MFC Options History — August 2020

In August 2020, MFC traded between $13.49 and $15.48. ATM implied volatility averaged 32.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.0% (HV 20d: 27.4%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-08-06: Highest Volume — 2,010 contracts
  • 2020-08-04: Largest IV spike — 23.2% change
  • 2020-08-04: Highest IV Rank — 28.3%
  • 2020-08-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.85$13.49$15.48$13.53$14.82
Max Pain$15.67$14.00$16.00$14.00$16.00
ATM IV32.4%29.3%40.1%32.5%33.5%
Expected Move9.2%8.4%11.5%9.3%9.6%
HV 20d27.4%21.1%29.2%23.6%27.8%
HV 60d37.6%30.3%42.9%42.5%30.3%
IV Rank20.9%17.8%28.3%21.0%22.0%
IV Percentile54.1%48.8%65.9%56.0%56.0%
Term Structure2.2%-5.2%5.2%0.5%0.8%
VWIV32.8%23.6%39.4%34.8%39.4%
Skew 25d6.5%0.4%12.9%12.9%4.7%
Skew 10d16.7%-2.7%23.9%23.9%16.8%
Call IV 25d29.6%26.2%41.3%32.1%32.2%
Put IV 25d36.1%31.4%45.0%45.0%36.9%
Bid-Ask Spread %51.5613.5882.7081.2482.70
Gamma HHI0.340.300.370.350.37
Net GEX-418.3K-580.3K-222.7K-304.0K-462.5K
Net DEX17.8M13.7M23.0M21.9M18.5M
Net VEX-202.2K-225.3K-166.6K-221.1K-197.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.028.360.068.36
Total Volume565.381902,010896337
Total OI78,611.66777,75580,13977,75577,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$13.53$14.0032.5%9.3%23.6%21.0%34.8%12.9%0.5%-304.0K21.9M-221.1K0.0681.24N/AN/A848488,90268,853
2020-08-04$13.49$14.0040.1%11.5%21.1%28.3%37.0%9.1%-5.2%-268.0K23.0M-223.9K0.7050.47N/AN/A1641159,55268,869
2020-08-05$14.16$14.0035.8%10.3%27.2%24.2%37.3%0.4%-1.3%-338.3K19.8M-216.1K0.1343.89N/AN/A667909,59568,905
2020-08-06$14.61$16.0032.7%9.2%27.4%21.2%33.3%7.0%2.3%-395.7K18.9M-207.8K0.0363.25N/AN/A1,959519,75568,907
2020-08-07$14.65$16.0033.6%9.0%26.7%22.1%35.1%6.9%2.3%-368.0K18.7M-207.2K0.4780.67N/AN/A984610,03768,910
2020-08-10$14.97$16.0032.9%8.4%27.1%21.4%31.5%7.0%4.1%-473.8K16.8M-190.1K0.5229.70N/AN/A26413710,03868,924
2020-08-11$15.35$16.0032.6%9.0%28.1%21.0%30.7%7.5%3.4%-289.8K16.9M-222.7K0.2613.58N/AN/A3028010,16268,983
2020-08-12$15.48$16.0032.6%9.4%27.1%21.1%23.6%6.0%1.7%-406.8K15.0M-207.7K0.0767.12N/AN/A1,52210310,24669,029
2020-08-13$15.36$15.0032.2%9.2%27.5%20.7%24.4%7.9%3.4%-504.2K13.7M-191.5K0.0866.36N/AN/A1,80714311,15368,986
2020-08-14$15.07$16.0032.2%9.2%28.5%20.7%32.2%7.7%3.4%-419.3K17.7M-212.4K1.1345.84N/AN/A2012279,79169,032
2020-08-17$14.97$16.0032.5%9.3%28.7%20.9%36.1%6.0%4.1%-458.8K18.0M-199.6K0.4746.94N/AN/A133639,58369,058
2020-08-18$14.90$16.0031.5%9.0%28.7%20.1%34.4%7.4%4.6%-449.4K18.1M-202.1K0.5870.50N/AN/A1891099,60269,086
2020-08-19$14.97$16.0030.6%8.8%28.5%19.1%32.6%5.4%5.2%-580.3K18.1M-185.8K1.4924.28N/AN/A2173249,70469,158
2020-08-20$14.85$16.0031.1%8.9%28.7%19.6%34.6%6.5%2.0%-536.6K16.0M-166.6K0.5339.85N/AN/A144779,70669,370
2020-08-21$14.78$16.0030.6%8.8%28.5%19.2%31.9%6.6%1.8%-222.7K18.8M-225.3K0.3660.79N/AN/A132489,71169,411
2020-08-24$15.10$16.0031.6%9.1%29.2%20.1%33.2%7.5%0.5%-385.8K18.0M-210.1K0.2918.12N/AN/A3481019,14568,669
2020-08-25$15.10$16.0030.7%8.8%28.9%19.3%30.5%6.6%2.2%-563.6K16.9M-179.3K0.1013.96N/AN/A8289,32368,763
2020-08-26$15.18$16.0029.3%8.4%28.9%17.8%31.3%3.4%3.8%-405.8K16.8M-203.2K0.0459.73N/AN/A453179,40368,769
2020-08-27$15.23$16.0030.6%8.8%27.6%19.1%32.8%4.5%2.9%-406.6K16.9M-203.7K0.2745.71N/AN/A90249,12668,775
2020-08-28$15.20$16.0030.6%8.8%25.6%19.1%33.3%5.8%3.8%-544.1K16.0M-172.2K0.0278.08N/AN/A10329,12668,789
2020-08-31$14.82$16.0033.5%9.6%27.8%22.0%39.4%4.7%0.8%-462.5K18.5M-197.2K8.3682.70N/AN/A363019,16068,779