A Options History — March 2011

In March 2011, A traded between $29.10 and $33.44. ATM implied volatility averaged 32.1%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 15.0% (HV 20d: 47.1%). Max pain ranged from $28.61 to $30.76. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.23.

Notable Days

2011-03-04: Highest Volume — 20,942 contracts
2011-03-16: Largest IV spike — 12.0% change
2011-03-16: Highest IV Rank — 82.8%
2011-03-16: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.52	$29.10	$33.44	$29.10	$32.03
Max Pain	$29.83	$28.61	$30.76	$28.61	$29.33
ATM IV	32.1%	26.3%	40.6%	32.9%	26.5%
Expected Move	9.2%	7.5%	11.7%	9.4%	7.6%
HV 20d	47.1%	40.1%	53.3%	42.4%	40.1%
HV 60d	35.9%	30.6%	37.3%	30.6%	37.1%
IV Rank	53.6%	33.8%	82.8%	56.4%	34.5%
IV Percentile	61.7%	22.6%	97.6%	74.6%	23.4%
Term Structure	1.9%	-0.4%	4.7%	-0.4%	4.7%
VWIV	33.3%	27.2%	40.7%	33.4%	27.2%
Skew 25d	4.5%	2.9%	6.8%	3.5%	3.6%
Skew 10d	9.7%	6.6%	14.7%	6.6%	7.8%
Call IV 25d	30.8%	25.0%	38.0%	32.5%	25.7%
Put IV 25d	35.3%	28.6%	44.8%	36.0%	29.2%
Bid-Ask Spread %	8.09	6.15	9.73	7.99	8.02
Gamma HHI	0.11	0.08	0.15	0.15	0.10
Net GEX	804.4K	43.2K	1.9M	912.4K	801.4K
Net DEX	-42.2M	-95.1M	-13.7M	-14.8M	-44.0M
Net VEX	-531.9K	-644.0K	-377.7K	-377.7K	-523.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.28	7.80	0.50	0.98
Total Volume	6,142.913	1,317	20,942	9,871	5,761
Total OI	102,818	81,541	117,546	81,541	98,476

