MFC Options History — March 2011

In March 2011, MFC traded between $16.31 and $19.08. ATM implied volatility averaged 32.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.3% (HV 20d: 34.5%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.57.

Notable Days

2011-03-22: Highest Volume — 4,303 contracts
2011-03-10: Largest IV spike — 38.2% change
2011-03-16: Highest IV Rank — 81.3%
2011-03-16: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.72	$16.31	$19.08	$18.85	$17.69
Max Pain	$18.48	$15.00	$19.00	$15.00	$19.00
ATM IV	32.2%	23.7%	45.5%	30.3%	26.5%
Expected Move	9.5%	7.6%	13.0%	8.7%	7.6%
HV 20d	34.5%	29.7%	38.6%	36.4%	33.0%
HV 60d	28.9%	25.8%	30.9%	27.4%	30.9%
IV Rank	41.0%	14.8%	81.3%	36.0%	23.4%
IV Percentile	30.6%	6.7%	92.5%	20.6%	6.7%
Term Structure	1.0%	-4.0%	5.5%	1.2%	5.5%
VWIV	32.8%	26.7%	43.4%	30.0%	27.1%
Skew 25d	5.8%	2.9%	8.7%	6.9%	7.3%
Skew 10d	9.8%	-0.4%	21.0%	11.7%	7.1%
Call IV 25d	29.7%	21.3%	39.0%	27.7%	21.3%
Put IV 25d	35.5%	28.6%	44.1%	34.6%	28.6%
Bid-Ask Spread %	30.73	18.50	53.89	31.93	20.06
Gamma HHI	0.17	0.13	0.22	0.20	0.22
Net GEX	99.5K	-51.3K	321.6K	321.6K	112.7K
Net DEX	-9.7M	-25.2M	550.0K	-24.5M	-5.9M
Net VEX	-91.7K	-100.2K	-83.6K	-83.6K	-99.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.57	0.00	15.45	15.45	0.20
Total Volume	1,154.826	93	4,303	3,684	100
Total OI	40,335.957	29,570	47,688	39,615	36,507

