MFC Options History — December 2019

In December 2019, MFC traded between $19.06 and $20.31. ATM implied volatility averaged 16.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.6% (HV 20d: 14.3%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 11.37.

Notable Days

  • 2019-12-20: Highest Volume — 3,371 contracts
  • 2019-12-03: Largest IV spike — 27.0% change
  • 2019-12-03: Highest IV Rank — 37.9%
  • 2019-12-03: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.65$19.06$20.31$19.63$20.31
Max Pain$19.14$18.00$20.00$18.00$20.00
ATM IV16.9%13.9%21.0%16.5%16.3%
Expected Move4.8%4.0%6.0%4.7%4.7%
HV 20d14.3%11.7%15.5%11.7%14.7%
HV 60d16.8%14.5%17.5%16.9%14.5%
IV Rank24.2%13.9%37.9%22.7%22.5%
IV Percentile10.6%2.4%37.7%4.8%7.9%
Term Structure2.4%-1.9%4.1%0.6%2.7%
VWIV16.4%12.0%21.6%18.1%15.8%
Skew 25d4.0%1.3%10.0%4.7%4.5%
Skew 10d4.4%-2.4%12.8%1.9%-2.4%
Call IV 25d13.6%10.3%17.5%16.0%10.7%
Put IV 25d17.5%12.1%23.9%20.7%15.3%
Bid-Ask Spread %24.267.5068.9913.7851.55
Gamma HHI0.570.320.910.420.79
Net GEX182.3K-759.9K1.6M396.9K-669.0K
Net DEX-4.9M-9.2M-590.9K-6.5M-3.0M
Net VEX-30.1K-40.6K-24.5K-26.1K-36.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.370.00174.000.670.84
Total Volume441.8163,371144151
Total OI11,101.9529,41913,8019,41913,801

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$19.63$18.0016.5%4.7%11.7%22.7%18.1%4.7%0.6%396.9K-6.5M-26.1K0.6713.78N/AN/A86586,6252,794
2019-12-03$19.14$18.0021.0%6.0%14.5%37.9%12.0%10.0%-0.5%339.3K-4.7M-26.6K1.3054.27N/AN/A871136,6782,797
2019-12-04$19.14$18.0020.0%5.7%14.4%34.7%20.0%3.3%-1.9%344.0K-4.7M-25.9K0.008.35N/AN/A4706,6562,898
2019-12-05$19.06$19.0019.2%5.5%14.4%32.0%17.4%2.8%1.7%345.7K-4.4M-25.5K20.4531.40N/AN/A112256,6612,898
2019-12-06$19.22$19.0018.2%5.1%13.6%28.7%0.0%3.4%2.8%359.3K-4.9M-25.5K3.2519.39N/AN/A8266,6603,042
2019-12-09$19.18$19.0020.2%5.3%13.1%35.2%17.2%3.2%3.1%359.6K-4.7M-24.9K0.8612.13N/AN/A35306,6543,036
2019-12-10$19.29$19.0019.3%5.1%13.4%32.2%17.7%3.1%2.5%367.8K-5.2M-24.9K0.8213.53N/AN/A28236,6453,058
2019-12-11$19.35$19.0018.5%5.3%12.9%29.5%0.0%3.8%3.1%376.8K-5.4M-24.5K174.0058.61N/AN/A11746,6453,060
2019-12-12$19.52$19.0017.1%4.9%13.4%24.7%19.2%2.8%3.0%394.0K-6.0M-24.6K0.1468.99N/AN/A1,0141386,6443,234
2019-12-13$19.30$19.0016.9%4.8%13.9%23.9%0.0%2.5%3.4%415.7K-5.8M-30.1K0.0016.84N/AN/A607,6543,369
2019-12-16$19.57$19.0015.1%4.3%14.8%17.9%15.5%5.3%3.1%427.0K-6.9M-29.0K0.3219.71N/AN/A38127,6543,369
2019-12-17$19.73$19.0015.0%4.3%14.8%17.6%14.7%4.3%3.4%527.0K-7.5M-28.7K0.7310.36N/AN/A64477,6533,381
2019-12-18$19.95$19.0015.8%4.5%15.2%20.4%16.0%6.5%2.8%680.6K-8.5M-29.4K0.0712.78N/AN/A190147,6543,428
2019-12-19$19.80$19.0015.2%4.4%15.0%18.4%0.0%6.2%3.2%599.6K-7.6M-28.7K0.0057.36N/AN/A45407,7253,441
2019-12-20$20.05$19.0015.2%4.3%15.5%18.1%15.0%6.5%2.2%1.6M-9.2M-28.4K7.4113.92N/AN/A4012,9707,7023,441
2019-12-23$20.04$20.0014.8%4.2%15.5%17.0%14.8%1.4%3.1%-176.0K-3.1M-35.5K14.0110.17N/AN/A1812,5365,8835,255
2019-12-24$19.98$20.0013.9%4.0%15.1%13.9%13.9%1.8%4.1%-759.9K-590.9K-40.6K0.0010.67N/AN/A0125,9907,757
2019-12-26$20.13$20.0014.9%4.3%14.9%17.4%13.1%1.3%3.1%-715.9K-1.6M-39.7K1.827.50N/AN/A11205,9907,769
2019-12-27$20.11$20.0016.0%4.6%14.7%21.2%21.6%2.3%2.3%-684.5K-1.4M-39.5K0.578.03N/AN/A1485,9907,779
2019-12-30$20.19$20.0016.2%4.6%14.7%22.2%16.2%3.8%3.0%-714.1K-2.0M-37.8K0.0710.17N/AN/A4235,9947,777
2019-12-31$20.31$20.0016.3%4.7%14.7%22.5%15.8%4.5%2.7%-669.0K-3.0M-36.8K0.8451.55N/AN/A82696,0247,777