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
2011-03-01	$29.10	$28.61	32.9%	9.4%	42.4%	56.4%	33.4%	3.5%	-0.4%	912.4K	-14.8M	-377.7K	0.50	7.99	N/A	N/A	6,568	3,303	44,479	37,062
2011-03-02	$29.66	$28.61	33.0%	9.4%	43.0%	56.5%	33.0%	3.8%	-0.4%	1.4M	-28.1M	-404.8K	0.87	9.50	N/A	N/A	1,952	1,697	49,158	39,931
2011-03-03	$30.63	$28.61	30.0%	8.6%	43.9%	46.6%	31.5%	2.9%	0.0%	1.9M	-51.6M	-408.0K	2.73	8.15	N/A	N/A	4,358	11,911	50,339	41,058
2011-03-04	$33.44	$28.61	32.4%	8.9%	53.3%	54.7%	33.0%	3.3%	0.6%	1.5M	-95.1M	-486.4K	0.28	8.56	N/A	N/A	16,400	4,542	50,427	51,641
2011-03-07	$32.81	$29.33	32.6%	9.3%	51.7%	55.3%	34.4%	3.4%	0.8%	1.5M	-78.0M	-507.6K	1.06	8.13	N/A	N/A	6,541	6,958	50,423	53,296
2011-03-08	$32.88	$30.04	29.9%	9.2%	50.5%	46.3%	31.8%	4.8%	1.4%	1.4M	-76.7M	-521.0K	0.84	7.04	N/A	N/A	1,992	1,666	50,787	55,211
2011-03-09	$32.94	$30.04	31.4%	9.3%	50.4%	51.1%	34.8%	4.1%	1.2%	1.4M	-75.9M	-531.7K	1.03	7.93	N/A	N/A	1,959	2,023	51,202	56,352
2011-03-10	$32.10	$30.76	34.9%	10.0%	50.9%	63.1%	35.2%	4.7%	0.8%	1.1M	-57.9M	-551.4K	1.09	6.15	N/A	N/A	1,816	1,978	51,481	56,816
2011-03-11	$32.43	$30.76	34.4%	9.9%	50.9%	61.5%	35.6%	4.3%	1.2%	1.3M	-65.2M	-552.7K	1.35	7.19	N/A	N/A	2,413	3,259	51,855	57,080
2011-03-14	$32.07	$30.76	35.4%	10.1%	50.4%	64.8%	36.4%	4.9%	0.9%	1.1M	-56.8M	-558.2K	1.16	7.10	N/A	N/A	1,777	2,065	52,317	58,779
2011-03-15	$31.34	$30.76	36.3%	10.4%	51.0%	67.9%	37.8%	5.5%	1.1%	681.9K	-39.0M	-562.9K	0.78	7.73	N/A	N/A	4,016	3,136	53,071	59,827
2011-03-16	$30.28	$30.76	40.6%	11.7%	49.5%	82.8%	40.7%	6.8%	0.3%	121.1K	-13.7M	-573.5K	0.65	7.27	N/A	N/A	2,126	1,390	54,277	61,561
2011-03-17	$30.36	$30.76	38.5%	11.0%	48.8%	75.4%	37.1%	6.5%	0.6%	520.9K	-18.1M	-565.8K	0.66	7.10	N/A	N/A	3,912	2,582	55,132	61,137
2011-03-18	$30.72	$30.76	35.8%	10.3%	48.9%	66.4%	35.6%	6.1%	1.6%	295.2K	-27.5M	-566.1K	0.40	8.79	N/A	N/A	1,875	756	55,313	62,233
2011-03-21	$31.44	$30.76	32.1%	9.2%	49.7%	53.5%	35.5%	5.5%	2.6%	189.0K	-24.0M	-559.8K	2.02	9.21	N/A	N/A	1,664	3,368	40,838	52,162
2011-03-22	$30.89	$30.04	32.0%	9.2%	48.6%	53.4%	32.0%	5.6%	2.5%	43.2K	-16.3M	-556.7K	0.81	9.73	N/A	N/A	1,493	1,216	41,698	53,784
2011-03-23	$31.24	$30.04	29.8%	8.5%	44.9%	45.6%	34.5%	4.6%	3.3%	145.7K	-22.1M	-555.0K	0.51	8.95	N/A	N/A	2,226	1,144	41,802	54,220
2011-03-24	$31.41	$29.33	29.1%	8.3%	44.7%	43.4%	29.5%	4.5%	3.5%	309.2K	-27.8M	-564.7K	0.50	8.01	N/A	N/A	1,391	691	43,506	54,817
2011-03-25	$31.50	$29.33	28.3%	8.1%	43.6%	40.6%	30.1%	4.0%	4.1%	393.2K	-30.2M	-563.7K	0.86	8.26	N/A	N/A	990	854	44,122	55,239
2011-03-28	$31.44	$29.33	28.8%	8.3%	43.5%	42.5%	31.4%	3.8%	4.0%	461.2K	-31.0M	-552.4K	1.06	8.95	N/A	N/A	640	677	44,530	55,414
2011-03-29	$31.87	$29.33	27.2%	7.8%	41.5%	36.8%	28.5%	3.5%	4.2%	626.0K	-38.6M	-545.3K	7.80	8.18	N/A	N/A	1,405	10,959	44,705	55,917
2011-03-30	$32.25	$29.33	26.3%	7.5%	41.3%	33.8%	27.7%	3.6%	4.6%	477.0K	-37.7M	-644.0K	0.36	8.05	N/A	N/A	1,350	487	45,155	66,184
2011-03-31	$32.03	$29.33	26.5%	7.6%	40.1%	34.5%	27.2%	3.6%	4.7%	801.4K	-44.0M	-523.9K	0.98	8.02	N/A	N/A	2,916	2,845	45,051	53,425