MFC Options History — December 2020

In December 2020, MFC traded between $17.20 and $18.16. ATM implied volatility averaged 27.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.7% (HV 20d: 30.8%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-12-16: Highest Volume — 9,120 contracts
  • 2020-12-18: Largest IV spike — 13.5% change
  • 2020-12-21: Highest IV Rank — 18.5%
  • 2020-12-21: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.65$17.20$18.16$17.21$17.79
Max Pain$15.64$15.00$17.00$17.00$16.00
ATM IV27.1%21.8%30.0%28.1%21.8%
Expected Move7.8%6.3%8.6%8.0%6.3%
HV 20d30.8%18.2%55.6%55.6%18.2%
HV 60d38.8%37.7%40.1%40.1%37.7%
IV Rank15.8%10.6%18.5%16.7%10.6%
IV Percentile21.6%9.1%29.0%26.2%9.1%
Term Structure0.7%-3.2%5.0%0.7%5.0%
VWIV27.9%22.3%32.6%27.3%22.3%
Skew 25d7.3%3.0%11.5%7.4%8.5%
Skew 10d17.4%5.0%28.5%9.7%21.3%
Call IV 25d24.4%17.3%27.3%26.1%17.3%
Put IV 25d31.7%25.8%34.6%33.5%25.8%
Bid-Ask Spread %54.9115.2084.1215.2041.13
Gamma HHI0.380.290.490.300.44
Net GEX-306.5K-526.1K-138.0K-349.6K-221.1K
Net DEX4.0M-4.2M12.3M6.8M6.9M
Net VEX-177.1K-216.0K-140.9K-183.0K-174.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.014.690.700.38
Total Volume1,237.136279,120143142
Total OI61,999.95557,95366,89458,36562,605

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$17.21$17.0028.1%8.0%55.6%16.7%27.3%7.4%0.7%-349.6K6.8M-183.0K0.7015.20N/AN/A845910,33948,026
2020-12-02$17.38$17.0029.3%8.4%53.0%17.9%29.0%7.7%0.2%-369.6K5.2M-175.0K0.4519.62N/AN/A773510,37048,026
2020-12-03$17.55$15.0026.9%8.2%51.5%15.5%29.9%6.1%1.1%-203.5K1.7M-150.8K0.4676.82N/AN/A914210,42448,061
2020-12-04$18.16$15.0027.9%8.3%52.1%16.6%27.9%7.5%-0.4%-337.3K-2.4M-142.0K0.0477.81N/AN/A5111910,45048,075
2020-12-07$17.97$15.0028.0%8.2%52.6%16.6%28.9%6.9%0.3%-314.7K-1.7M-142.6K0.5476.06N/AN/A1075810,69348,090
2020-12-08$17.98$15.0027.2%8.3%37.4%15.9%30.1%8.1%-0.1%-176.3K-2.4M-140.9K0.9576.43N/AN/A1,3741,31110,76048,146
2020-12-09$18.05$15.0029.4%8.4%34.5%18.0%28.5%8.4%0.6%-190.5K-3.0M-159.4K1.0255.08N/AN/A1,4691,49212,81550,152
2020-12-10$18.07$15.0028.7%8.2%32.2%17.3%25.1%8.7%0.6%-184.1K-4.2M-171.4K0.0961.15N/AN/A1,23511214,27451,644
2020-12-11$17.84$15.0029.2%8.4%28.0%17.8%29.7%7.9%-0.2%-148.1K-1.4M-177.7K0.4169.31N/AN/A984014,89751,859
2020-12-14$17.55$15.0027.9%8.0%29.1%16.6%28.2%7.4%0.8%-138.0K393.6K-176.7K0.0172.61N/AN/A137214,96651,884
2020-12-15$17.68$15.0027.7%7.9%23.2%16.3%0.0%4.6%1.7%-139.0K-1.4M-174.9K0.2365.17N/AN/A531215,08251,812
2020-12-16$17.70$15.0027.6%7.9%23.2%16.3%32.6%7.2%0.7%-265.7K-1.7M-184.0K0.9873.74N/AN/A4,6034,51715,07951,800
2020-12-17$17.63$16.0025.8%7.4%23.4%14.5%31.8%6.7%1.8%-264.7K5.6M-185.6K0.0875.60N/AN/A25210,64347,310
2020-12-18$17.37$16.0029.3%8.4%24.2%17.9%29.1%8.0%1.6%-430.5K8.2M-201.7K0.9584.12N/AN/A4,1873,99410,65547,310
2020-12-21$17.29$16.0030.0%8.6%23.1%18.5%29.0%6.3%-0.0%-526.1K11.3M-199.0K0.9680.67N/AN/A19618912,01950,117
2020-12-22$17.20$16.0028.1%8.1%22.7%16.7%28.4%4.3%1.3%-518.3K12.3M-201.1K3.3029.11N/AN/A4615212,20450,283
2020-12-23$17.49$16.0027.5%7.9%19.1%16.1%26.7%11.5%-3.2%-307.4K9.1M-183.4K0.1025.88N/AN/A29312,21950,394
2020-12-24$17.51$16.0024.6%7.0%18.6%13.3%27.5%3.0%-0.9%-458.4K11.4M-216.0K0.0623.50N/AN/A1791012,21850,394
2020-12-28$17.56$16.0024.7%7.1%18.5%13.4%26.7%9.0%0.6%-384.7K9.0M-181.3K0.3120.00N/AN/A1113412,19750,394
2020-12-29$17.64$16.0022.6%6.5%18.4%11.3%22.9%9.2%4.1%-439.5K9.1M-194.4K4.6940.10N/AN/A4923012,29150,394
2020-12-30$17.66$16.0024.4%7.0%18.3%13.1%24.2%6.1%0.4%-376.7K8.6M-179.8K0.0748.88N/AN/A94712,32350,305
2020-12-31$17.79$16.0021.8%6.3%18.2%10.6%22.3%8.5%5.0%-221.1K6.9M-174.8K0.3841.13N/AN/A1033912,29550,310