L Options History — November 2008 In November 2008, L traded between $20.07 and $33.50. ATM implied volatility averaged 83.6%. The 30-day expected move averaged 23.9%. IV traded below realized volatility by 50.5% (HV 20d: 134.1%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.64.
Notable Days 2008-11-17 : Highest Volume — 1,269 contracts2008-11-13 : Largest IV drop — 21.2% change2008-11-20 : Largest Expected Move — 32.6%Monthly Statistics Metric Avg Min Max Open Close Price $27.57 $20.07 $33.50 $33.15 $27.39 Max Pain $36.05 $30.00 $40.00 $30.00 $30.00 ATM IV 83.6% 62.9% 113.6% 65.5% 86.1% Expected Move 23.9% 18.0% 32.6% 18.8% 24.7% HV 20d 134.1% 118.5% 162.7% 162.7% 118.5% HV 60d 112.9% 105.5% 124.3% 105.5% 124.2% Term Structure -2.8% -14.3% 4.7% -1.7% -2.0% VWIV 81.0% 59.3% 104.0% 74.9% 71.4% Skew 25d 18.3% 12.6% 26.5% 20.6% 23.5% Skew 10d 34.3% 4.1% 63.2% 35.8% 37.2% Call IV 25d 73.0% 58.5% 104.5% 63.8% 65.1% Put IV 25d 91.2% 77.1% 119.5% 84.4% 88.5% Bid-Ask Spread % 34.82 23.88 70.31 33.55 30.08 Gamma HHI 0.23 0.16 0.31 0.30 0.19 Net GEX 2.8K -98.7K 157.9K 129.2K 48.2K Net DEX 6.7M -3.5M 15.2M -2.1M 3.8M Net VEX -63.6K -86.0K -38.7K -86.0K -59.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.64 0.09 20.88 0.55 1.79 Total Volume 623.053 95 1,269 291 95 Total OI 26,358.789 23,741 28,070 26,199 25,177
Daily Data (19 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 2008-11-03 $33.15 $30.00 65.5% 18.8% 162.7% 0.0% 74.9% 20.6% -1.7% 129.2K -2.1M -86.0K 0.55 33.55 188 103 16,664 9,535 2008-11-04 $33.50 $30.00 62.9% 18.0% 162.1% 0.0% 71.9% 14.4% -1.4% 157.9K -3.5M -85.6K 0.34 70.31 328 110 16,748 9,595 2008-11-05 $32.05 $30.00 74.8% 21.4% 146.4% 0.0% 66.1% 20.5% -2.9% 108.8K -550.1K -81.2K 0.15 59.61 422 65 16,753 9,654 2008-11-06 $29.29 $30.00 78.7% 22.6% 150.1% 0.0% 78.4% 14.1% -2.7% 41.8K 3.5M -75.9K 0.54 57.15 319 172 16,640 9,491 2008-11-07 $30.19 $40.00 72.3% 21.0% 150.1% 0.0% 82.2% 18.5% -4.7% 42.5K 3.3M -73.9K 14.69 37.92 48 705 16,692 9,488 2008-11-10 $29.33 $40.00 72.9% 20.9% 129.4% 0.0% 69.2% 20.0% -3.4% -12.4K 4.9M -72.9K 0.93 24.87 130 121 16,701 9,865 2008-11-11 $28.63 $40.00 76.5% 20.8% 128.0% 0.0% 59.3% 18.4% 2.2% -34.8K 6.6M -67.0K 0.37 31.95 395 148 16,747 9,924 2008-11-12 $26.54 $40.00 91.2% 24.7% 124.8% 0.0% 84.2% 17.6% -7.8% -44.2K 9.3M -60.1K 1.02 23.88 105 107 16,722 9,927 2008-11-13 $29.15 $40.00 71.9% 20.6% 126.7% 0.0% 81.9% 19.4% 0.3% -49.9K 6.3M -65.9K 0.96 31.31 136 131 16,712 9,899 2008-11-14 $27.94 $40.00 76.1% 21.8% 126.9% 0.0% 87.1% 14.4% -3.3% -56.7K 7.4M -64.5K 8.82 32.40 60 529 16,774 9,955 2008-11-17 $25.98 $35.00 88.6% 25.4% 123.0% 0.0% 85.3% 12.6% -3.7% -55.9K 10.5M -56.0K 20.88 30.54 58 1,211 16,821 10,313 2008-11-18 $26.18 $40.00 91.8% 26.3% 122.6% 0.0% 78.1% 15.8% -3.6% -98.7K 12.8M -58.2K 6.78 24.22 94 637 16,820 11,250 2008-11-19 $23.70 $40.00 100.7% 28.9% 123.1% 0.0% 101.1% 15.4% -14.3% -76.0K 13.9M -51.8K 1.29 30.11 238 307 16,872 11,085 2008-11-20 $20.07 $40.00 113.6% 32.6% 131.7% 0.0% 104.0% 15.0% -8.9% -16.0K 15.2M -38.7K 0.78 26.92 678 531 16,835 11,029 2008-11-21 $22.34 $35.00 104.5% 29.9% 139.6% 0.0% 101.9% 18.7% 1.4% -53.0K 14.2M -45.3K 8.40 30.52 106 890 16,710 10,638 2008-11-24 $25.58 $35.00 89.7% 25.7% 131.9% 0.0% 79.5% 19.6% 4.7% -18.7K 8.7M -53.0K 0.18 28.43 504 91 14,835 8,906 2008-11-25 $25.54 $35.00 87.1% 25.0% 123.4% 0.0% 89.9% 21.9% -1.0% 1.4K 7.9M -54.1K 0.09 27.72 975 90 15,173 8,907 2008-11-26 $27.35 $35.00 83.9% 24.0% 126.2% 0.0% 72.0% 26.5% -0.7% 40.6K 5.0M -58.2K 0.69 30.10 599 412 16,013 8,947 2008-11-28 $27.39 $30.00 86.1% 24.7% 118.5% 0.0% 71.4% 23.5% -2.0% 48.2K 3.8M -59.3K 1.79 30.08 34 61 16,325 8,852
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