MFC Options History — August 2012

In August 2012, MFC traded between $10.28 and $11.70. ATM implied volatility averaged 35.0%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.3% (HV 20d: 32.7%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.47.

Notable Days

2012-08-16: Highest Volume — 71,557 contracts
2012-08-16: Largest IV drop — 28.2% change
2012-08-14: Highest IV Rank — 59.1%
2012-08-03: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.11	$10.28	$11.70	$10.43	$11.21
Max Pain	$12.04	$11.00	$13.00	$11.00	$12.00
ATM IV	35.0%	28.6%	47.7%	38.8%	31.3%
Expected Move	9.5%	8.2%	11.8%	11.1%	9.0%
HV 20d	32.7%	24.4%	37.4%	35.0%	24.4%
HV 60d	36.1%	32.8%	38.3%	37.0%	32.8%
IV Rank	29.2%	20.3%	59.1%	27.2%	25.8%
IV Percentile	27.3%	3.2%	74.2%	41.3%	13.9%
Term Structure	1.8%	-9.0%	6.1%	-1.5%	1.1%
VWIV	32.1%	28.7%	41.5%	33.9%	30.4%
Skew 25d	6.4%	-7.5%	31.8%	31.8%	-1.8%
Skew 10d	14.4%	-6.9%	116.7%	116.7%	-4.2%
Call IV 25d	29.2%	23.4%	35.8%	35.8%	29.5%
Put IV 25d	35.5%	23.0%	67.6%	67.6%	27.6%
Bid-Ask Spread %	26.55	12.94	91.71	28.93	16.74
Gamma HHI	0.30	0.20	0.55	0.22	0.21
Net GEX	87.8K	-45.3K	325.5K	-39.5K	15.4K
Net DEX	767.5K	-3.8M	3.9M	3.5M	1.5M
Net VEX	-21.7K	-25.6K	-18.4K	-18.5K	-20.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.00	7.50	0.98	0.29
Total Volume	3,799.304	92	71,557	493	143
Total OI	21,924.913	18,760	27,160	18,760	20,732

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
2012-08-01	$10.43	$11.00	38.8%	11.1%	35.0%	27.2%	0.0%	31.8%	-1.5%	-39.5K	3.5M	-18.5K	0.98	28.93	N/A	N/A	249	244	9,563	9,197
2012-08-02	$10.28	$11.00	38.1%	10.9%	34.9%	26.3%	33.9%	12.6%	-1.7%	-45.3K	3.9M	-18.4K	1.38	14.41	N/A	N/A	230	317	9,742	9,383
2012-08-03	$10.75	$11.00	41.1%	11.8%	36.7%	30.3%	41.5%	9.2%	-9.0%	-27.0K	2.9M	-20.3K	0.11	51.63	N/A	N/A	2,769	296	9,882	9,578
2012-08-06	$10.80	$13.00	39.2%	9.9%	36.5%	27.8%	34.0%	5.2%	2.3%	85.5K	1.9M	-21.9K	1.62	25.35	N/A	N/A	65	105	12,105	9,747
2012-08-07	$11.07	$13.00	37.0%	9.6%	37.4%	24.8%	31.0%	6.8%	2.8%	131.4K	980.5K	-21.9K	0.19	28.71	N/A	N/A	484	94	12,140	9,744
2012-08-08	$10.95	$13.00	45.3%	10.2%	37.4%	36.0%	33.2%	8.3%	1.2%	99.1K	1.4M	-22.7K	1.03	30.61	N/A	N/A	1,452	1,492	12,491	9,776
2012-08-09	$11.00	$13.00	33.6%	9.2%	34.5%	20.3%	31.8%	4.6%	4.8%	170.3K	1.2M	-24.3K	0.12	91.71	N/A	N/A	2,017	251	13,844	10,887
2012-08-10	$11.06	$12.00	36.0%	9.5%	33.4%	35.3%	33.0%	7.2%	3.5%	277.5K	160.9K	-25.3K	1.61	28.69	N/A	N/A	147	237	15,623	10,928
2012-08-13	$11.30	$12.00	38.0%	9.7%	33.4%	39.3%	33.1%	8.6%	2.0%	325.5K	-2.1M	-24.4K	0.78	42.77	N/A	N/A	705	548	15,710	10,918
2012-08-14	$11.45	$12.00	47.7%	9.5%	33.6%	59.1%	31.4%	7.3%	2.8%	228.7K	-2.4M	-25.6K	0.04	27.63	N/A	N/A	473	20	15,931	11,124
2012-08-15	$11.43	$12.00	39.8%	9.7%	33.6%	43.1%	33.6%	7.0%	3.1%	315.9K	-2.7M	-24.2K	1.43	30.41	N/A	N/A	77	110	16,036	11,124
2012-08-16	$11.70	$12.00	28.6%	8.2%	34.1%	20.4%	28.7%	9.9%	6.1%	224.9K	-3.8M	-24.2K	0.00	18.30	N/A	N/A	71,390	167	15,996	11,135
2012-08-17	$11.45	$12.00	31.8%	9.1%	34.1%	26.8%	31.0%	7.5%	4.3%	80.5K	-2.2M	-22.0K	2.23	34.75	N/A	N/A	111	247	13,561	11,210
2012-08-20	$11.29	$12.00	31.6%	9.1%	31.3%	26.5%	29.5%	7.6%	0.8%	21.5K	1.3M	-20.6K	1.19	17.25	N/A	N/A	42	50	10,196	8,855
2012-08-21	$11.23	$12.00	30.6%	8.8%	31.2%	24.5%	32.2%	3.9%	2.8%	19.2K	1.4M	-20.6K	2.73	16.46	N/A	N/A	165	451	10,211	8,850
2012-08-22	$11.27	$12.00	30.7%	8.8%	31.1%	24.7%	30.9%	4.8%	3.1%	22.3K	1.4M	-21.2K	0.08	12.94	N/A	N/A	191	15	10,308	8,980
2012-08-23	$10.93	$12.00	30.8%	8.8%	33.0%	24.9%	30.7%	-7.5%	2.2%	949	1.9M	-19.9K	7.50	17.74	N/A	N/A	40	300	10,458	8,994
2012-08-24	$11.07	$12.00	31.0%	8.9%	29.9%	25.3%	32.5%	0.0%	1.8%	11.2K	1.7M	-20.9K	0.56	16.33	N/A	N/A	81	45	10,463	9,089
2012-08-27	$11.01	$12.00	30.9%	8.9%	29.9%	25.0%	30.5%	2.7%	1.7%	7.9K	1.8M	-19.9K	3.11	15.04	N/A	N/A	27	84	10,469	9,077
2012-08-28	$11.18	$12.00	32.6%	9.4%	30.3%	28.6%	32.8%	7.7%	-1.1%	22.7K	1.5M	-19.7K	0.77	15.07	N/A	N/A	460	356	10,494	9,118
2012-08-29	$11.38	$12.00	31.1%	8.9%	28.7%	25.5%	30.4%	4.7%	3.3%	43.4K	961.1K	-20.6K	1.28	14.98	N/A	N/A	95	122	10,868	9,393
2012-08-30	$11.22	$12.00	30.5%	8.7%	28.6%	24.3%	29.9%	-1.4%	3.9%	27.5K	1.4M	-20.3K	4.75	14.25	N/A	N/A	73	347	10,858	9,485
2012-08-31	$11.21	$12.00	31.3%	9.0%	24.4%	25.8%	30.4%	-1.8%	1.1%	15.4K	1.5M	-20.9K	0.29	16.74	N/A	N/A	111	32	10,901	9,831