MFC Options History — October 2019

In October 2019, MFC traded between $17.32 and $18.97. ATM implied volatility averaged 22.8%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.1% (HV 20d: 21.7%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 7.21.

Notable Days

  • 2019-10-02: Highest Volume — 700 contracts
  • 2019-10-08: Largest IV spike — 33.7% change
  • 2019-10-31: Highest IV Rank — 47.9%
  • 2019-10-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.23$17.32$18.97$18.03$18.59
Max Pain$18.09$17.00$19.00$17.00$18.00
ATM IV22.8%18.0%25.6%20.9%25.1%
Expected Move6.6%6.0%7.2%6.0%7.2%
HV 20d21.7%16.5%23.7%18.3%17.0%
HV 60d22.4%20.6%23.4%20.7%20.6%
IV Rank38.5%24.0%47.9%32.5%47.9%
IV Percentile45.4%4.0%62.3%29.0%62.3%
Term Structure-1.5%-4.2%2.0%2.0%-4.2%
VWIV23.2%20.2%27.0%22.8%25.7%
Skew 25d5.4%0.4%8.9%8.6%3.4%
Skew 10d6.6%0.8%13.0%11.5%5.3%
Call IV 25d19.6%15.5%23.6%15.5%22.1%
Put IV 25d25.0%22.3%28.4%24.2%25.5%
Bid-Ask Spread %94.0867.43111.4367.4393.17
Gamma HHI0.290.270.330.330.28
Net GEX158.2K97.7K226.2K154.6K212.6K
Net DEX-2.6M-4.0M-895.6K-2.2M-3.4M
Net VEX-18.1K-19.6K-15.6K-17.0K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.210.0067.330.351.76
Total Volume161.13137008458
Total OI6,285.0435,2727,1365,2727,136

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$18.03$17.0020.9%6.0%18.3%32.5%0.0%8.6%2.0%154.6K-2.2M-17.0K0.3567.43N/AN/A62223,9911,281
2019-10-02$17.34$17.0024.1%6.9%23.7%42.2%22.8%0.4%1.1%117.7K-1.2M-15.6K40.1875.94N/AN/A176834,0051,303
2019-10-03$17.37$19.0023.5%7.0%20.6%40.5%24.4%3.0%-0.5%100.5K-936.1K-17.3K0.0097.75N/AN/A0294,0011,838
2019-10-04$17.62$19.0018.0%6.6%21.1%24.0%23.1%3.3%-1.2%113.3K-1.3M-17.5K0.1897.03N/AN/A2243,9931,853
2019-10-07$17.62$19.0019.1%6.4%20.0%27.5%24.9%3.7%0.3%115.1K-1.3M-17.3K0.5295.43N/AN/A21114,0071,852
2019-10-08$17.32$19.0025.6%7.2%19.9%46.5%24.7%6.1%-0.6%97.7K-895.6K-17.0K0.3596.67N/AN/A66234,0171,862
2019-10-09$17.51$18.0024.1%6.9%20.0%42.0%24.3%4.8%-1.9%111.6K-1.2M-17.4K0.0387.03N/AN/A3514,0771,884
2019-10-10$17.66$18.0023.3%6.7%20.1%39.8%0.0%4.5%-1.1%122.9K-1.5M-17.7K0.0092.67N/AN/A1504,1091,884
2019-10-11$18.21$18.0023.0%6.6%23.0%38.7%20.9%5.2%-1.2%150.8K-2.5M-18.3K1.0798.55N/AN/A1531644,1221,884
2019-10-14$18.12$18.0023.1%6.6%23.1%39.1%23.1%5.4%-1.3%125.1K-2.3M-18.3K1.1995.31N/AN/A1381644,2002,009
2019-10-15$18.35$18.0023.3%6.7%23.5%39.6%20.7%4.9%-1.7%140.5K-2.8M-18.6K3.3389.05N/AN/A3104,3332,161
2019-10-16$18.35$18.0023.1%6.6%23.4%39.1%21.3%4.3%-1.7%138.5K-2.8M-18.6K0.0091.08N/AN/A2704,3342,151
2019-10-17$18.39$18.0023.5%6.7%23.0%40.4%20.2%6.5%-1.3%146.5K-2.8M-18.6K0.0091.69N/AN/A2704,3452,151
2019-10-18$18.56$18.0022.5%6.4%23.3%37.3%22.2%6.4%-2.5%170.8K-3.2M-17.8K0.0596.18N/AN/A4024,3672,151
2019-10-21$18.76$18.0022.9%6.6%23.5%38.7%23.7%8.9%-3.4%185.8K-3.4M-17.5K0.0092.33N/AN/A38814,1642,004
2019-10-22$18.76$18.0022.8%6.5%23.1%38.3%23.3%6.0%-2.7%201.3K-3.5M-18.5K0.2595.38N/AN/A268664,3932,005
2019-10-23$18.77$18.0022.6%6.5%23.1%37.7%23.3%6.6%-2.4%206.6K-3.6M-18.6K67.3397.19N/AN/A32024,4642,052
2019-10-24$18.61$18.0022.9%6.6%23.2%38.4%22.8%4.8%-1.7%178.2K-2.9M-19.4K9.82101.30N/AN/A222164,4672,241
2019-10-25$18.76$18.0022.1%6.3%23.3%36.1%23.6%6.5%-0.9%196.7K-3.3M-19.1K31.00101.72N/AN/A1314,4822,210
2019-10-28$18.97$18.0023.0%6.6%23.4%38.8%27.0%7.5%-2.6%205.8K-4.0M-18.2K0.09111.43N/AN/A373334,4832,211
2019-10-29$18.87$18.0022.7%6.5%22.2%37.9%22.5%7.1%-2.5%219.7K-4.0M-18.9K0.0198.87N/AN/A28224,7522,210
2019-10-30$18.74$18.0023.5%6.7%16.5%42.8%23.4%6.9%-3.2%226.2K-3.8M-19.2K1.10100.75N/AN/A10114,9092,208
2019-10-31$18.59$18.0025.1%7.2%17.0%47.9%25.7%3.4%-4.2%212.6K-3.4M-19.6K1.7693.17N/AN/A21374,9192,217