MFC Options History — September 2021

In September 2021, MFC traded between $18.55 and $19.73. ATM implied volatility averaged 19.7%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.9% (HV 20d: 18.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2021-09-20: Highest Volume — 766 contracts
  • 2021-09-07: Largest IV spike — 23.6% change
  • 2021-09-30: Highest IV Rank — 40.3%
  • 2021-09-30: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.34$18.55$19.73$19.45$19.29
Max Pain$19.05$19.00$20.00$20.00$19.00
ATM IV19.7%16.5%24.6%17.8%24.6%
Expected Move5.7%4.7%7.0%5.1%7.0%
HV 20d18.8%15.4%23.5%19.3%23.1%
HV 60d20.3%19.3%21.7%19.8%21.5%
IV Rank26.5%17.5%40.3%21.2%40.3%
IV Percentile26.1%4.8%59.9%11.9%59.9%
Term Structure1.6%0.0%4.7%2.6%0.3%
VWIV20.0%16.6%24.7%17.8%24.6%
Skew 25d6.8%1.7%11.6%1.7%6.7%
Skew 10d14.3%4.3%22.7%12.5%14.3%
Call IV 25d16.9%13.6%21.6%17.5%21.6%
Put IV 25d23.7%19.2%30.9%19.2%28.3%
Bid-Ask Spread %49.7516.75107.2252.1037.58
Gamma HHI0.300.220.420.220.36
Net GEX-487.3K-791.4K44.7K-404.5K-743.7K
Net DEX13.0M6.5M17.8M15.9M10.7M
Net VEX-112.4K-136.5K-94.4K-136.5K-116.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0413.610.190.04
Total Volume191.524267666226
Total OI82,429.52468,04092,31792,17071,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$19.45$20.0017.8%5.1%19.3%21.2%17.8%1.7%2.6%-404.5K15.9M-136.5K0.1952.10N/AN/A521021,88370,287
2021-09-02$19.48$19.0017.9%5.5%18.1%21.3%18.6%6.2%1.1%-257.0K14.1M-130.8K1.9460.01N/AN/A173321,88969,974
2021-09-03$19.53$19.0016.5%4.7%16.3%17.5%19.3%7.0%2.5%-310.6K13.3M-126.1K9.6750.30N/AN/A32921,89369,973
2021-09-07$19.48$19.0020.4%5.6%16.2%28.5%17.8%6.1%0.9%-297.9K14.6M-119.6K2.6426.97N/AN/A256621,90170,002
2021-09-08$19.40$19.0019.4%5.6%16.2%25.7%18.1%7.2%1.6%-359.1K16.1M-111.1K1.1532.92N/AN/A8810121,90270,015
2021-09-09$19.52$19.0017.5%5.0%15.4%20.4%19.2%5.9%2.8%-201.6K13.6M-106.9K6.2150.89N/AN/A3823621,91970,008
2021-09-10$19.30$19.0019.9%5.7%15.6%27.0%19.7%5.0%0.4%-549.8K17.6M-113.5K0.1364.32N/AN/A801021,95970,050
2021-09-13$19.52$19.0017.2%4.9%16.4%19.6%19.9%7.7%2.1%-225.0K13.5M-96.6K0.15107.22N/AN/A1372021,96470,086
2021-09-14$19.35$19.0020.3%5.8%15.7%28.3%18.1%6.0%0.8%-449.1K16.3M-97.6K1.1432.31N/AN/A212422,03870,096
2021-09-15$19.70$19.0018.6%5.3%16.4%23.3%18.8%8.4%0.7%44.7K14.3M-108.9K0.6793.22N/AN/A1318822,12070,090
2021-09-16$19.65$19.0017.5%5.0%16.4%20.2%18.8%7.5%1.6%-128.8K15.3M-104.2K13.6148.46N/AN/A2331322,13170,094
2021-09-17$19.23$19.0018.8%5.4%16.3%24.0%16.6%5.2%2.7%-680.8K17.8M-94.4K1.4456.71N/AN/A8512222,15270,165
2021-09-20$18.57$19.0021.6%6.2%20.3%31.7%24.7%11.6%4.7%-791.4K13.5M-112.8K1.0859.96N/AN/A3693979,95958,081
2021-09-21$18.55$19.0019.9%5.7%19.4%27.1%20.1%9.0%1.7%-790.3K14.3M-116.1K0.5670.16N/AN/A82469,98958,153
2021-09-22$18.84$19.0019.5%5.6%20.3%26.0%19.4%9.8%2.4%-732.0K11.4M-112.8K0.0782.32N/AN/A2381610,18158,370
2021-09-23$19.34$19.0020.1%5.8%22.5%27.7%19.4%5.2%2.0%-687.3K8.1M-105.1K1.9016.75N/AN/A11521910,24358,408
2021-09-24$19.30$19.0021.3%6.1%22.2%31.0%19.9%6.9%1.6%-582.5K7.9M-112.0K0.7928.51N/AN/A1058310,36258,422
2021-09-27$19.73$19.0019.8%5.7%23.5%26.7%21.5%8.9%0.7%-672.3K6.5M-110.7K0.2321.12N/AN/A2926610,47460,411
2021-09-28$19.54$19.0021.5%6.2%22.9%31.6%24.4%8.4%0.0%-715.8K8.8M-118.8K1.4717.10N/AN/A456610,55860,432
2021-09-29$19.45$19.0023.7%6.8%22.9%37.8%23.8%1.9%0.7%-699.4K8.6M-109.6K1.1435.78N/AN/A495610,66860,476
2021-09-30$19.29$19.0024.6%7.0%23.1%40.3%24.6%6.7%0.3%-743.7K10.7M-116.1K0.0437.58N/AN/A25110,70160,541