MFC Options History — December 2011

In December 2011, MFC traded between $9.86 and $11.44. ATM implied volatility averaged 42.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.0% (HV 20d: 38.0%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2011-12-22: Highest Volume — 9,242 contracts
2011-12-14: Largest IV spike — 29.9% change
2011-12-14: Highest IV Rank — 47.6%
2011-12-14: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.53	$9.86	$11.44	$10.80	$10.62
Max Pain	$10.29	$10.00	$13.00	$13.00	$10.00
ATM IV	42.9%	35.8%	55.1%	43.0%	35.8%
Expected Move	12.3%	10.3%	14.5%	12.3%	10.3%
HV 20d	38.0%	33.7%	39.6%	38.9%	39.6%
HV 60d	54.1%	48.9%	56.9%	56.3%	48.9%
IV Rank	30.7%	20.9%	47.6%	30.8%	20.9%
IV Percentile	65.2%	52.8%	88.5%	66.3%	52.8%
Term Structure	4.0%	-0.2%	9.1%	4.3%	9.1%
VWIV	41.5%	33.6%	49.3%	41.8%	43.2%
Skew 25d	8.9%	1.4%	20.3%	16.8%	8.6%
Skew 10d	16.9%	-12.4%	36.1%	19.9%	6.9%
Call IV 25d	37.5%	27.9%	45.2%	32.8%	30.4%
Put IV 25d	46.4%	35.3%	54.2%	49.5%	39.1%
Bid-Ask Spread %	36.92	15.76	84.30	38.98	16.29
Gamma HHI	0.33	0.22	0.59	0.22	0.47
Net GEX	19.0K	-127.0K	127.8K	2.4K	127.8K
Net DEX	1.6M	-1.1M	3.6M	2.4M	-1.1M
Net VEX	-26.5K	-47.2K	-15.0K	-15.0K	-47.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.01	4.84	0.79	2.16
Total Volume	1,262.143	96	9,242	1,719	256
Total OI	18,744.667	12,872	26,126	14,765	26,126

Daily Data (21 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
2011-12-01	$10.80	$13.00	43.0%	12.3%	38.9%	30.8%	0.0%	16.8%	4.3%	2.4K	2.4M	-15.0K	0.79	38.98	N/A	N/A	959	760	9,147	5,618
2011-12-02	$10.99	$13.00	43.5%	12.5%	35.1%	31.5%	41.8%	20.3%	2.8%	7.7K	2.2M	-19.3K	0.99	32.57	N/A	N/A	822	811	9,795	6,358
2011-12-05	$11.44	$10.00	42.5%	12.8%	37.9%	30.2%	41.8%	9.8%	2.1%	22.8K	1.5M	-23.6K	0.23	33.16	N/A	N/A	384	87	10,513	7,066
2011-12-06	$11.26	$10.00	41.4%	12.5%	38.0%	28.6%	37.3%	12.7%	3.7%	21.8K	1.7M	-23.3K	0.01	32.06	N/A	N/A	104	1	10,620	7,110
2011-12-07	$11.37	$10.00	44.1%	12.5%	37.3%	32.3%	40.2%	11.1%	3.1%	26.6K	1.5M	-23.5K	0.71	29.24	N/A	N/A	56	40	10,626	7,109
2011-12-08	$10.90	$10.00	46.4%	12.3%	33.7%	35.5%	49.3%	8.8%	2.6%	3.7K	2.3M	-22.1K	0.25	21.64	N/A	N/A	267	66	10,628	7,097
2011-12-09	$11.08	$10.00	39.9%	13.0%	34.4%	26.6%	42.0%	9.0%	1.3%	16.1K	2.0M	-22.9K	0.35	57.74	N/A	N/A	245	85	10,682	7,143
2011-12-12	$10.68	$10.00	50.1%	12.8%	36.0%	40.7%	46.1%	13.4%	1.1%	214	2.6M	-21.2K	0.32	24.87	N/A	N/A	376	119	10,893	7,149
2011-12-13	$10.24	$10.00	42.4%	14.0%	38.3%	30.1%	48.8%	6.3%	-0.2%	-32.3K	3.1M	-19.9K	0.46	39.82	N/A	N/A	512	236	10,885	7,250
2011-12-14	$10.01	$10.00	55.1%	14.5%	38.4%	47.6%	47.1%	8.9%	1.5%	-39.3K	3.5M	-19.2K	0.15	41.49	N/A	N/A	411	61	11,205	7,409
2011-12-15	$9.91	$10.00	47.4%	13.6%	38.4%	36.9%	47.3%	8.1%	1.9%	-50.7K	3.6M	-19.1K	1.46	38.57	N/A	N/A	149	217	11,490	7,425
2011-12-16	$10.09	$10.00	42.6%	12.2%	38.8%	30.3%	37.1%	5.2%	4.5%	-127.0K	3.4M	-19.4K	1.83	27.36	N/A	N/A	614	1,123	11,565	7,482
2011-12-19	$9.86	$10.00	43.9%	12.6%	39.0%	32.0%	44.7%	5.9%	3.8%	1.1K	1.6M	-19.7K	4.84	50.58	N/A	N/A	188	910	7,683	5,189
2011-12-20	$10.01	$10.00	42.3%	12.1%	39.2%	29.9%	40.7%	7.0%	4.0%	-5.3K	2.1M	-20.4K	0.20	15.76	N/A	N/A	793	158	7,794	6,029
2011-12-21	$10.06	$10.00	37.4%	10.7%	39.2%	23.1%	36.8%	3.0%	7.4%	-385	1.9M	-22.0K	0.83	38.74	N/A	N/A	444	368	8,335	6,138
2011-12-22	$10.44	$10.00	37.6%	10.8%	39.5%	23.4%	35.5%	10.1%	7.2%	8.5K	1.3M	-25.1K	0.07	25.52	N/A	N/A	8,642	600	8,755	6,440
2011-12-23	$10.40	$10.00	40.2%	11.5%	39.5%	27.0%	37.9%	1.4%	6.6%	99.0K	-351.6K	-40.4K	0.38	84.30	N/A	N/A	2,618	984	15,697	6,939
2011-12-27	$10.35	$10.00	41.3%	11.8%	38.4%	28.5%	33.6%	4.1%	7.0%	104.7K	-340.6K	-43.8K	0.45	79.39	N/A	N/A	606	271	17,280	7,699
2011-12-28	$10.17	$10.00	42.9%	12.3%	38.9%	30.6%	0.0%	5.7%	4.5%	100.3K	35.2K	-43.4K	0.49	16.91	N/A	N/A	223	110	17,508	7,966
2011-12-29	$10.43	$10.00	41.7%	11.9%	39.0%	29.0%	36.7%	11.1%	6.4%	111.5K	-515.3K	-45.4K	1.72	30.27	N/A	N/A	305	524	17,720	8,075
2011-12-30	$10.62	$10.00	35.8%	10.3%	39.6%	20.9%	43.2%	8.6%	9.1%	127.8K	-1.1M	-47.2K	2.16	16.29	N/A	N/A	81	175	17,919	8,207