MFC Options History — November 2021

In November 2021, MFC traded between $18.06 and $20.55. ATM implied volatility averaged 22.1%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.4% (HV 20d: 25.5%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2021-11-04: Highest Volume — 5,269 contracts
  • 2021-11-30: Largest IV spike — 23.9% change
  • 2021-11-30: Highest IV Rank — 72.9%
  • 2021-11-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.65$18.06$20.55$19.75$18.06
Max Pain$19.86$19.00$20.00$19.00$20.00
ATM IV22.1%19.4%28.9%23.9%28.9%
Expected Move6.3%5.6%8.3%6.8%8.3%
HV 20d25.5%16.4%32.7%16.8%32.7%
HV 60d21.8%18.8%25.0%18.8%25.0%
IV Rank42.4%33.2%72.9%39.0%72.9%
IV Percentile48.9%25.4%94.8%63.1%94.8%
Term Structure-0.4%-3.9%1.5%-2.0%-0.7%
VWIV22.2%19.9%26.7%25.3%26.7%
Skew 25d3.1%1.4%5.7%1.7%4.7%
Skew 10d10.8%-5.8%49.1%5.3%-5.8%
Call IV 25d21.1%18.3%25.7%24.4%25.7%
Put IV 25d24.2%21.6%30.4%26.2%30.4%
Bid-Ask Spread %58.6215.6994.5830.0876.22
Gamma HHI0.250.200.310.220.29
Net GEX-620.6K-1.1M-154.1K-828.5K-1.1M
Net DEX7.2M-3.7M23.2M6.7M23.2M
Net VEX-78.6K-94.9K-71.3K-88.6K-94.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.991.3312.2910.071.89
Total Volume2,853.8571,2765,2694,4061,602
Total OI78,602.76276,81191,99091,99077,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$19.75$19.0023.9%6.8%16.8%39.0%25.3%1.7%-2.0%-828.5K6.7M-88.6K10.0730.08N/AN/A3984,00812,48979,501
2021-11-02$19.82$19.0025.2%7.2%16.5%42.8%25.7%2.9%-2.7%-572.3K5.9M-88.1K9.2145.66N/AN/A4283,94012,54764,612
2021-11-03$20.23$19.0024.8%7.1%16.4%41.6%24.2%5.7%-3.9%-320.4K1.3M-80.2K12.2991.11N/AN/A3274,01812,53064,609
2021-11-04$19.30$20.0023.5%6.6%23.8%42.2%21.3%3.6%-1.5%-671.8K10.7M-85.5K3.8871.57N/AN/A1,0794,19012,56464,726
2021-11-05$19.61$20.0021.1%5.7%23.8%34.7%21.4%2.3%0.0%-487.6K6.9M-80.8K5.1953.87N/AN/A8084,19713,03164,788
2021-11-08$20.00$20.0020.7%5.9%24.9%33.2%21.0%4.3%-0.3%-446.2K3.0M-77.8K6.6541.03N/AN/A6324,20313,08164,798
2021-11-09$19.92$20.0020.7%5.9%24.9%33.3%21.1%3.5%-0.6%-491.3K4.0M-78.6K3.1480.53N/AN/A4541,42713,13264,812
2021-11-10$19.95$20.0020.7%5.9%24.9%36.9%21.1%3.1%-0.7%-422.2K3.4M-79.2K2.0576.36N/AN/A6561,34613,13764,868
2021-11-11$19.93$20.0020.8%6.0%23.8%41.1%20.7%2.1%-0.2%-398.3K3.5M-77.2K4.7762.48N/AN/A3931,87413,18064,859
2021-11-12$19.90$20.0019.9%5.7%23.7%37.7%21.3%2.8%0.4%-475.1K4.4M-76.5K2.9916.76N/AN/A6431,92313,20865,413
2021-11-15$19.89$20.0020.4%5.9%23.6%39.7%21.5%3.4%-0.1%-618.6K4.8M-82.3K3.7367.14N/AN/A5201,93913,20865,459
2021-11-16$20.55$20.0019.4%5.6%26.4%35.9%20.3%3.8%-0.0%-154.1K-3.7M-72.7K1.3372.83N/AN/A1,4591,93413,35065,481
2021-11-17$20.33$20.0019.9%5.7%26.6%37.7%19.9%3.4%0.0%-274.4K-769.3K-76.6K1.6474.93N/AN/A1,1241,84713,68165,520
2021-11-18$19.84$20.0020.8%6.0%27.9%41.1%20.2%1.6%-0.6%-444.3K5.1M-75.5K2.5072.74N/AN/A7651,91413,81065,493
2021-11-19$19.29$20.0021.9%6.3%29.4%45.4%21.3%3.7%0.2%-830.3K11.1M-74.7K1.4522.17N/AN/A9241,34113,83165,549
2021-11-22$19.31$20.0021.2%6.1%29.5%42.6%21.2%2.0%1.5%-888.3K11.4M-72.6K1.4315.69N/AN/A7141,01911,95164,860
2021-11-23$19.49$20.0022.3%6.4%29.8%47.1%21.4%2.0%0.8%-850.4K10.2M-72.2K2.6544.90N/AN/A4281,13412,09364,943
2021-11-24$19.57$20.0020.0%5.7%29.4%38.0%20.8%2.4%1.5%-941.3K9.5M-73.5K3.0065.35N/AN/A3551,06412,13965,090
2021-11-26$19.06$20.0024.6%7.1%30.7%56.1%25.9%5.2%0.1%-982.9K14.1M-71.3K2.3494.58N/AN/A4871,14112,17765,126
2021-11-29$18.80$20.0023.3%6.7%30.2%51.1%24.8%1.4%0.1%-868.0K17.0M-72.0K1.5055.12N/AN/A51176512,16965,270
2021-11-30$18.06$20.0028.9%8.3%32.7%72.9%26.7%4.7%-0.7%-1.1M23.2M-94.9K1.8976.22N/AN/A5551,04712,16865,405