MFC Options History — February 2014

In February 2014, MFC traded between $17.67 and $19.49. ATM implied volatility averaged 24.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.7% (HV 20d: 29.6%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.51.

Notable Days

2014-02-13: Highest Volume — 697 contracts
2014-02-13: Largest IV drop — 30.2% change
2014-02-03: Highest IV Rank — 66.5%
2014-02-03: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.73	$17.67	$19.49	$17.67	$18.98
Max Pain	$19.00	$19.00	$19.00	$19.00	$19.00
ATM IV	24.9%	20.2%	31.4%	31.4%	20.7%
Expected Move	6.8%	5.8%	9.0%	9.0%	5.9%
HV 20d	29.6%	25.5%	32.2%	30.1%	25.5%
HV 60d	23.2%	22.2%	23.8%	23.0%	23.8%
IV Rank	43.1%	26.4%	66.5%	66.5%	27.9%
IV Percentile	65.6%	34.1%	96.8%	96.8%	38.1%
Term Structure	-0.8%	-4.6%	1.2%	-4.6%	0.6%
VWIV	23.6%	18.9%	31.9%	31.9%	21.9%
Skew 25d	3.8%	0.4%	6.1%	4.4%	3.4%
Skew 10d	10.2%	2.1%	26.8%	12.6%	5.7%
Call IV 25d	22.9%	18.3%	32.0%	32.0%	20.8%
Put IV 25d	26.6%	22.3%	36.4%	36.4%	24.3%
Bid-Ask Spread %	91.64	85.94	103.30	87.61	94.14
Gamma HHI	0.32	0.20	0.68	0.20	0.29
Net GEX	-38.1K	-315.5K	48.9K	-9.9K	48.9K
Net DEX	-1.4M	-2.7M	153.6K	153.6K	-2.4M
Net VEX	-33.4K	-35.3K	-32.1K	-32.7K	-33.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.06	7.94	7.86	0.48
Total Volume	193.105	17	697	124	155
Total OI	9,808.158	9,065	10,659	9,312	9,513

Daily Data (19 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
2014-02-03	$17.67	$19.00	31.4%	9.0%	30.1%	66.5%	31.9%	4.4%	-4.6%	-9.9K	153.6K	-32.7K	7.86	87.61	N/A	N/A	14	110	4,312	5,000
2014-02-04	$17.84	$19.00	29.9%	8.6%	30.6%	61.3%	29.6%	0.4%	-3.5%	-10.5K	78.4K	-32.5K	0.65	85.94	N/A	N/A	175	114	4,324	5,051
2014-02-05	$18.00	$19.00	29.6%	8.5%	30.9%	60.1%	28.2%	4.2%	-2.8%	-10.2K	-40.6K	-33.3K	0.76	87.09	N/A	N/A	80	61	4,424	5,146
2014-02-06	$18.22	$19.00	30.2%	8.6%	30.1%	62.2%	29.5%	3.5%	-3.8%	-3.4K	-413.7K	-33.7K	2.16	92.75	N/A	N/A	82	177	4,483	5,193
2014-02-07	$18.30	$19.00	30.0%	6.9%	28.4%	61.6%	22.5%	6.1%	-0.7%	-1.0K	-475.6K	-33.6K	0.00	91.23	N/A	N/A	0	20	4,521	5,214
2014-02-10	$18.12	$19.00	30.2%	7.2%	28.4%	62.4%	0.0%	5.7%	-1.0%	-8.2K	-253.6K	-32.7K	0.43	91.20	N/A	N/A	23	10	4,521	5,234
2014-02-11	$18.59	$19.00	27.0%	6.6%	30.0%	50.8%	23.4%	4.0%	0.1%	8.0K	-983.3K	-33.6K	0.20	91.02	N/A	N/A	203	41	4,544	5,244
2014-02-12	$18.99	$19.00	29.5%	6.4%	31.1%	59.7%	22.0%	4.2%	-0.6%	21.6K	-1.8M	-34.4K	1.78	88.57	N/A	N/A	69	123	4,609	5,285
2014-02-13	$19.02	$19.00	20.6%	5.9%	30.3%	27.6%	20.2%	2.4%	1.1%	26.8K	-1.9M	-34.1K	7.94	96.86	N/A	N/A	78	619	4,673	5,372
2014-02-14	$19.49	$19.00	21.5%	6.2%	31.8%	31.0%	20.0%	4.0%	0.3%	-66.8K	-2.7M	-35.3K	0.46	103.30	N/A	N/A	190	88	4,675	5,972
2014-02-18	$19.28	$19.00	22.2%	6.4%	32.0%	33.3%	20.1%	6.0%	1.2%	-110.2K	-2.3M	-35.3K	0.15	90.90	N/A	N/A	144	22	4,635	5,984
2014-02-19	$19.02	$19.00	22.0%	6.3%	32.2%	32.8%	24.5%	3.9%	-0.1%	-219.6K	-1.4M	-34.1K	2.61	91.50	N/A	N/A	28	73	4,667	5,992
2014-02-20	$19.08	$19.00	21.8%	6.2%	32.2%	31.9%	21.9%	4.1%	0.5%	-315.5K	-1.7M	-33.0K	0.37	94.52	N/A	N/A	60	22	4,574	5,894
2014-02-21	$19.18	$19.00	22.1%	6.3%	31.7%	33.2%	0.0%	5.5%	-1.6%	-221.9K	-1.8M	-33.1K	0.06	89.59	N/A	N/A	16	1	4,574	5,916
2014-02-24	$19.15	$19.00	21.2%	6.1%	27.4%	29.9%	21.2%	2.8%	-0.2%	37.1K	-2.3M	-32.1K	0.23	86.79	N/A	N/A	44	10	4,160	4,905
2014-02-25	$19.10	$19.00	21.8%	6.3%	26.6%	32.1%	18.9%	3.5%	-1.1%	35.3K	-2.3M	-32.2K	0.17	92.65	N/A	N/A	231	40	4,178	4,903
2014-02-26	$18.80	$19.00	21.0%	6.0%	26.9%	29.1%	0.0%	1.4%	0.4%	33.5K	-1.9M	-32.4K	0.23	91.88	N/A	N/A	202	47	4,329	4,943
2014-02-27	$19.06	$19.00	20.2%	5.8%	26.2%	26.4%	21.2%	2.1%	0.6%	41.6K	-2.1M	-33.4K	0.64	93.55	N/A	N/A	181	116	4,420	4,971
2014-02-28	$18.98	$19.00	20.7%	5.9%	25.5%	27.9%	21.9%	3.4%	0.6%	48.9K	-2.4M	-33.3K	0.48	94.14	N/A	N/A	105	50	4,530	4,983