MFC Options History — January 2012

In January 2012, MFC traded between $11.05 and $12.69. ATM implied volatility averaged 37.1%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 7.1% (HV 20d: 30.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.60.

Notable Days

2012-01-20: Highest Volume — 20,809 contracts
2012-01-12: Largest IV spike — 45.4% change
2012-01-31: Highest IV Rank — 28.9%
2012-01-31: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.76	$11.05	$12.69	$11.05	$11.72
Max Pain	$11.70	$10.00	$12.00	$10.00	$12.00
ATM IV	37.1%	25.5%	41.6%	36.9%	41.6%
Expected Move	11.1%	10.0%	11.9%	10.6%	11.9%
HV 20d	30.0%	22.9%	41.7%	41.7%	28.7%
HV 60d	43.5%	36.3%	49.2%	49.2%	36.3%
IV Rank	22.6%	6.6%	28.9%	22.4%	28.9%
IV Percentile	50.8%	4.4%	60.7%	53.2%	60.7%
Term Structure	-0.5%	-3.5%	4.0%	4.0%	-3.5%
VWIV	38.4%	29.1%	42.0%	35.6%	42.0%
Skew 25d	8.0%	2.1%	16.5%	16.4%	2.1%
Skew 10d	12.5%	-1.9%	31.5%	17.1%	-1.9%
Call IV 25d	33.3%	23.4%	42.3%	24.3%	42.3%
Put IV 25d	41.3%	29.9%	46.6%	40.7%	44.4%
Bid-Ask Spread %	34.18	18.03	62.61	37.81	41.82
Gamma HHI	0.44	0.29	0.59	0.53	0.30
Net GEX	289.8K	158.8K	564.3K	158.8K	433.6K
Net DEX	-6.3M	-15.3M	-2.5M	-2.6M	-6.4M
Net VEX	-66.2K	-100.8K	-48.7K	-50.5K	-87.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.00	16.45	0.14	0.10
Total Volume	1,847.15	105	20,809	705	564
Total OI	35,904.45	26,179	52,939	26,301	52,939

Daily Data (20 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
2012-01-03	$11.05	$10.00	36.9%	10.6%	41.7%	22.4%	35.6%	16.4%	4.0%	158.8K	-2.6M	-50.5K	0.14	37.81	N/A	N/A	621	84	17,919	8,382
2012-01-04	$11.10	$10.00	36.5%	10.5%	39.0%	21.9%	29.1%	5.7%	3.9%	162.8K	-2.7M	-49.7K	1.86	18.03	N/A	N/A	213	396	17,780	8,399
2012-01-05	$11.18	$10.00	39.8%	11.4%	38.7%	26.4%	39.8%	9.4%	2.2%	164.9K	-2.6M	-49.7K	0.15	62.61	N/A	N/A	993	146	17,716	8,543
2012-01-06	$11.11	$12.00	34.6%	11.8%	38.6%	19.2%	40.0%	5.3%	-0.7%	168.5K	-2.5M	-48.7K	0.16	27.81	N/A	N/A	127	20	17,804	8,538
2012-01-09	$11.24	$12.00	33.8%	11.6%	35.6%	18.1%	0.0%	14.8%	-1.2%	191.0K	-2.8M	-48.7K	0.28	19.16	N/A	N/A	82	23	17,887	8,535
2012-01-10	$11.40	$12.00	32.3%	11.4%	35.5%	16.0%	38.5%	6.9%	-0.1%	201.1K	-3.8M	-49.7K	0.05	28.00	N/A	N/A	383	20	17,884	8,522
2012-01-11	$11.52	$12.00	25.5%	11.0%	32.6%	6.6%	38.6%	6.1%	-1.2%	209.2K	-3.9M	-49.5K	0.00	32.23	N/A	N/A	436	1	17,948	8,512
2012-01-12	$11.66	$12.00	37.0%	10.6%	27.8%	22.6%	40.4%	7.1%	-0.1%	226.3K	-4.8M	-51.3K	0.76	44.91	N/A	N/A	146	111	18,328	8,511
2012-01-13	$11.63	$12.00	37.0%	10.6%	25.9%	22.5%	38.9%	2.4%	-0.4%	226.2K	-4.7M	-50.1K	16.45	40.88	N/A	N/A	139	2,286	18,375	8,517
2012-01-17	$11.74	$12.00	36.1%	10.4%	25.0%	21.3%	36.5%	4.5%	1.3%	184.8K	-4.5M	-52.2K	0.60	30.49	N/A	N/A	161	97	18,484	10,689
2012-01-18	$11.79	$12.00	34.9%	10.0%	24.8%	19.7%	37.4%	5.9%	1.1%	185.7K	-4.5M	-51.5K	5.72	35.23	N/A	N/A	72	412	18,412	10,698
2012-01-19	$12.17	$12.00	37.7%	10.8%	23.4%	23.5%	37.8%	7.2%	-1.6%	190.4K	-6.4M	-53.7K	1.37	34.80	N/A	N/A	805	1,100	18,420	11,001
2012-01-20	$12.48	$12.00	39.6%	11.4%	23.9%	26.2%	37.5%	11.4%	-1.9%	169.8K	-7.7M	-57.3K	0.09	31.51	N/A	N/A	19,119	1,690	18,676	12,044
2012-01-23	$12.69	$12.00	37.0%	10.6%	23.9%	22.5%	36.6%	4.1%	-2.2%	495.4K	-15.3M	-100.8K	0.20	34.55	N/A	N/A	852	170	36,376	12,609
2012-01-24	$12.58	$12.00	37.3%	10.7%	22.9%	22.9%	40.7%	12.8%	0.3%	510.8K	-14.2M	-100.5K	0.06	32.01	N/A	N/A	2,834	165	36,794	12,687
2012-01-25	$12.50	$12.00	40.2%	11.5%	23.1%	26.9%	37.1%	11.4%	-2.1%	564.3K	-13.6M	-100.0K	0.63	33.61	N/A	N/A	388	244	39,267	12,750
2012-01-26	$11.93	$12.00	41.4%	11.9%	30.2%	28.7%	41.1%	5.8%	-2.4%	464.2K	-8.6M	-94.0K	1.20	30.90	N/A	N/A	547	655	39,444	12,901
2012-01-27	$11.86	$12.00	40.9%	11.7%	29.2%	28.0%	41.1%	4.5%	-2.7%	451.2K	-7.6M	-91.3K	1.71	36.25	N/A	N/A	233	398	39,734	13,174
2012-01-30	$11.78	$12.00	41.5%	11.9%	28.8%	28.7%	41.4%	16.5%	-2.4%	437.0K	-6.5M	-88.0K	0.42	30.94	N/A	N/A	148	62	39,740	13,150
2012-01-31	$11.72	$12.00	41.6%	11.9%	28.7%	28.9%	42.0%	2.1%	-3.5%	433.6K	-6.4M	-87.6K	0.10	41.82	N/A	N/A	511	53	39,730	13,209