MFC Options History — September 2007

In September 2007, MFC traded between $38.23 and $41.26. ATM implied volatility averaged 19.7%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.6% (HV 20d: 21.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.23.

Notable Days

2007-09-12: Highest Volume — 412 contracts
2007-09-17: Largest IV spike — 13.2% change
2007-09-18: Highest IV Rank — 36.4%
2007-09-18: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.68	$38.23	$41.26	$38.96	$41.26
Max Pain	$39.21	$35.00	$40.00	$35.00	$40.00
ATM IV	19.7%	17.3%	22.6%	21.2%	17.5%
Expected Move	5.6%	5.0%	6.5%	6.1%	5.0%
HV 20d	21.3%	11.5%	31.0%	30.8%	11.5%
HV 60d	22.9%	22.8%	23.1%	22.8%	22.9%
IV Rank	28.1%	21.2%	36.4%	32.5%	21.8%
IV Percentile	76.6%	56.2%	89.3%	85.7%	59.1%
Term Structure	0.5%	-1.5%	2.8%	0.1%	2.6%
VWIV	20.2%	17.0%	27.6%	21.6%	17.5%
Skew 25d	3.7%	2.5%	5.5%	2.7%	2.5%
Skew 10d	2.8%	1.0%	4.7%	3.9%	1.1%
Call IV 25d	17.9%	16.7%	19.3%	17.3%	19.3%
Put IV 25d	21.6%	20.0%	23.4%	20.0%	21.8%
Bid-Ask Spread %	41.77	21.79	73.59	26.54	23.21
Gamma HHI	0.78	0.67	0.90	0.77	0.68
Net GEX	238.0K	131.6K	473.1K	187.7K	184.9K
Net DEX	-5.9M	-8.0M	-4.2M	-5.6M	-5.8M
Net VEX	-20.5K	-23.9K	-17.8K	-18.6K	-23.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	1.38	0.00	0.13
Total Volume	143.579	2	412	39	87
Total OI	5,978	3,472	7,367	6,600	3,788

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$38.96	$35.00	21.2%	6.1%	30.8%	32.5%	21.6%	2.7%	0.1%	187.7K	-5.6M	-18.6K	0.00	26.54	N/A	N/A	39	0	2,709	3,891
2007-09-05	$38.71	$35.00	18.5%	5.3%	31.0%	24.8%	27.6%	2.8%	-0.3%	190.0K	-5.5M	-18.6K	0.00	73.59	N/A	N/A	2	0	2,720	3,891
2007-09-06	$38.65	$35.00	18.7%	5.4%	29.0%	25.3%	0.0%	3.2%	-0.1%	174.9K	-5.3M	-18.0K	0.00	41.43	N/A	N/A	10	0	2,721	3,891
2007-09-07	$38.28	$40.00	20.2%	5.1%	27.7%	29.6%	0.0%	3.8%	-0.5%	180.1K	-5.1M	-18.3K	0.00	39.38	N/A	N/A	28	0	2,731	3,891
2007-09-10	$38.23	$40.00	21.4%	6.0%	27.7%	33.0%	0.0%	4.5%	-0.4%	169.5K	-5.0M	-18.1K	0.00	31.38	N/A	N/A	31	0	2,757	3,891
2007-09-11	$38.70	$40.00	20.2%	6.1%	27.7%	29.6%	0.0%	3.3%	-0.6%	186.6K	-5.3M	-17.8K	0.00	32.03	N/A	N/A	38	0	2,770	3,891
2007-09-12	$38.87	$40.00	19.7%	5.9%	24.1%	28.0%	0.0%	4.0%	-0.0%	211.0K	-5.6M	-17.8K	0.19	32.26	N/A	N/A	347	65	2,800	3,891
2007-09-13	$38.92	$40.00	20.5%	5.9%	23.8%	30.5%	20.6%	3.3%	0.2%	255.6K	-6.1M	-19.6K	0.08	44.42	N/A	N/A	123	10	2,904	3,938
2007-09-14	$39.47	$40.00	18.7%	5.4%	21.8%	25.2%	18.7%	5.5%	2.3%	274.4K	-6.3M	-19.8K	0.14	46.69	N/A	N/A	76	11	2,886	3,948
2007-09-17	$39.52	$40.00	21.2%	6.1%	18.1%	32.3%	0.0%	5.3%	-0.1%	308.8K	-6.5M	-19.3K	1.38	40.69	N/A	N/A	77	106	2,892	3,941
2007-09-18	$40.29	$40.00	22.6%	6.5%	17.9%	36.4%	22.6%	4.5%	-1.5%	309.8K	-7.2M	-20.2K	0.41	71.71	N/A	N/A	257	105	2,893	4,043
2007-09-19	$40.20	$40.00	20.4%	5.8%	18.0%	30.0%	20.3%	4.4%	0.1%	403.9K	-7.6M	-20.8K	0.79	70.55	N/A	N/A	124	98	2,925	4,118
2007-09-20	$40.35	$40.00	20.1%	5.8%	17.9%	29.4%	17.9%	4.5%	-0.0%	473.1K	-8.0M	-21.9K	1.04	58.21	N/A	N/A	181	188	2,979	4,202
2007-09-21	$40.38	$40.00	19.5%	5.6%	17.4%	27.5%	19.8%	3.3%	-0.4%	401.7K	-7.9M	-22.8K	0.10	52.53	N/A	N/A	294	30	3,006	4,361
2007-09-24	$40.35	$40.00	19.2%	5.5%	17.4%	26.6%	0.0%	5.0%	1.2%	131.6K	-4.2M	-23.4K	0.00	21.79	N/A	N/A	4	0	2,087	1,385
2007-09-25	$40.85	$40.00	18.5%	5.3%	17.7%	24.8%	0.0%	2.8%	2.4%	139.5K	-4.4M	-23.1K	0.00	35.43	N/A	N/A	196	0	2,087	1,385
2007-09-26	$40.87	$40.00	18.8%	5.4%	14.2%	25.5%	18.7%	2.7%	1.9%	161.7K	-5.1M	-23.5K	0.06	28.50	N/A	N/A	108	6	2,263	1,385
2007-09-27	$41.04	$40.00	17.3%	5.0%	11.6%	21.2%	17.0%	2.7%	2.8%	177.9K	-5.4M	-23.9K	0.13	23.20	N/A	N/A	77	10	2,336	1,385
2007-09-28	$41.26	$40.00	17.5%	5.0%	11.5%	21.8%	17.5%	2.5%	2.6%	184.9K	-5.8M	-23.6K	0.13	23.21	N/A	N/A	77	10	2,406	1,382