L Options History — June 2008

Name: L Options Analytics - June 2008
Creator: Options Analysis Suite

In June 2008, L traded between $46.90 and $49.00. ATM implied volatility averaged 28.5%. The 30-day expected move averaged 8.2%. Max pain ranged from $35.00 to $55.00. Net GEX was positive for 1 of 6 trading days. Term structure was in contango for 6 of 6 days. Put/call ratio averaged 1.80.

Notable Days

2008-06-24: Highest Volume — 239 contracts
2008-06-30: Largest IV spike — 22.4% change
2008-06-30: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.06	$46.90	$49.00	$48.80	$46.90
Max Pain	$51.67	$35.00	$55.00	$35.00	$55.00
ATM IV	28.5%	24.6%	33.4%	29.9%	33.4%
Expected Move	8.2%	7.1%	9.6%	8.6%	9.6%
Term Structure	3.9%	1.8%	7.4%	1.8%	1.9%
VWIV	27.9%	24.6%	30.3%	28.5%	28.5%
Skew 25d	5.9%	1.1%	11.2%	6.4%	6.2%
Skew 10d	9.5%	5.0%	16.1%	13.0%	5.0%
Call IV 25d	25.6%	22.0%	28.2%	26.6%	28.2%
Put IV 25d	31.4%	29.1%	34.5%	33.0%	34.5%
Bid-Ask Spread %	47.19	34.71	63.48	34.71	43.22
Gamma HHI	0.25	0.18	0.30	0.18	0.25
Net GEX	-172.4K	-321.4K	199.2K	199.2K	-211.4K
Net DEX	-7.3M	-24.1M	-359.6K	-24.1M	-359.6K
Net VEX	-263.4K	-296.9K	-145.2K	-145.2K	-279.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	0.00	5.59	0.00	1.02
Total Volume	150.167	3	239	3	230
Total OI	31,981.5	14,418	35,542	14,418	35,464

Daily Data (6 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 Vol	Put Vol	Call OI	Put OI
2008-06-23	$48.80	$35.00	29.9%	8.6%	0.0%	0.0%	28.5%	6.4%	1.8%	199.2K	-24.1M	-145.2K	0.00	34.71	3	0	9,938	4,480
2008-06-24	$49.00	$55.00	26.8%	7.7%	0.0%	0.0%	27.1%	11.2%	3.4%	-321.4K	-8.9M	-296.9K	0.31	56.40	183	56	17,981	17,472
2008-06-25	$48.65	$55.00	24.6%	7.1%	0.0%	0.0%	24.6%	7.4%	5.8%	-299.1K	-7.7M	-287.3K	0.27	63.48	114	31	18,002	17,468
2008-06-26	$47.49	$55.00	28.7%	8.2%	0.0%	0.0%	28.3%	1.1%	7.4%	-204.9K	-1.4M	-285.0K	3.61	41.41	23	83	18,083	17,459
2008-06-27	$47.52	$55.00	27.3%	7.8%	0.0%	0.0%	30.3%	3.0%	2.9%	-196.5K	-1.6M	-286.3K	5.59	43.92	27	151	18,083	17,459
2008-06-30	$46.90	$55.00	33.4%	9.6%	0.0%	0.0%	28.5%	6.2%	1.9%	-211.4K	-359.6K	-279.8K	1.02	43.22	114	116	18,072	17,392