A Options History — March 2009

In March 2009, A traded between $8.90 and $12.26. ATM implied volatility averaged 55.3%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 11.3% (HV 20d: 66.6%). Max pain ranged from $8.94 to $12.52. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2009-03-16: Highest Volume — 8,841 contracts
2009-03-12: Largest IV drop — 22.7% change
2009-03-10: Highest IV Rank — 54.5%
2009-03-05: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.23	$8.90	$12.26	$9.07	$10.99
Max Pain	$10.73	$8.94	$12.52	$12.52	$10.73
ATM IV	55.3%	45.6%	66.8%	62.5%	53.8%
Expected Move	15.5%	13.1%	17.9%	17.9%	15.4%
HV 20d	66.6%	59.2%	73.2%	59.2%	67.6%
HV 60d	55.6%	51.3%	61.1%	51.8%	60.6%
IV Rank	40.4%	28.5%	54.5%	49.3%	38.6%
IV Percentile	64.6%	48.0%	82.5%	76.6%	61.9%
Term Structure	2.9%	-3.2%	5.6%	-3.0%	5.5%
VWIV	53.8%	48.1%	62.8%	62.1%	52.8%
Skew 25d	10.3%	7.6%	13.4%	10.8%	11.0%
Skew 10d	21.2%	12.5%	30.9%	12.5%	19.6%
Call IV 25d	50.4%	44.9%	59.8%	59.8%	49.5%
Put IV 25d	60.7%	53.2%	71.1%	70.5%	60.5%
Bid-Ask Spread %	3.47	2.03	6.33	2.03	2.60
Gamma HHI	0.33	0.25	0.43	0.36	0.28
Net GEX	49.1K	-89.3K	277.9K	-69.7K	169.5K
Net DEX	5.6M	-10.7M	13.7M	13.5M	-833.3K
Net VEX	-67.2K	-98.3K	-41.8K	-42.2K	-87.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.12	1.24	1.09	0.69
Total Volume	3,804.227	1,776	8,841	3,390	1,776
Total OI	60,120.818	51,616	73,101	51,616	61,095

Daily Data (22 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
2009-03-02	$9.07	$12.52	62.5%	17.9%	59.2%	49.3%	62.1%	10.8%	-3.0%	-69.7K	13.5M	-42.2K	1.09	2.03	N/A	N/A	1,622	1,768	28,841	22,775
2009-03-03	$9.07	$12.52	61.3%	17.6%	59.3%	47.8%	60.6%	12.1%	-2.7%	-82.0K	13.7M	-41.8K	1.24	2.22	N/A	N/A	2,488	3,076	29,291	23,320
2009-03-04	$9.52	$12.52	60.5%	17.4%	63.1%	46.9%	56.7%	9.9%	-2.4%	-89.3K	12.8M	-47.2K	1.17	3.45	N/A	N/A	1,553	1,822	30,520	24,360
2009-03-05	$8.97	$12.52	62.6%	17.9%	63.9%	49.4%	62.8%	13.4%	-3.2%	-58.1K	13.3M	-43.7K	0.55	2.22	N/A	N/A	1,465	807	31,420	24,527
2009-03-06	$9.05	$8.94	62.9%	17.0%	60.3%	49.8%	58.1%	10.2%	2.5%	-59.9K	13.0M	-45.1K	0.71	3.87	N/A	N/A	2,335	1,669	32,067	24,806
2009-03-09	$8.90	$8.94	66.1%	17.5%	59.9%	53.7%	57.9%	10.7%	1.7%	-39.2K	12.8M	-44.9K	0.46	3.46	N/A	N/A	3,148	1,450	32,915	24,687
2009-03-10	$9.61	$8.94	66.8%	17.2%	69.3%	54.5%	54.6%	10.6%	1.6%	-61.9K	11.3M	-51.3K	0.53	3.84	N/A	N/A	2,708	1,426	32,572	25,136
2009-03-11	$9.68	$8.94	66.4%	16.9%	69.2%	54.1%	54.8%	10.1%	1.9%	-57.5K	10.9M	-54.5K	0.49	4.14	N/A	N/A	1,451	705	33,373	25,664
2009-03-12	$9.88	$10.73	51.4%	14.7%	70.0%	35.6%	54.2%	9.7%	3.8%	-48.9K	10.2M	-56.1K	0.82	4.83	N/A	N/A	2,617	2,156	34,241	25,860
2009-03-13	$10.01	$10.73	49.8%	14.3%	70.0%	33.7%	51.3%	9.6%	5.0%	-33.0K	9.3M	-62.3K	0.40	2.83	N/A	N/A	1,682	665	35,987	26,809
2009-03-16	$9.84	$10.73	50.6%	14.5%	69.9%	34.6%	52.0%	10.4%	4.8%	-31.9K	9.9M	-60.4K	0.16	2.65	N/A	N/A	7,633	1,208	36,446	27,118
2009-03-17	$10.31	$10.73	48.0%	13.8%	72.2%	31.5%	50.5%	10.2%	5.4%	39.6K	6.6M	-69.0K	0.12	3.15	N/A	N/A	3,674	432	40,054	27,686
2009-03-18	$10.39	$10.73	48.2%	13.8%	65.0%	31.7%	52.4%	10.5%	5.6%	105.7K	5.1M	-74.6K	0.49	3.72	N/A	N/A	2,802	1,383	44,194	27,838
2009-03-19	$10.54	$10.73	49.1%	14.1%	64.6%	32.8%	50.5%	9.5%	4.7%	78.3K	4.5M	-75.3K	1.00	3.23	N/A	N/A	1,732	1,724	43,107	28,505
2009-03-20	$10.32	$10.73	48.7%	14.0%	64.4%	32.4%	50.5%	9.8%	5.5%	45.2K	5.9M	-77.9K	0.79	3.21	N/A	N/A	1,293	1,025	43,550	29,551
2009-03-23	$11.37	$10.73	50.9%	14.6%	69.5%	35.1%	48.5%	9.6%	4.0%	175.4K	-3.8M	-85.1K	0.30	3.16	N/A	N/A	3,187	941	33,601	20,791
2009-03-24	$11.29	$10.73	51.2%	14.7%	68.1%	35.4%	51.0%	10.5%	4.4%	206.0K	-3.9M	-88.6K	0.42	5.02	N/A	N/A	2,435	1,018	35,540	21,156
2009-03-25	$11.42	$10.73	51.5%	14.8%	67.8%	35.7%	51.4%	9.6%	4.3%	219.8K	-4.8M	-91.6K	0.72	3.50	N/A	N/A	1,578	1,135	36,264	21,314
2009-03-26	$12.26	$10.73	45.6%	13.1%	70.4%	28.5%	49.9%	7.6%	4.9%	277.9K	-10.7M	-98.3K	0.75	3.72	N/A	N/A	3,516	2,646	36,423	21,468
2009-03-27	$11.60	$10.73	52.8%	15.2%	73.2%	37.4%	48.1%	9.7%	4.6%	223.5K	-5.4M	-94.8K	0.97	3.22	N/A	N/A	1,033	1,005	36,259	22,319
2009-03-30	$11.01	$10.73	54.9%	15.7%	67.6%	39.9%	52.2%	11.3%	4.2%	170.7K	-1.3M	-87.0K	0.73	6.33	N/A	N/A	2,263	1,641	36,570	22,638
2009-03-31	$10.99	$10.73	53.8%	15.4%	67.6%	38.6%	52.8%	11.0%	5.5%	169.5K	-833.3K	-87.7K	0.69	2.60	N/A	N/A	1,049	727	37,398	23,697