A Options History — March 2010

In March 2010, A traded between $22.95 and $24.76. ATM implied volatility averaged 20.3%, placing in the 1.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.0% (HV 20d: 15.3%). Max pain ranged from $21.46 to $23.61. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.64.

Notable Days

2010-03-05: Highest Volume — 12,710 contracts
2010-03-30: Largest IV drop — 8.9% change
2010-03-15: Highest IV Rank — 2.8%
2010-03-15: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.95	$22.95	$24.76	$22.95	$24.60
Max Pain	$23.11	$21.46	$23.61	$21.46	$23.61
ATM IV	20.3%	17.5%	22.2%	21.0%	18.4%
Expected Move	5.9%	5.0%	6.4%	6.0%	5.3%
HV 20d	15.3%	14.4%	19.1%	19.1%	14.8%
HV 60d	20.6%	20.3%	21.1%	20.4%	20.4%
IV Rank	1.0%	0.0%	2.8%	0.0%	1.1%
IV Percentile	1.5%	0.0%	5.6%	0.0%	0.8%
Term Structure	3.0%	1.1%	4.6%	1.3%	4.6%
VWIV	20.8%	18.2%	22.7%	22.3%	19.5%
Skew 25d	3.2%	2.1%	3.9%	2.1%	3.1%
Skew 10d	6.6%	5.2%	8.5%	5.5%	6.4%
Call IV 25d	19.1%	17.0%	20.6%	20.4%	17.0%
Put IV 25d	22.3%	19.9%	24.3%	22.4%	20.0%
Bid-Ask Spread %	5.40	3.58	7.37	7.14	4.04
Gamma HHI	0.26	0.22	0.32	0.23	0.24
Net GEX	2.6M	2.0M	3.6M	2.1M	3.6M
Net DEX	-55.7M	-75.4M	-38.3M	-38.3M	-64.8M
Net VEX	-292.9K	-341.6K	-228.5K	-228.5K	-341.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.11	4.82	0.13	0.55
Total Volume	4,341.435	945	12,710	3,639	1,402
Total OI	81,638.609	60,564	96,221	60,564	96,221

