MFC Options History — April 2020

In April 2020, MFC traded between $11.27 and $13.07. ATM implied volatility averaged 63.2%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 41.6% (HV 20d: 104.8%). Max pain ranged from $12.00 to $17.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 4.53.

Notable Days

  • 2020-04-16: Highest Volume — 16,437 contracts
  • 2020-04-06: Largest IV drop — 16.4% change
  • 2020-04-01: Highest IV Rank — 61.3%
  • 2020-04-01: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.99$11.27$13.07$11.82$12.65
Max Pain$15.05$12.00$17.00$17.00$17.00
ATM IV63.2%51.6%73.7%73.7%53.9%
Expected Move18.1%14.8%21.1%21.1%15.5%
HV 20d104.8%57.0%150.2%150.2%59.9%
HV 60d91.7%89.3%95.3%89.4%95.3%
IV Rank51.2%40.1%61.3%61.3%42.3%
IV Percentile91.5%84.9%96.0%96.0%84.9%
Term Structure-6.1%-10.5%-2.0%-6.3%-5.2%
VWIV62.6%52.8%73.6%71.3%55.7%
Skew 25d16.1%9.7%22.1%10.8%12.5%
Skew 10d39.3%6.8%66.8%46.3%34.1%
Call IV 25d56.2%47.1%72.0%72.0%50.4%
Put IV 25d72.2%60.6%82.8%82.8%62.9%
Bid-Ask Spread %82.0568.52100.0789.1868.52
Gamma HHI0.390.150.770.180.57
Net GEX-107.3K-307.7K15.1K-5.8K-231.4K
Net DEX15.1M10.6M21.2M10.7M20.1M
Net VEX-36.4K-68.5K-10.6K-15.9K-64.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.530.0161.300.241.02
Total Volume2,091.9527216,43723789
Total OI36,63524,33252,29424,33252,294

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$11.82$17.0073.7%21.1%150.2%61.3%71.3%10.8%-6.3%-5.8K10.7M-15.9K0.2489.18N/AN/A1914612,82911,503
2020-04-02$11.60$15.0070.0%19.1%150.2%57.8%64.9%21.7%-7.6%-2.3K10.6M-15.5K0.0581.58N/AN/A3421712,94211,504
2020-04-03$11.27$15.0070.9%19.9%150.1%58.6%66.5%18.4%-5.7%-1.8K10.6M-13.9K1.0679.15N/AN/A353713,15511,519
2020-04-06$11.60$15.0059.3%18.0%147.0%47.5%68.2%18.1%-5.0%-95710.8M-13.3K0.3870.32N/AN/A1626213,18211,530
2020-04-07$12.05$12.0061.2%18.2%147.2%49.3%64.4%16.7%-2.5%80210.9M-14.2K0.6376.98N/AN/A19112013,34211,573
2020-04-08$12.19$12.0065.8%18.9%146.6%53.8%56.6%22.1%-9.9%2.6K10.7M-14.7K0.5483.14N/AN/A21611713,52911,577
2020-04-09$12.80$12.0058.2%16.7%132.0%46.4%66.4%20.9%-2.0%2.7K10.7M-16.1K0.2582.86N/AN/A1634113,73811,650
2020-04-13$12.69$12.0061.2%17.5%129.8%49.3%67.8%21.0%-5.2%8.2K10.7M-14.9K0.2985.47N/AN/A1704913,77911,630
2020-04-14$12.59$12.0057.5%16.5%112.3%45.8%59.1%12.0%-3.6%12.8K10.9M-12.7K1.0583.11N/AN/A666913,79411,611
2020-04-15$11.85$12.0066.2%19.0%112.4%54.1%58.4%20.1%-9.7%15.1K10.9M-10.6K61.3084.07N/AN/A24515,01913,82711,633
2020-04-16$11.56$12.0065.0%18.6%103.3%53.0%57.5%17.8%-5.8%-157.3K16.1M-49.3K0.9878.44N/AN/A8,3098,12813,99326,640
2020-04-17$12.31$17.0066.3%19.0%98.1%54.2%70.5%17.4%-10.5%-161.7K17.7M-50.1K6.1481.71N/AN/A3722716,14728,784
2020-04-20$12.07$17.0064.8%18.6%96.1%52.8%61.2%11.3%-9.4%-182.0K18.3M-48.3K0.1274.70N/AN/A2673114,92928,493
2020-04-21$11.51$17.0071.6%20.5%95.3%59.3%73.6%14.8%-8.2%-163.4K18.4M-50.9K4.0076.88N/AN/A2510014,91828,514
2020-04-22$11.61$17.0065.5%18.8%74.1%53.4%53.8%21.5%-5.1%-173.9K18.3M-51.5K0.1781.69N/AN/A1823114,94328,560
2020-04-23$11.48$17.0069.4%19.9%59.7%57.2%58.7%10.5%-8.4%-148.4K18.7M-49.2K13.3285.42N/AN/A5657,52615,09528,591
2020-04-24$11.39$17.0062.3%17.8%59.7%50.3%62.4%9.7%-3.9%-271.9K21.2M-68.5K0.0188.52N/AN/A327315,66236,092
2020-04-27$11.64$17.0054.3%15.6%58.2%42.7%55.1%16.3%-4.9%-307.7K21.2M-62.6K1.8778.75N/AN/A7013115,70836,095
2020-04-28$11.97$17.0058.5%16.8%57.0%46.7%70.1%11.2%-5.5%-249.4K20.9M-66.1K0.41100.07N/AN/A1897715,74936,189
2020-04-29$13.07$17.0051.6%14.8%62.5%40.1%52.8%12.4%-2.6%-237.6K19.1M-62.1K1.2992.52N/AN/A11314615,85136,241
2020-04-30$12.65$17.0053.9%15.5%59.9%42.3%55.7%12.5%-5.2%-231.4K20.1M-64.0K1.0268.52N/AN/A444515,93236,362