$20.0013.5%5.1%16.7%0.0%17.5%6.9%1.2%49.1K261.7K-11.2K0.3523.28N/AN/A1,2194244,3281,758
2018-05-07$18.97$19.0019.2%5.2%16.9%3.4%18.1%1.5%0.6%108.7K-474.9K-13.1K0.4631.13N/AN/A1,0644854,6741,768
2018-05-08$18.85$19.0017.6%5.1%16.9%2.5%18.2%1.4%0.7%81.5K-176.7K-12.4K0.3942.24N/AN/A1,0644144,6881,753
2018-05-09$19.21$19.0018.4%5.3%18.0%2.9%19.3%4.3%-0.0%150.2K-959.4K-13.4K0.3695.00N/AN/A1,0463724,6881,751
2018-05-10$19.37$19.0017.5%5.0%18.1%2.4%20.8%2.7%1.6%165.0K-1.4M-14.3K0.3682.77N/AN/A1,1094004,7141,760
2018-05-11$19.42$19.0017.5%5.0%17.8%2.4%16.2%3.8%0.9%188.2K-1.4M-14.2K0.3746.75N/AN/A1,0984104,8161,721
2018-05-14$19.39$19.0016.9%4.9%17.3%2.0%18.6%0.6%1.7%206.3K-1.6M-14.3K0.5241.51N/AN/A7884104,7791,720
2018-05-15$19.29$19.0018.1%5.2%17.5%2.7%22.6%-0.7%-0.2%185.2K-1.5M-14.0K0.5986.78N/AN/A6944104,7701,700
2018-05-16$19.52$19.0016.6%4.8%17.8%1.8%16.5%1.9%1.5%191.9K-1.8M-14.0K0.2540.44N/AN/A1,7014274,7731,700
2018-05-17$19.47$19.0017.7%5.1%17.8%2.5%16.5%1.1%1.1%292.9K-2.2M-15.5K0.2424.95N/AN/A1,7014155,5631,707
2018-05-18$19.29$19.0017.3%4.9%18.2%2.2%15.5%-0.2%1.1%247.1K-1.8M-14.7K0.2931.92N/AN/A1,6944855,5631,709
2018-05-21$19.36$19.0017.2%4.9%18.2%2.2%17.3%-1.2%0.5%252.1K-1.6M-15.0K0.5219.42N/AN/A6983635,1931,448
2018-05-22$19.56$19.0017.9%5.1%18.3%2.6%18.4%2.2%-2.2%289.0K-2.2M-16.0K0.5428.03N/AN/A7153885,2961,515
2018-05-23$19.47$19.0017.7%5.1%18.3%2.5%19.6%0.9%-0.1%282.3K-2.0M-16.9K0.5259.94N/AN/A7453905,4331,634
2018-05-24$19.35$19.0017.6%5.0%18.5%2.4%17.1%-0.2%-0.5%253.9K-1.6M-17.2K0.6223.38N/AN/A7694755,4901,741
2018-05-25$19.18$19.0016.8%4.8%18.8%1.9%15.5%-1.2%0.3%228.8K-1.2M-17.2K0.7814.15N/AN/A7205635,5051,856
2018-05-29$18.53$19.0020.1%5.8%22.4%3.9%21.6%1.7%-1.6%69.9K358.0K-15.0K0.6930.09N/AN/A7214995,5052,050
2018-05-30$18.92$19.0018.8%5.4%23.6%3.2%21.6%0.3%0.1%124.6K-339.8K-16.1K0.5116.38N/AN/A9364795,5072,073
2018-05-31$18.85$19.0018.4%5.3%20.4%2.9%21.4%1.3%-0.9%108.6K-162.2K-16.1K0.4817.20N/AN/A9314455,6032,133