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
2010-03-01	$22.95	$21.46	21.0%	6.0%	19.1%	0.0%	22.3%	2.1%	1.3%	2.1M	-38.3M	-228.5K	0.13	7.14	N/A	N/A	3,232	407	38,762	21,802
2010-03-02	$23.15	$21.46	21.3%	6.1%	15.0%	0.4%	22.7%	2.8%	1.3%	2.2M	-41.9M	-235.5K	0.24	6.13	N/A	N/A	5,284	1,267	40,226	22,101
2010-03-03	$23.20	$21.46	21.3%	6.1%	14.8%	0.4%	20.8%	3.0%	1.1%	2.2M	-42.5M	-246.1K	0.46	7.37	N/A	N/A	854	394	42,466	22,985
2010-03-04	$23.08	$21.46	20.7%	5.9%	15.2%	0.0%	20.9%	2.5%	1.1%	2.3M	-39.8M	-249.6K	0.31	6.37	N/A	N/A	2,114	653	42,892	23,327
2010-03-05	$23.72	$22.89	20.2%	6.1%	15.3%	0.0%	22.1%	3.7%	3.1%	2.3M	-51.8M	-254.7K	0.77	5.78	N/A	N/A	7,166	5,544	43,907	23,925
2010-03-08	$23.61	$22.89	21.3%	6.3%	15.8%	1.6%	21.9%	3.5%	2.8%	2.3M	-47.5M	-287.3K	0.60	6.90	N/A	N/A	733	440	48,151	28,844
2010-03-09	$23.80	$22.89	21.0%	6.3%	15.7%	1.1%	21.0%	3.5%	2.9%	2.3M	-51.1M	-284.8K	0.79	6.73	N/A	N/A	1,153	913	48,259	29,109
2010-03-10	$24.08	$22.89	20.1%	6.2%	15.8%	0.0%	21.1%	3.6%	2.7%	2.3M	-56.9M	-288.2K	0.47	6.67	N/A	N/A	6,534	3,043	49,012	29,499
2010-03-11	$24.02	$23.61	21.6%	6.2%	15.5%	1.9%	21.8%	3.8%	3.0%	2.3M	-57.3M	-300.1K	0.53	5.93	N/A	N/A	1,528	808	51,460	31,584
2010-03-12	$23.91	$23.61	22.2%	6.4%	16.0%	2.8%	22.4%	3.9%	2.8%	2.2M	-53.0M	-295.1K	0.23	4.97	N/A	N/A	5,312	1,223	50,985	31,504
2010-03-15	$23.83	$23.61	22.2%	6.4%	15.4%	2.8%	22.7%	3.6%	2.7%	2.0M	-50.3M	-291.9K	0.49	5.20	N/A	N/A	633	312	51,486	32,350
2010-03-16	$23.91	$23.61	21.9%	6.3%	15.4%	2.3%	20.6%	3.6%	2.8%	2.1M	-56.7M	-296.5K	0.36	5.88	N/A	N/A	1,234	446	53,655	32,523
2010-03-17	$23.88	$23.61	21.4%	6.1%	15.2%	1.7%	20.0%	3.6%	3.2%	2.1M	-55.9M	-299.5K	0.55	5.68	N/A	N/A	1,083	594	54,122	32,843
2010-03-18	$23.93	$23.61	21.1%	6.1%	15.0%	1.3%	20.8%	3.2%	3.1%	2.0M	-57.3M	-295.4K	1.16	5.75	N/A	N/A	2,291	2,646	54,262	33,212
2010-03-19	$23.91	$23.61	20.6%	5.9%	15.1%	0.7%	19.8%	3.2%	3.2%	2.1M	-57.3M	-299.5K	0.36	5.84	N/A	N/A	2,073	740	55,283	34,612
2010-03-22	$24.12	$23.61	18.9%	5.4%	15.1%	0.0%	19.0%	3.1%	3.5%	2.7M	-52.5M	-296.3K	0.17	3.80	N/A	N/A	8,781	1,487	49,835	30,420
2010-03-23	$24.40	$23.61	19.2%	5.5%	14.4%	0.4%	20.1%	2.9%	3.2%	3.3M	-64.7M	-320.1K	0.84	4.00	N/A	N/A	1,939	1,630	57,185	30,998
2010-03-24	$24.25	$23.61	18.9%	5.4%	14.6%	0.1%	20.3%	3.2%	4.0%	3.3M	-61.0M	-321.0K	0.11	3.86	N/A	N/A	2,660	292	57,593	31,196
2010-03-25	$24.71	$23.61	17.6%	5.0%	15.2%	0.0%	20.0%	2.8%	3.9%	3.5M	-75.4M	-320.7K	0.18	4.12	N/A	N/A	7,433	1,317	59,323	31,139
2010-03-26	$24.54	$23.61	19.0%	5.5%	15.6%	1.9%	20.3%	3.2%	4.1%	3.6M	-69.0M	-327.9K	0.55	3.58	N/A	N/A	3,393	1,862	60,588	31,557
2010-03-29	$24.61	$23.61	19.3%	5.5%	14.4%	2.2%	19.9%	3.1%	4.0%	3.3M	-65.6M	-324.7K	0.15	3.70	N/A	N/A	4,372	636	59,075	32,719
2010-03-30	$24.76	$23.61	17.5%	5.0%	14.4%	0.0%	18.2%	3.0%	4.5%	3.6M	-71.7M	-331.0K	4.82	4.73	N/A	N/A	343	1,652	61,606	33,085
2010-03-31	$24.60	$23.61	18.4%	5.3%	14.8%	1.1%	19.5%	3.1%	4.6%	3.6M	-64.8M	-341.6K	0.55	4.04	N/A	N/A	907	495	61,699	34,522