MFC Options History — June 2020

In June 2020, MFC traded between $12.74 and $15.02. ATM implied volatility averaged 45.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 7.6% (HV 20d: 52.8%). Max pain ranged from $12.00 to $17.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 7.43.

Notable Days

  • 2020-06-11: Highest Volume — 41,048 contracts
  • 2020-06-11: Largest IV spike — 27.4% change
  • 2020-06-12: Highest IV Rank — 41.4%
  • 2020-06-12: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.79$12.74$15.02$12.74$13.65
Max Pain$13.23$12.00$17.00$17.00$13.00
ATM IV45.2%35.7%53.0%40.7%44.6%
Expected Move13.0%10.7%15.2%11.7%12.8%
HV 20d52.8%42.9%59.1%53.3%45.0%
HV 60d73.2%53.1%98.4%98.4%53.1%
IV Rank33.9%24.8%41.4%29.6%33.4%
IV Percentile77.5%73.0%82.5%77.0%74.6%
Term Structure-0.6%-5.3%3.9%0.1%0.6%
VWIV46.7%35.9%55.9%40.5%46.0%
Skew 25d11.8%3.2%25.7%15.9%25.7%
Skew 10d26.3%-16.3%44.0%31.0%31.2%
Call IV 25d40.0%29.0%48.1%29.0%29.4%
Put IV 25d51.8%41.0%61.8%44.9%55.2%
Bid-Ask Spread %66.6419.5690.6881.8282.26
Gamma HHI0.430.240.600.600.42
Net GEX-389.9K-592.0K-140.8K-230.3K-551.2K
Net DEX22.1M7.5M34.5M14.7M24.9M
Net VEX-174.8K-279.6K-21.2K-52.8K-258.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.430.06129.730.060.50
Total Volume2,788.1827641,048182253
Total OI72,304.31851,29995,90351,29977,547

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$12.74$17.0040.7%11.7%53.3%29.6%40.5%15.9%0.1%-230.3K14.7M-52.8K0.0681.82N/AN/A1711117,03334,266
2020-06-02$13.07$17.0039.9%11.4%53.6%28.9%41.5%11.6%0.8%-207.6K13.8M-50.2K11.6476.97N/AN/A2292,66617,12634,260
2020-06-03$13.68$17.0037.4%10.7%55.0%26.5%38.3%3.2%0.8%-184.7K12.4M-44.3K1.4463.62N/AN/A37153617,34735,513
2020-06-04$13.64$12.0035.7%10.8%55.1%24.8%45.7%10.6%1.7%-194.9K12.6M-44.4K8.2234.38N/AN/A7225,93417,48335,809
2020-06-05$14.47$12.0038.0%11.8%57.8%27.1%35.9%9.2%-2.9%-172.0K9.8M-31.8K0.3381.28N/AN/A54517817,56235,908
2020-06-08$15.02$12.0039.6%11.0%57.1%28.6%39.6%9.2%-4.3%-140.8K7.5M-21.2K0.2064.41N/AN/A3106217,49235,938
2020-06-09$14.93$12.0042.9%12.1%57.3%31.7%42.2%10.6%-3.0%-194.8K8.5M-32.7K0.0690.68N/AN/A7354317,66335,988
2020-06-10$14.78$12.0038.7%11.1%57.2%27.7%43.3%5.9%0.0%-173.5K9.0M-36.4K0.3888.30N/AN/A552118,14535,980
2020-06-11$13.84$12.0049.3%14.1%59.1%37.9%52.3%10.5%-4.0%-181.9K12.7M-52.4K129.7388.21N/AN/A31440,73418,17635,970
2020-06-12$13.80$12.0053.0%15.2%59.0%41.4%55.8%13.9%-5.3%-545.7K33.5M-279.6K1.2178.27N/AN/A78094718,24176,199
2020-06-15$13.72$13.0051.5%14.8%59.0%40.0%52.2%15.7%-2.8%-564.6K33.5M-273.8K0.2859.67N/AN/A86524318,48076,813
2020-06-16$13.89$13.0052.3%15.0%56.9%40.8%55.9%11.2%-1.5%-451.0K32.8M-276.9K0.8779.55N/AN/A685919,12176,765
2020-06-17$13.74$13.0049.2%14.1%54.2%37.8%51.8%10.1%-1.7%-477.3K34.5M-276.2K0.8473.14N/AN/A17314519,13876,765
2020-06-18$13.72$13.0048.3%13.9%54.3%37.0%44.4%10.1%3.9%-454.6K32.6M-272.5K0.1471.23N/AN/A1091518,92476,789
2020-06-19$13.80$13.0046.9%13.5%54.1%35.6%51.1%13.1%2.2%-507.5K33.0M-272.0K0.3943.47N/AN/A57522418,93776,784
2020-06-22$13.72$13.0046.0%13.2%53.6%34.7%50.5%12.2%2.6%-529.4K25.8M-269.2K0.3219.56N/AN/A3941287,69868,712
2020-06-23$13.81$13.0045.3%13.0%42.9%34.1%48.7%8.5%-1.3%-592.0K26.7M-261.4K0.5349.48N/AN/A1,3627198,02268,756
2020-06-24$13.38$13.0050.7%14.5%43.9%39.3%49.1%10.1%-0.8%-574.1K26.7M-260.2K1.5550.52N/AN/A1111728,39868,781
2020-06-25$13.55$13.0044.3%12.7%43.4%33.1%41.7%9.6%1.4%-557.3K25.7M-263.2K0.0666.80N/AN/A12688,44468,885
2020-06-26$13.07$13.0050.0%14.3%45.2%38.6%51.6%17.2%-0.4%-533.4K27.0M-256.7K4.0064.11N/AN/A281128,47568,890
2020-06-29$13.26$13.0049.6%14.2%44.7%38.2%49.6%16.3%0.1%-560.2K27.5M-259.2K0.7858.32N/AN/A49388,48868,984
2020-06-30$13.65$13.0044.6%12.8%45.0%33.4%46.0%25.7%0.6%-551.2K24.9M-258.8K0.5082.26N/AN/A169848,53569,012