MFC Options History — September 2022

In September 2022, MFC traded between $15.65 and $18.03. ATM implied volatility averaged 27.5%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.6% (HV 20d: 28.1%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.48.

Notable Days

  • 2022-09-19: Highest Volume — 1,619 contracts
  • 2022-09-09: Largest IV drop — 30.0% change
  • 2022-09-29: Highest IV Rank — 79.7%
  • 2022-09-29: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.82$15.65$18.03$16.97$15.72
Max Pain$16.90$16.00$18.00$18.00$16.00
ATM IV27.5%20.0%34.0%25.4%32.2%
Expected Move7.9%6.3%9.8%7.3%9.2%
HV 20d28.1%26.0%29.9%28.2%28.9%
HV 60d27.5%26.0%30.0%29.9%26.5%
IV Rank53.3%23.1%79.7%44.7%72.3%
IV Percentile66.7%12.7%96.0%56.7%91.7%
Term Structure1.4%-2.1%3.4%0.7%1.2%
VWIV26.7%16.1%35.5%18.8%32.9%
Skew 25d5.8%2.5%11.2%11.2%2.5%
Skew 10d10.6%2.1%16.9%11.6%13.1%
Call IV 25d23.9%16.3%31.2%18.5%31.2%
Put IV 25d29.8%22.9%37.5%29.6%33.8%
Bid-Ask Spread %38.3311.4262.5127.8857.74
Gamma HHI0.250.220.330.270.25
Net GEX-13.5K-95.5K112.7K-95.5K-83.4K
Net DEX1.9M-2.4M4.8M2.4M4.7M
Net VEX-34.2K-46.4K-26.7K-46.4K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.1130.332.670.96
Total Volume677.667581,619926826
Total OI17,068.61912,87621,28121,28115,403

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$16.97$18.0025.4%7.3%28.2%44.7%18.8%11.2%0.7%-95.5K2.4M-46.4K2.6727.88N/AN/A25267412,0659,216
2022-09-02$17.15$18.0024.7%7.1%28.6%41.9%16.1%6.7%1.8%-46.4K1.4M-37.8K1.2855.71N/AN/A10913910,9537,671
2022-09-06$16.93$17.0026.5%7.4%28.3%49.1%25.6%4.1%2.6%-91.3K2.3M-36.1K2.2162.51N/AN/A31770011,0447,792
2022-09-07$17.15$17.0027.5%7.3%29.0%53.1%25.6%5.8%1.4%-52.4K1.6M-37.6K1.1115.67N/AN/A66573511,0857,832
2022-09-08$17.32$17.0028.6%7.1%26.0%57.7%23.7%6.5%2.1%-9.6K816.9K-37.8K1.1313.08N/AN/A677611,2597,913
2022-09-09$17.77$17.0020.0%6.3%27.9%23.1%23.1%5.7%3.4%61.9K-1.0M-38.1K0.1419.04N/AN/A1762411,2767,902
2022-09-12$18.03$17.0024.8%6.5%27.4%42.4%25.3%5.6%2.3%109.2K-2.4M-37.3K0.1141.88N/AN/A4324611,3747,842
2022-09-13$17.47$17.0020.7%7.6%29.1%25.8%26.2%3.7%1.9%12.3K36.7K-37.0K0.8360.68N/AN/A56746911,2657,829
2022-09-14$17.46$17.0026.4%7.6%28.8%48.7%24.9%8.7%1.8%-982372.5K-36.1K30.3360.75N/AN/A39111,2727,834
2022-09-15$17.39$17.0025.3%7.3%28.8%44.5%23.6%6.4%3.1%4.6K553.2K-35.5K2.1811.90N/AN/A449611,2717,690
2022-09-16$17.10$17.0027.1%7.8%29.1%51.7%26.5%5.1%1.1%-66.2K681.2K-35.1K0.9811.54N/AN/A43042111,3067,551
2022-09-19$17.40$17.0026.8%7.7%29.9%50.4%22.9%9.8%1.5%83.8K-198.1K-35.2K0.3249.12N/AN/A1,2313887,0435,833
2022-09-20$16.99$17.0026.5%7.6%26.3%49.2%24.2%5.7%1.1%112.7K903.5K-35.7K0.6111.42N/AN/A1921188,1996,159
2022-09-21$16.77$17.0026.8%7.7%26.0%50.6%26.9%2.6%1.9%80.6K1.5M-34.9K2.0550.29N/AN/A19398,1896,228
2022-09-22$16.46$17.0028.1%8.1%26.6%55.7%26.5%4.0%0.5%14.8K2.9M-31.1K0.8821.93N/AN/A110978,1906,264
2022-09-23$15.88$17.0029.7%8.5%27.6%62.2%32.1%5.3%1.8%-48.2K4.4M-27.4K1.2855.93N/AN/A5727318,1366,333
2022-09-26$15.73$17.0032.6%9.3%27.2%73.9%34.0%5.3%-0.4%-72.2K4.7M-27.9K0.6148.51N/AN/A6193788,2596,980
2022-09-27$15.65$16.0033.0%9.5%27.1%75.4%33.7%6.3%-2.1%-78.8K4.8M-26.8K0.7717.52N/AN/A4123188,2417,002
2022-09-28$16.07$16.0030.9%8.9%29.5%67.2%33.3%4.9%1.7%-44.5K3.9M-29.5K0.9152.82N/AN/A4023648,2737,065
2022-09-29$15.76$16.0034.0%9.8%29.7%79.7%35.5%6.5%-0.1%-74.3K4.7M-27.8K0.6759.04N/AN/A5283548,3137,089
2022-09-30$15.72$16.0032.2%9.2%28.9%72.3%32.9%2.5%1.2%-83.4K4.7M-26.7K0.9657.74N/AN/A4214058,3077,096