MFC Options History — August 2011

In August 2011, MFC traded between $12.49 and $15.88. ATM implied volatility averaged 56.1%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 3.2% (HV 20d: 59.3%). Max pain ranged from $13.00 to $17.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2011-08-12: Highest Volume — 4,134 contracts
2011-08-08: Largest IV spike — 65.1% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.62	$12.49	$15.88	$15.88	$13.71
Max Pain	$15.78	$13.00	$17.00	$17.00	$15.00
ATM IV	56.1%	37.9%	92.9%	37.9%	43.1%
Expected Move	15.1%	10.9%	19.1%	10.9%	12.4%
HV 20d	59.3%	27.4%	75.5%	27.4%	74.4%
HV 60d	43.0%	30.3%	49.5%	31.0%	49.5%
IV Rank	59.1%	31.0%	100.0%	58.6%	31.0%
IV Percentile	95.3%	65.5%	100.0%	65.5%	88.9%
Term Structure	-4.6%	-13.0%	2.4%	-3.3%	1.0%
VWIV	50.8%	34.9%	62.4%	34.9%	40.7%
Skew 25d	10.8%	2.1%	20.4%	2.5%	14.2%
Skew 10d	18.6%	-14.9%	36.6%	-0.4%	29.1%
Call IV 25d	47.6%	33.7%	59.2%	34.2%	40.1%
Put IV 25d	58.4%	36.7%	76.5%	36.7%	54.3%
Bid-Ask Spread %	41.62	26.05	71.58	45.37	33.38
Gamma HHI	0.31	0.15	0.69	0.15	0.47
Net GEX	25.9K	-56.4K	240.9K	-38.5K	133.7K
Net DEX	7.7M	2.8M	11.3M	5.1M	4.3M
Net VEX	-28.7K	-40.6K	-20.9K	-40.6K	-28.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.07	4.64	0.15	0.15
Total Volume	1,006.609	101	4,134	112	430
Total OI	27,144.913	23,285	31,805	23,285	28,924

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
2011-08-01	$15.88	$17.00	37.9%	10.9%	27.4%	58.6%	34.9%	2.5%	-3.3%	-38.5K	5.1M	-40.6K	0.15	45.37	N/A	N/A	97	15	12,496	10,789
2011-08-02	$15.16	$17.00	45.4%	13.0%	31.0%	84.0%	44.8%	2.4%	-3.5%	-56.4K	7.4M	-34.4K	0.48	38.52	N/A	N/A	869	415	12,513	10,774
2011-08-03	$14.99	$17.00	43.1%	12.4%	31.0%	76.1%	43.0%	4.8%	-4.6%	-31.9K	8.1M	-34.0K	2.63	39.64	N/A	N/A	260	683	13,293	10,834
2011-08-04	$14.19	$17.00	56.1%	16.1%	34.3%	100.0%	49.7%	2.4%	-11.6%	-34.6K	8.9M	-29.8K	0.53	52.42	N/A	N/A	601	316	13,390	10,823
2011-08-05	$13.98	$16.00	56.0%	14.0%	34.3%	99.9%	48.0%	4.0%	-3.9%	-31.2K	9.3M	-29.1K	0.10	39.26	N/A	N/A	1,018	104	13,495	10,956
2011-08-08	$12.61	$16.00	92.5%	18.3%	46.4%	100.0%	45.9%	2.1%	-8.0%	-26.0K	9.9M	-22.7K	1.60	47.40	N/A	N/A	892	1,425	13,563	11,004
2011-08-09	$13.47	$16.00	70.8%	15.7%	54.5%	69.8%	52.7%	19.5%	-8.4%	-47.1K	10.2M	-24.1K	0.78	41.57	N/A	N/A	789	616	13,759	11,212
2011-08-10	$12.49	$16.00	92.9%	19.1%	58.4%	100.0%	60.8%	19.8%	-13.0%	-34.6K	10.1M	-21.5K	0.33	31.49	N/A	N/A	953	310	14,326	11,426
2011-08-11	$13.18	$16.00	64.9%	18.6%	63.3%	61.2%	60.5%	9.3%	-9.5%	-19.9K	9.2M	-26.6K	0.36	71.58	N/A	N/A	1,023	368	14,717	11,490
2011-08-12	$13.30	$16.00	56.9%	16.3%	63.5%	50.1%	52.3%	10.5%	-4.8%	-15.2K	9.3M	-26.5K	1.51	42.21	N/A	N/A	1,650	2,484	15,176	11,694
2011-08-15	$14.00	$16.00	50.0%	14.3%	66.7%	40.5%	46.7%	10.7%	-3.7%	17.8K	8.9M	-32.2K	0.14	26.05	N/A	N/A	203	29	16,570	12,825
2011-08-16	$13.90	$16.00	50.0%	14.3%	65.3%	40.6%	60.8%	9.9%	-5.3%	13.9K	8.9M	-31.8K	4.64	33.89	N/A	N/A	39	181	16,653	12,854
2011-08-17	$14.18	$16.00	47.5%	13.6%	66.0%	37.0%	47.3%	8.9%	-2.7%	34.5K	8.5M	-32.3K	0.98	30.89	N/A	N/A	51	50	16,646	12,997
2011-08-18	$13.25	$16.00	57.3%	16.4%	68.6%	50.6%	49.7%	13.1%	-8.0%	-45.9K	10.7M	-25.9K	0.09	64.42	N/A	N/A	188	16	16,629	12,991
2011-08-19	$12.63	$16.00	58.4%	16.8%	69.7%	52.2%	62.4%	15.2%	-6.1%	-56.3K	11.3M	-23.0K	2.50	49.99	N/A	N/A	111	277	16,617	13,007
2011-08-22	$12.69	$16.00	57.8%	16.6%	70.0%	51.3%	58.1%	12.8%	-4.5%	-21.9K	8.7M	-20.9K	0.07	29.70	N/A	N/A	2,843	188	13,733	10,301
2011-08-23	$13.24	$13.00	54.4%	15.6%	72.8%	46.7%	51.7%	15.6%	-2.5%	240.9K	2.8M	-33.5K	0.08	27.58	N/A	N/A	1,198	95	21,398	10,407
2011-08-24	$13.36	$15.00	52.8%	15.1%	72.6%	44.5%	52.2%	8.3%	-3.0%	185.9K	3.7M	-32.3K	3.97	35.67	N/A	N/A	100	397	19,964	10,470
2011-08-25	$12.98	$15.00	57.7%	16.5%	72.6%	51.2%	57.9%	12.2%	0.6%	88.8K	6.2M	-27.9K	0.14	31.85	N/A	N/A	390	54	17,484	10,535
2011-08-26	$12.97	$15.00	54.0%	15.5%	72.7%	46.0%	50.2%	18.7%	-2.1%	90.0K	6.7M	-26.1K	0.31	38.91	N/A	N/A	795	245	17,528	10,454
2011-08-29	$13.60	$15.00	45.9%	13.2%	75.5%	34.9%	49.0%	11.6%	-0.3%	119.8K	4.9M	-29.1K	0.84	45.51	N/A	N/A	136	114	18,149	10,570
2011-08-30	$13.51	$15.00	45.6%	13.1%	74.1%	34.4%	48.6%	20.4%	2.4%	129.0K	5.1M	-28.2K	0.17	59.93	N/A	N/A	115	19	18,259	10,638
2011-08-31	$13.71	$15.00	43.1%	12.4%	74.4%	31.0%	40.7%	14.2%	1.0%	133.7K	4.3M	-28.3K	0.15	33.38	N/A	N/A	373	57	18,273	10,651