MFC Options History — March 2020

In March 2020, MFC traded between $8.89 and $17.11. ATM implied volatility averaged 71.5%, placing in the 74.1% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 21.4% (HV 20d: 92.9%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2020-03-17: Highest Volume — 9,565 contracts
  • 2020-03-06: Largest IV spike — 140.9% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.71$8.89$17.11$17.11$12.52
Max Pain$17.59$17.00$19.00$19.00$17.00
ATM IV71.5%30.7%114.0%43.0%75.7%
Expected Move19.5%7.8%32.7%12.3%21.7%
HV 20d92.9%36.9%149.6%38.7%149.6%
HV 60d58.4%26.6%88.9%26.6%88.9%
IV Rank74.1%44.4%100.0%73.6%63.2%
IV Percentile98.1%94.8%100.0%99.6%96.8%
Term Structure-10.4%-41.8%16.1%-5.7%-3.4%
VWIV66.4%33.2%113.6%38.9%57.3%
Skew 25d15.5%-3.0%38.9%9.5%7.9%
Skew 10d35.5%-20.5%75.8%13.9%59.2%
Call IV 25d63.4%30.6%105.2%39.5%64.7%
Put IV 25d78.9%41.4%131.5%49.1%72.7%
Bid-Ask Spread %83.9525.06104.0325.0699.45
Gamma HHI0.210.140.290.210.18
Net GEX-49.2K-158.5K-3.1K-158.5K-9.3K
Net DEX10.6M8.8M12.0M10.1M10.8M
Net VEX-18.9K-40.7K-5.3K-40.1K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.046.000.660.87
Total Volume816.091289,5651811,129
Total OI22,819.90920,01928,69520,01923,291

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$17.11$19.0043.0%12.3%38.7%73.6%38.9%9.5%-5.7%-158.5K10.1M-40.1K0.6625.06N/AN/A109729,61710,402
2020-03-03$16.87$19.0040.8%11.7%38.7%68.8%39.0%7.6%-5.7%-153.4K10.2M-40.7K0.0475.23N/AN/A1,660599,68210,401
2020-03-04$16.85$19.0036.1%10.3%38.0%58.2%39.7%11.0%-2.4%-135.1K10.3M-38.3K4.9165.64N/AN/A3316211,21410,233
2020-03-05$16.62$18.0030.7%7.8%36.9%46.3%33.2%10.8%-0.3%-141.0K10.4M-37.6K6.0088.09N/AN/A42411,21110,212
2020-03-06$16.06$18.0073.9%12.2%37.4%100.0%41.5%14.1%-4.9%-116.6K11.1M-33.4K3.6074.62N/AN/A8229511,21410,271
2020-03-09$14.41$18.0084.9%16.5%50.8%100.0%54.4%19.9%-7.5%-79.9K11.8M-22.1K2.9578.51N/AN/A5817111,23710,088
2020-03-10$14.89$18.0066.9%15.6%53.6%76.0%55.6%14.8%-14.0%-99.3K12.0M-21.9K0.3779.81N/AN/A2438911,22810,000
2020-03-11$14.15$18.0063.6%18.2%53.9%71.6%53.3%16.4%-18.5%-69.4K11.6M-19.6K0.3178.29N/AN/A511611,4569,925
2020-03-12$11.77$18.0086.4%24.8%79.6%100.0%70.0%21.3%-27.0%-19.9K10.5M-12.7K1.1195.12N/AN/A36840711,4629,936
2020-03-13$12.61$18.0068.7%19.7%86.6%76.8%79.2%38.9%-22.2%-27.7K11.1M-13.9K1.41102.51N/AN/A14320211,73610,038
2020-03-16$10.59$17.0095.9%27.5%101.4%100.0%109.8%22.9%-35.0%-9.0K9.6M-9.5K2.8487.61N/AN/A7019911,87110,053
2020-03-17$9.98$17.0098.3%28.2%101.4%100.0%67.2%21.5%-19.6%-8.6K8.8M-10.2K1.8578.80N/AN/A3,3616,20411,9249,937
2020-03-18$8.89$17.00114.0%32.7%103.6%100.0%113.6%26.4%-41.8%-6.3K10.6M-9.9K0.3380.28N/AN/A40213215,14013,070
2020-03-19$9.97$17.00104.0%29.8%116.4%90.4%105.6%35.3%-27.1%-6.3K11.4M-12.5K2.5193.22N/AN/A6115315,53513,018
2020-03-20$9.47$17.0091.5%26.2%116.5%78.4%85.7%13.9%-22.7%-5.0K11.0M-11.5K0.3998.23N/AN/A1034015,55413,141
2020-03-23$8.95$17.0077.5%22.2%115.7%64.9%80.4%18.5%9.3%-3.3K9.2M-5.3K0.8478.56N/AN/A837011,75110,994
2020-03-24$10.64$17.0064.5%18.5%137.3%52.5%64.8%14.5%-3.9%-4.2K10.5M-7.9K0.4772.25N/AN/A1708011,82510,957
2020-03-25$12.02$17.0056.0%16.1%146.9%44.4%58.3%-3.0%16.1%-13.9K10.8M-14.6K0.43104.03N/AN/A60225911,88910,956
2020-03-26$11.89$17.0064.0%18.4%146.8%52.0%67.2%5.5%-0.7%-8.0K10.7M-14.1K0.3497.06N/AN/A1776012,03711,019
2020-03-27$11.39$17.0068.3%19.6%147.0%56.1%78.4%8.0%8.4%-3.6K10.6M-11.6K0.68100.46N/AN/A624212,17311,079
2020-03-30$11.89$17.0068.4%19.6%147.5%56.2%68.0%5.9%-0.1%-3.1K10.8M-12.6K0.3394.17N/AN/A1866112,22411,037
2020-03-31$12.52$17.0075.7%21.7%149.6%63.2%57.3%7.9%-3.4%-9.3K10.8M-16.3K0.8799.45N/AN/A60352612,24511,046