MFC Options History — December 2021

In December 2021, MFC traded between $17.88 and $19.13. ATM implied volatility averaged 23.4%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.1% (HV 20d: 26.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2021-12-06: Highest Volume — 1,773 contracts
  • 2021-12-13: Largest IV spike — 63.7% change
  • 2021-12-13: Highest IV Rank — 92.0%
  • 2021-12-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.59$17.88$19.13$18.11$19.12
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV23.4%17.9%33.8%28.8%19.0%
Expected Move6.6%5.1%9.1%8.3%5.4%
HV 20d26.4%19.8%32.7%32.7%19.8%
HV 60d24.6%23.6%25.7%25.0%23.9%
IV Rank51.2%29.9%92.0%72.4%34.1%
IV Percentile57.6%14.7%98.8%94.4%23.8%
Term Structure2.6%-3.3%40.5%-1.1%2.6%
VWIV23.8%18.3%30.4%28.2%19.8%
Skew 25d6.4%2.3%10.5%4.7%2.6%
Skew 10d13.2%-1.4%23.1%-1.4%5.4%
Call IV 25d20.2%11.1%30.0%25.5%19.0%
Put IV 25d26.7%20.4%32.3%30.1%21.5%
Bid-Ask Spread %30.458.2571.3319.3236.85
Gamma HHI0.260.220.350.270.32
Net GEX-670.9K-1.0M-126.9K-1.0M-207.5K
Net DEX14.3M3.5M23.2M23.2M3.7M
Net VEX-71.1K-99.2K-52.1K-97.1K-54.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.521.731.730.89
Total Volume1,292.59161,7731,575963
Total OI74,629.04568,64078,67777,45470,201

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$18.11$20.0028.8%8.3%32.7%72.4%28.2%4.7%-1.1%-1.0M23.2M-97.1K1.7319.32N/AN/A57799812,24665,208
2021-12-02$18.31$20.0028.2%8.1%31.9%70.1%27.6%6.5%-0.0%-931.3K20.2M-86.9K1.3869.58N/AN/A56978812,37065,260
2021-12-03$18.08$20.0031.7%9.1%28.0%83.9%30.4%2.3%-3.3%-1.0M22.8M-99.2K1.3471.33N/AN/A55974712,38465,276
2021-12-06$18.45$20.0030.1%8.0%28.4%77.6%27.0%8.1%-1.5%-915.8K19.6M-83.1K0.6960.81N/AN/A1,04772612,39765,282
2021-12-07$18.82$20.0021.8%6.6%28.4%44.9%26.0%6.1%0.7%-799.1K17.1M-82.5K1.4925.14N/AN/A49072812,86865,312
2021-12-08$18.89$20.0020.7%6.5%28.5%40.8%24.0%8.1%0.3%-698.9K15.6M-77.0K1.6038.91N/AN/A46974912,87965,342
2021-12-09$18.80$20.0021.0%6.6%28.5%41.9%23.5%5.8%0.4%-705.9K16.6M-76.8K1.5617.79N/AN/A45971712,87165,349
2021-12-10$18.86$20.0020.6%6.3%28.6%40.5%23.8%5.8%1.4%-677.3K16.5M-76.0K1.1223.09N/AN/A65072812,89265,346
2021-12-13$18.50$20.0033.8%7.2%29.2%92.0%25.3%4.9%-0.6%-751.0K19.2M-71.6K1.1329.52N/AN/A66375012,96165,347
2021-12-14$18.57$20.0025.0%6.4%29.3%57.5%24.7%5.0%0.3%-705.7K18.0M-74.3K0.9817.20N/AN/A73472012,97965,416
2021-12-15$18.60$20.0022.7%6.5%26.1%48.5%26.5%6.2%0.4%-822.4K19.9M-74.2K1.0861.17N/AN/A68874213,11665,444
2021-12-16$18.45$20.0023.5%6.7%26.0%51.7%23.7%5.0%40.5%-826.5K19.0M-73.1K0.9659.19N/AN/A68565513,11365,561
2021-12-17$18.22$20.0023.5%6.7%25.2%51.8%24.3%5.3%1.3%-996.1K20.2M-67.0K1.1912.00N/AN/A63475613,11965,558
2021-12-20$17.88$20.0024.6%7.1%24.2%56.0%27.0%5.9%-0.4%-869.4K13.9M-65.2K1.2234.75N/AN/A4685719,81558,825
2021-12-21$18.20$20.0023.2%6.7%25.4%50.7%23.0%7.2%0.7%-789.4K12.3M-66.4K0.5517.57N/AN/A1,0875979,85558,908
2021-12-22$18.39$20.0022.6%6.5%25.4%48.3%24.0%6.8%0.5%-709.3K10.9M-63.9K0.988.43N/AN/A54853810,35958,938
2021-12-23$18.72$20.0017.9%5.1%26.4%29.9%18.3%8.6%3.0%-388.6K7.4M-56.7K0.7810.63N/AN/A76259710,44458,965
2021-12-27$18.89$20.0018.7%5.4%25.0%32.8%19.0%9.1%3.5%-324.0K6.1M-57.5K1.098.25N/AN/A43847810,65259,030
2021-12-28$19.06$20.0019.2%5.5%24.7%34.9%18.9%9.3%2.7%-247.4K4.4M-56.8K0.529.33N/AN/A93848710,68859,012
2021-12-29$18.93$20.0018.4%5.3%19.8%31.6%18.5%7.3%3.7%-198.3K4.6M-52.1K0.9818.07N/AN/A50148911,10059,000
2021-12-30$19.13$20.0019.2%5.5%20.0%34.9%20.7%10.5%2.0%-126.9K3.5M-53.1K0.9421.08N/AN/A48845711,13159,020
2021-12-31$19.12$20.0019.0%5.4%19.8%34.1%19.8%2.6%2.6%-207.5K3.7M-54.1K0.8936.85N/AN/A51045311,14359,058