Daily Data (23 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
2011-03-01	$18.85	$15.00	30.3%	8.7%	36.4%	36.0%	30.0%	6.9%	1.2%	321.6K	-24.5M	-83.6K	15.45	31.93	N/A	N/A	224	3,460	21,957	17,658
2011-03-02	$18.57	$15.00	29.9%	8.6%	34.9%	34.8%	37.1%	3.8%	2.2%	119.4K	-19.7M	-92.8K	0.03	20.36	N/A	N/A	1,291	38	21,913	20,822
2011-03-03	$19.08	$15.00	28.1%	8.1%	36.0%	29.5%	26.7%	4.9%	2.7%	167.8K	-25.2M	-89.1K	0.75	23.37	N/A	N/A	772	582	22,761	20,848
2011-03-04	$18.88	$19.00	28.3%	9.1%	34.0%	30.0%	32.7%	5.1%	-0.9%	122.2K	-22.4M	-91.3K	9.66	31.08	N/A	N/A	86	831	22,190	21,319
2011-03-07	$18.46	$19.00	29.3%	9.6%	34.4%	32.7%	33.0%	6.1%	0.0%	136.6K	-18.9M	-91.7K	0.11	32.57	N/A	N/A	330	37	22,245	21,232
2011-03-08	$18.54	$19.00	27.9%	8.5%	34.0%	27.6%	33.2%	6.0%	2.2%	131.1K	-19.4M	-89.7K	0.20	23.23	N/A	N/A	505	103	22,293	21,178
2011-03-09	$18.33	$19.00	23.7%	9.5%	34.2%	14.8%	30.1%	4.5%	-0.6%	121.2K	-17.7M	-90.5K	0.00	19.86	N/A	N/A	93	0	22,324	21,203
2011-03-10	$18.00	$19.00	32.8%	9.4%	34.3%	42.6%	32.8%	5.8%	1.5%	116.0K	-14.7M	-90.6K	1.45	18.50	N/A	N/A	125	181	22,332	21,203
2011-03-11	$17.88	$19.00	33.8%	9.7%	29.7%	45.7%	31.7%	5.9%	-0.2%	116.7K	-13.1M	-89.4K	0.46	46.21	N/A	N/A	241	112	22,399	21,301
2011-03-14	$17.26	$19.00	38.6%	11.1%	32.0%	60.2%	40.7%	5.4%	-0.2%	100.4K	-6.7M	-83.9K	1.45	28.75	N/A	N/A	1,628	2,366	22,333	21,207
2011-03-15	$16.31	$19.00	41.5%	11.9%	36.6%	69.1%	40.9%	2.9%	-3.6%	-25.3K	550.0K	-84.3K	1.98	40.87	N/A	N/A	834	1,648	23,457	22,535
2011-03-16	$16.32	$19.00	45.5%	13.0%	34.9%	81.3%	43.4%	7.4%	-3.1%	13.6K	-1.4M	-86.3K	2.17	53.51	N/A	N/A	415	900	23,948	22,880
2011-03-17	$16.65	$19.00	37.6%	10.8%	34.4%	57.2%	35.5%	6.3%	-0.6%	-44.1K	-1.9M	-85.9K	2.14	28.84	N/A	N/A	242	519	24,157	23,299
2011-03-18	$17.02	$19.00	34.6%	9.9%	36.0%	48.1%	32.7%	6.2%	0.9%	68.7K	-3.5M	-87.9K	1.18	31.48	N/A	N/A	270	319	24,251	23,437
2011-03-21	$17.60	$19.00	29.7%	8.5%	38.6%	33.1%	30.3%	6.9%	4.9%	-44.7K	-2.7M	-89.1K	1.52	34.96	N/A	N/A	541	822	14,903	14,667
2011-03-22	$17.50	$19.00	32.9%	9.4%	35.2%	42.7%	32.9%	5.0%	3.9%	-51.3K	-2.2M	-89.6K	0.04	53.89	N/A	N/A	4,120	183	15,172	15,215
2011-03-23	$17.38	$19.00	33.1%	9.5%	35.2%	43.5%	32.0%	4.7%	0.8%	146.0K	-3.7M	-99.1K	7.52	21.14	N/A	N/A	21	158	19,235	15,389
2011-03-24	$17.52	$19.00	29.8%	8.5%	33.9%	33.2%	31.5%	6.4%	3.2%	136.0K	-4.9M	-100.1K	0.69	19.30	N/A	N/A	191	131	19,235	15,518
2011-03-25	$17.43	$19.00	31.8%	9.1%	33.7%	39.5%	29.4%	3.6%	2.4%	145.9K	-4.8M	-98.4K	7.42	30.10	N/A	N/A	113	838	19,372	15,621
2011-03-28	$17.15	$19.00	35.4%	10.1%	33.6%	50.5%	31.8%	6.9%	-4.0%	129.9K	-2.6M	-97.8K	0.91	46.86	N/A	N/A	259	235	19,465	16,297
2011-03-29	$17.35	$19.00	31.8%	9.1%	34.1%	39.4%	31.5%	8.7%	0.8%	125.7K	-2.2M	-98.3K	3.83	29.80	N/A	N/A	70	268	19,702	16,367
2011-03-30	$17.68	$19.00	28.1%	8.1%	34.8%	28.3%	28.1%	6.8%	3.1%	121.8K	-5.2M	-100.2K	0.03	20.05	N/A	N/A	349	10	19,747	16,633
2011-03-31	$17.69	$19.00	26.5%	7.6%	33.0%	23.4%	27.1%	7.3%	5.5%	112.7K	-5.9M	-99.5K	0.20	20.06	N/A	N/A	83	17	20,009	16,498