MFC Options History — September 2020

In September 2020, MFC traded between $13.61 and $15.07. ATM implied volatility averaged 32.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.6% (HV 20d: 26.2%). 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 21 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2020-09-24: Highest Volume — 1,434 contracts
  • 2020-09-08: Largest IV spike — 20.5% change
  • 2020-09-08: Highest IV Rank — 26.8%
  • 2020-09-08: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.35$13.61$15.07$14.88$13.89
Max Pain$14.76$14.00$16.00$16.00$14.00
ATM IV32.8%30.1%38.5%33.8%30.7%
Expected Move9.4%8.6%10.8%9.7%8.8%
HV 20d26.2%22.7%30.8%27.7%30.2%
HV 60d28.0%26.7%30.0%29.3%26.7%
IV Rank21.3%18.6%26.8%22.2%19.3%
IV Percentile51.7%44.0%61.1%56.3%44.0%
Term Structure3.3%0.1%6.5%0.1%6.5%
VWIV33.0%30.0%38.7%30.0%30.4%
Skew 25d9.0%3.4%15.7%13.8%12.0%
Skew 10d18.0%4.7%31.3%27.7%14.3%
Call IV 25d28.3%21.8%33.5%22.7%24.4%
Put IV 25d37.3%33.3%41.9%36.6%36.3%
Bid-Ask Spread %57.7012.7285.4430.6412.72
Gamma HHI0.400.360.480.370.40
Net GEX-462.7K-543.5K-360.6K-533.2K-455.0K
Net DEX20.1M16.9M22.8M17.7M20.2M
Net VEX-198.5K-211.3K-184.8K-184.8K-198.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.022.801.012.80
Total Volume324.048621,434173114
Total OI66,183.57145,58278,41777,81948,143

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$14.88$16.0033.8%9.7%27.7%22.2%30.0%13.8%0.1%-533.2K17.7M-184.8K1.0130.64N/AN/A86879,17768,642
2020-09-02$15.07$16.0033.7%9.7%22.7%22.2%34.3%3.4%1.9%-482.7K16.9M-187.0K0.7863.89N/AN/A101799,22768,679
2020-09-03$14.62$15.0034.0%9.5%23.1%22.4%38.7%5.1%2.9%-449.8K19.3M-200.8K0.0876.11N/AN/A753579,23468,672
2020-09-04$14.73$15.0032.0%10.2%23.2%20.5%36.2%7.7%0.5%-459.1K19.1M-198.0K0.5384.87N/AN/A74399,25668,718
2020-09-08$14.43$15.0038.5%10.8%22.9%26.8%34.8%8.8%1.5%-475.3K20.9M-199.0K1.5981.20N/AN/A791269,29868,717
2020-09-09$14.82$15.0033.5%9.6%23.1%21.9%33.4%8.0%3.6%-360.6K19.1M-211.3K0.0355.24N/AN/A6529,31468,842
2020-09-10$14.36$15.0035.6%10.2%25.1%24.0%34.6%6.8%1.1%-543.5K21.1M-192.3K0.9775.93N/AN/A64629,28268,844
2020-09-11$14.47$15.0033.8%9.7%25.3%22.2%31.6%6.7%3.2%-501.2K21.3M-195.1K0.0225.26N/AN/A575109,28268,886
2020-09-14$14.65$15.0031.8%9.1%25.2%20.3%31.8%6.8%2.2%-415.7K20.1M-205.2K0.1070.84N/AN/A108119,23068,887
2020-09-15$14.62$15.0030.7%8.8%25.1%19.2%33.0%6.9%3.9%-450.2K22.8M-209.6K0.1985.44N/AN/A268529,23568,896
2020-09-16$14.68$15.0030.1%8.6%25.1%18.6%30.1%11.5%3.1%-486.0K20.6M-194.2K0.2581.27N/AN/A175449,24968,966
2020-09-17$14.61$15.0030.2%8.6%25.1%18.7%30.0%4.5%6.1%-421.5K20.8M-203.6K0.0934.51N/AN/A184169,35768,969
2020-09-18$14.53$15.0030.9%8.9%25.0%19.5%31.9%10.1%3.8%-423.3K20.9M-206.9K0.4078.27N/AN/A3741489,44068,977
2020-09-21$13.93$15.0033.3%9.6%28.9%21.8%33.8%7.7%4.7%-514.8K20.1M-193.0K0.5735.37N/AN/A2551464,10341,479
2020-09-22$13.91$14.0033.2%9.5%27.5%21.6%32.6%6.6%4.0%-415.0K20.7M-200.7K0.8172.08N/AN/A54444,31741,611
2020-09-23$13.61$14.0032.6%9.4%28.1%21.1%36.8%13.4%4.2%-503.4K20.8M-192.9K0.2340.66N/AN/A219514,34841,647
2020-09-24$13.68$14.0032.7%9.4%28.1%21.1%34.0%15.7%4.8%-467.5K20.8M-198.1K1.0157.44N/AN/A7137214,46741,682
2020-09-25$13.74$14.0031.9%9.1%28.2%20.4%31.9%13.0%5.4%-437.6K20.6M-201.4K0.0361.67N/AN/A6025,16942,403
2020-09-28$14.16$14.0033.7%9.7%30.8%22.1%31.4%6.7%3.6%-479.6K18.8M-196.4K0.5828.78N/AN/A102595,18042,405
2020-09-29$13.89$14.0033.1%9.5%30.3%21.6%31.5%13.1%3.1%-441.9K20.2M-199.0K0.0459.50N/AN/A600265,19542,430
2020-09-30$13.89$14.0030.7%8.8%30.2%19.3%30.4%12.0%6.5%-455.0K20.2M-198.6K2.8012.72N/AN/A30845,69142,452