OK, I thought I understood this, but you've just thrown me a curve:
So the +25 spoos from 860 says look for +2.9% in the morning. If your envelope is 1% (+0.5% and -0.5%) then MER's 10/16 close at 35.90 makes the LOOs short at 37.12 and long at 36.76. MER opened today (10/17) at 36.90, so...