MFC Options History — November 2023

In November 2023, MFC traded between $17.66 and $19.48. ATM implied volatility averaged 21.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.7% (HV 20d: 24.2%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2023-11-14: Highest Volume — 2,171 contracts
  • 2023-11-08: Largest IV drop — 17.9% change
  • 2023-11-07: Highest IV Rank — 54.5%
  • 2023-11-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.85$17.66$19.48$17.66$19.48
Max Pain$18.90$17.00$19.00$17.00$19.00
ATM IV21.5%17.8%29.0%25.4%20.7%
Expected Move6.0%5.1%7.3%7.3%5.9%
HV 20d24.2%21.1%26.6%22.2%21.1%
HV 60d21.7%20.4%22.3%20.4%21.6%
IV Rank33.6%23.1%54.5%44.6%31.2%
IV Percentile47.2%15.9%96.4%83.3%42.5%
Term Structure0.4%-2.9%3.0%-2.4%-2.9%
VWIV21.0%16.8%29.4%29.4%17.4%
Skew 25d2.9%0.3%6.3%0.5%3.6%
Skew 10d8.4%-6.3%36.0%-6.3%4.3%
Call IV 25d19.2%15.4%27.4%27.4%16.8%
Put IV 25d22.1%17.1%27.9%27.9%20.4%
Bid-Ask Spread %35.0411.4264.6231.6135.78
Gamma HHI0.400.270.560.270.56
Net GEX314.7K68.4K536.4K68.4K416.6K
Net DEX-3.2M-5.6M910.2K910.2K-5.3M
Net VEX-19.2K-20.7K-15.6K-15.6K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.047.270.040.33
Total Volume500.429552,1711,686638
Total OI10,101.7628,66211,3468,9399,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$17.66$17.0025.4%7.3%22.2%44.6%29.4%0.5%-2.4%68.4K910.2K-15.6K0.0431.61N/AN/A1,627595,7423,197
2023-11-02$18.32$19.0027.2%6.8%25.3%49.5%23.0%3.4%0.1%203.7K-1.5M-19.6K0.2338.02N/AN/A158376,6753,251
2023-11-03$18.69$19.0025.0%6.7%25.8%43.5%24.3%1.5%-0.6%258.7K-2.9M-20.7K0.2211.42N/AN/A1,3072836,7093,276
2023-11-06$18.51$19.0026.7%6.7%26.1%48.3%23.1%1.1%-0.6%288.6K-2.4M-19.8K0.1332.72N/AN/A498667,5583,051
2023-11-07$18.30$19.0029.0%7.0%26.1%54.5%24.1%4.3%-0.4%246.0K-1.5M-18.6K0.6317.71N/AN/A48307,7253,092
2023-11-08$18.16$19.0023.8%6.8%25.7%40.0%21.5%3.8%-0.3%214.1K-896.2K-17.8K0.6456.63N/AN/A140907,7343,117
2023-11-09$18.54$19.0022.0%6.3%26.1%34.9%20.7%6.2%0.9%303.5K-2.4M-19.3K0.2150.30N/AN/A330697,8393,156
2023-11-10$18.70$19.0020.4%5.8%26.2%30.4%20.9%6.3%1.8%360.3K-3.0M-19.5K7.2719.53N/AN/A261897,9233,181
2023-11-13$18.68$19.0020.5%5.9%25.9%30.9%21.2%1.2%2.2%370.3K-3.0M-18.9K0.4922.31N/AN/A37188,0393,201
2023-11-14$18.99$19.0021.1%6.1%26.6%32.5%21.2%3.7%0.7%536.4K-4.7M-19.1K0.1264.62N/AN/A1,9362358,0533,218
2023-11-15$18.99$19.0019.2%5.5%25.1%27.2%27.6%3.2%3.0%401.8K-4.1M-18.8K0.3849.10N/AN/A80307,7303,405
2023-11-16$18.86$19.0020.2%5.8%23.9%29.8%20.2%5.6%-1.2%339.6K-3.4M-18.4K0.4826.61N/AN/A2551237,7283,400
2023-11-17$19.21$19.0017.8%5.1%22.6%23.1%17.7%2.4%1.7%406.4K-5.6M-17.7K0.1725.31N/AN/A543947,8273,519
2023-11-20$19.30$19.0019.3%5.5%22.6%27.3%20.4%3.5%-0.0%283.0K-3.7M-17.8K0.4162.42N/AN/A2981235,6702,992
2023-11-21$19.02$19.0018.9%5.4%23.4%26.4%16.8%2.9%1.6%238.8K-2.9M-20.1K0.9736.22N/AN/A1191155,6193,064
2023-11-22$19.09$19.0018.2%5.2%23.2%24.4%17.5%2.3%1.3%248.6K-3.0M-19.8K0.5427.16N/AN/A168905,6793,065
2023-11-24$19.41$19.0018.4%5.3%23.6%25.0%18.0%0.3%0.8%310.8K-4.5M-20.1K0.1236.89N/AN/A165195,8093,056
2023-11-27$19.31$19.0019.3%5.5%22.7%27.3%18.5%0.3%0.4%362.9K-4.4M-20.3K0.0432.02N/AN/A18586,2543,064
2023-11-28$19.30$19.0019.3%5.5%21.9%27.4%19.2%1.0%0.2%368.0K-4.4M-20.1K0.5923.68N/AN/A76456,3713,066
2023-11-29$19.30$19.0019.3%5.5%21.4%27.3%18.9%2.9%1.4%382.5K-4.6M-19.9K0.5435.72N/AN/A99536,4283,084
2023-11-30$19.48$19.0020.7%5.9%21.1%31.2%17.4%3.6%-2.9%416.6K-5.3M-20.5K0.3335.78N/AN/A4791596,5053,065