MFC Options History — November 2022

In November 2022, MFC traded between $16.11 and $18.03. ATM implied volatility averaged 26.1%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.9% (HV 20d: 29.0%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2022-11-11: Highest Volume — 2,407 contracts
  • 2022-11-22: Largest IV drop — 18.6% change
  • 2022-11-07: Highest IV Rank — 81.7%
  • 2022-11-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.27$16.11$18.03$16.61$17.98
Max Pain$17.67$16.00$18.00$16.00$18.00
ATM IV26.1%20.7%34.5%31.0%22.4%
Expected Move7.3%5.9%9.3%8.9%6.4%
HV 20d29.0%25.0%32.3%25.8%32.3%
HV 60d30.3%28.6%32.0%29.3%30.6%
IV Rank47.5%26.0%81.7%67.4%32.5%
IV Percentile44.5%11.9%91.7%79.4%20.2%
Term Structure0.7%-2.6%4.3%-1.2%0.7%
VWIV26.1%20.9%34.8%33.5%22.4%
Skew 25d6.8%1.4%11.3%11.3%10.1%
Skew 10d13.5%3.7%25.0%25.0%13.9%
Call IV 25d22.5%14.6%29.0%24.3%16.7%
Put IV 25d29.3%23.8%35.6%35.6%26.8%
Bid-Ask Spread %35.568.9373.5317.5473.53
Gamma HHI0.390.260.610.260.61
Net GEX231.2K-20.3K501.6K66.6K501.6K
Net DEX-1.7M-5.2M3.6M1.5M-5.2M
Net VEX-24.8K-27.1K-21.4K-25.3K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.242.392.392.33
Total Volume980.6671202,407950120
Total OI16,380.33315,32217,78415,50916,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$16.61$16.0031.0%8.9%25.8%67.4%33.5%11.3%-1.2%66.6K1.5M-25.3K2.3917.54N/AN/A2806708,8286,681
2022-11-02$16.45$16.0032.4%9.3%25.0%72.9%34.8%6.4%-2.6%24.5K2.4M-23.2K1.5721.61N/AN/A4026328,8456,671
2022-11-03$16.11$18.0032.5%8.8%25.1%73.5%28.2%7.2%-0.3%-20.3K3.6M-21.4K1.2919.00N/AN/A5016478,9646,678
2022-11-04$16.76$18.0030.0%8.2%27.8%63.4%28.8%5.7%0.4%103.3K927.3K-25.2K1.9722.23N/AN/A4358559,1286,723
2022-11-07$16.65$18.0034.5%8.3%27.9%81.7%31.9%5.6%0.7%74.7K1.5M-24.4K1.8221.98N/AN/A4037349,3606,889
2022-11-08$16.79$18.0031.4%8.6%26.1%69.1%30.5%7.4%-1.7%137.6K678.6K-25.4K1.1141.16N/AN/A6106809,3666,917
2022-11-09$16.43$17.0032.2%9.2%27.7%72.2%30.8%5.6%0.1%60.0K2.4M-23.2K1.2117.45N/AN/A5977249,6846,924
2022-11-10$17.25$17.0026.4%7.6%30.4%48.9%26.2%6.1%2.7%229.7K-1.9M-24.7K1.0154.95N/AN/A6726809,7077,167
2022-11-11$17.74$17.0023.0%6.6%30.4%34.9%25.3%5.1%4.3%345.2K-4.6M-25.4K0.5448.11N/AN/A1,5628459,7517,229
2022-11-14$17.63$18.0024.2%6.9%30.1%40.1%22.7%4.0%3.1%280.8K-3.8M-25.6K0.5749.07N/AN/A5443129,9037,589
2022-11-15$17.69$18.0023.3%6.7%30.1%36.1%25.0%4.8%4.3%311.6K-3.9M-26.0K0.7325.36N/AN/A4253119,9717,651
2022-11-16$17.52$18.0024.8%7.1%30.2%42.4%26.3%1.4%1.8%215.9K-4.0M-23.7K0.8132.94N/AN/A43935410,0407,625
2022-11-17$17.52$18.0022.5%6.4%29.6%33.1%20.9%6.6%2.4%223.4K-3.4M-23.9K0.8260.67N/AN/A43936010,1337,618
2022-11-18$17.61$18.0022.9%6.6%28.4%34.6%24.2%6.8%-0.1%173.8K-4.0M-24.2K0.2441.67N/AN/A1,49835810,1577,627
2022-11-21$17.29$18.0025.5%7.3%29.4%45.2%25.5%8.8%-1.9%209.7K86.2K-25.2K0.6043.55N/AN/A6433878,7956,527
2022-11-22$17.65$18.0020.7%5.9%29.7%26.0%22.8%8.7%0.5%347.4K-2.9M-26.5K0.6660.34N/AN/A6053978,9626,431
2022-11-23$17.81$18.0022.0%6.3%29.7%30.9%22.4%8.5%-0.1%390.8K-3.9M-27.1K0.858.93N/AN/A4724039,1716,457
2022-11-25$18.03$18.0021.6%6.2%29.8%29.6%21.4%9.9%-0.1%448.3K-5.1M-26.3K0.2611.67N/AN/A105279,2226,544
2022-11-28$17.55$18.0022.9%6.6%31.7%34.9%23.4%5.8%-0.4%350.9K-2.5M-25.1K1.269.58N/AN/A1101399,3206,559
2022-11-29$17.61$18.0021.5%6.2%31.7%29.0%21.4%7.3%1.6%379.3K-2.7M-25.0K1.6865.52N/AN/A811369,3206,672
2022-11-30$17.98$18.0022.4%6.4%32.3%32.5%22.4%10.1%0.7%501.6K-5.2M-24.8K2.3373.53N/AN/A36849,3956,786