MFC Options History — November 2020

In November 2020, MFC traded between $13.70 and $17.31. ATM implied volatility averaged 33.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 17.7% (HV 20d: 50.7%). Max pain ranged from $13.00 to $17.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2020-11-16: Highest Volume — 9,908 contracts
  • 2020-11-23: Largest IV drop — 13.9% change
  • 2020-11-03: Highest IV Rank — 33.2%
  • 2020-11-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.02$13.70$17.31$13.70$17.12
Max Pain$15.45$13.00$17.00$15.00$17.00
ATM IV33.0%25.9%45.1%43.1%28.7%
Expected Move9.1%7.4%12.9%12.4%8.2%
HV 20d50.7%26.6%59.2%26.6%55.5%
HV 60d36.6%26.3%40.7%26.3%40.1%
IV Rank21.4%14.6%33.2%31.3%17.3%
IV Percentile41.0%23.4%71.8%69.4%27.4%
Term Structure-1.1%-10.1%2.1%-5.9%1.4%
VWIV31.4%26.9%44.0%41.9%28.8%
Skew 25d5.6%-1.1%10.2%8.8%5.1%
Skew 10d18.5%4.2%79.0%15.1%4.2%
Call IV 25d29.4%22.8%40.4%40.4%29.3%
Put IV 25d35.0%29.0%49.2%49.2%34.4%
Bid-Ask Spread %42.8417.2990.6353.9852.04
Gamma HHI0.330.250.450.370.30
Net GEX-347.3K-554.3K-21.4K-554.3K-330.2K
Net DEX10.7M4.6M21.1M21.1M8.5M
Net VEX-179.7K-219.8K-144.2K-178.0K-189.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.045.610.331.09
Total Volume1,226.25769,908152459
Total OI56,469.651,57565,28251,57558,049

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$13.70$15.0043.1%12.4%26.6%31.3%41.9%8.8%-5.9%-554.3K21.1M-178.0K0.3353.98N/AN/A114386,81044,765
2020-11-03$14.49$15.0045.1%12.9%33.8%33.2%44.0%10.2%-8.1%-475.7K17.0M-175.9K5.6149.23N/AN/A382136,81044,765
2020-11-04$14.14$15.0041.3%11.8%34.1%29.5%39.1%-1.1%-10.1%-438.3K19.1M-185.7K0.8990.63N/AN/A1321186,90244,865
2020-11-05$14.40$14.0039.8%9.6%34.9%28.1%32.1%4.4%-2.2%-378.7K18.6M-186.3K0.1270.27N/AN/A6886,95744,974
2020-11-06$14.44$14.0037.0%9.5%34.9%25.4%29.9%5.6%-0.6%-412.3K17.6M-182.9K0.1741.15N/AN/A90157,00644,977
2020-11-09$16.12$14.0041.5%9.7%52.6%29.8%32.1%6.8%-3.2%-324.7K8.9M-180.2K1.1270.78N/AN/A6757597,05144,987
2020-11-10$16.85$13.0038.6%9.0%52.9%26.9%31.6%7.4%-0.0%-391.5K4.6M-159.3K0.1032.64N/AN/A1,6881717,30345,588
2020-11-11$16.35$14.0033.8%9.7%54.3%22.2%34.3%5.0%-2.1%-313.7K6.8M-163.7K0.2721.39N/AN/A1,2823507,97745,649
2020-11-12$15.68$14.0030.6%8.8%56.9%19.1%27.2%5.6%0.4%-21.4K8.0M-144.2K1.9284.54N/AN/A791529,34545,906
2020-11-13$15.78$14.0029.9%8.6%56.9%18.5%30.4%4.7%0.4%-279.4K9.1M-161.4K0.1522.22N/AN/A199309,33645,903
2020-11-16$16.63$14.0027.3%7.8%58.7%15.9%27.3%4.6%0.9%-430.0K5.9M-172.5K0.9125.30N/AN/A5,1884,7209,39945,920
2020-11-17$16.69$17.0028.6%8.2%58.7%17.2%30.0%5.9%-0.2%-279.5K6.1M-175.1K0.4133.10N/AN/A44918314,06250,566
2020-11-18$16.72$17.0027.7%7.9%58.7%16.3%28.6%3.8%0.8%-184.1K4.7M-154.7K0.0641.70N/AN/A1,1667314,15950,712
2020-11-19$16.70$17.0027.8%8.0%58.6%16.5%28.7%8.4%-0.5%-320.5K9.9M-219.8K0.0424.21N/AN/A3,61315814,54850,734
2020-11-20$16.40$17.0030.1%8.6%59.2%18.6%30.9%8.6%0.4%-434.1K13.8M-194.8K0.7520.91N/AN/A17813411,74750,686
2020-11-23$16.66$17.0025.9%7.4%57.6%14.6%27.9%4.4%2.1%-360.1K12.7M-198.4K0.4327.30N/AN/A204879,76547,743
2020-11-24$17.31$17.0028.0%8.0%57.3%16.7%28.2%6.4%0.5%-329.3K6.7M-194.9K0.1328.81N/AN/A9161219,84947,775
2020-11-25$17.11$17.0026.9%7.7%55.7%15.6%26.9%3.9%1.0%-345.0K8.2M-190.3K0.3917.29N/AN/A1455710,08747,774
2020-11-27$17.21$17.0027.6%7.9%55.7%16.2%27.8%3.6%2.1%-343.7K6.8M-185.9K0.0949.31N/AN/A4173810,13347,808
2020-11-30$17.12$17.0028.7%8.2%55.5%17.3%28.8%5.1%1.4%-330.2K8.5M-189.6K1.0952.04N/AN/A22023910,23247,817