L Options History — January 2009

In January 2009, L traded between $23.48 and $29.92. ATM implied volatility averaged 63.3%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 0.6% (HV 20d: 62.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.51.

Notable Days

2009-01-08: Highest Volume — 1,226 contracts
2009-01-12: Largest IV spike — 41.0% change
2009-01-20: Highest IV Rank — 49.9%
2009-01-20: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.19	$23.48	$29.92	$29.77	$24.40
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	63.3%	49.5%	77.2%	49.5%	63.9%
Expected Move	18.2%	14.2%	22.1%	14.2%	18.3%
HV 20d	62.8%	53.2%	70.4%	67.1%	69.9%
HV 60d	106.9%	93.3%	125.9%	125.9%	94.0%
IV Rank	38.6%	27.3%	49.9%	27.3%	39.0%
IV Percentile	57.4%	49.3%	73.8%	49.3%	54.2%
Term Structure	-1.1%	-6.7%	8.2%	8.2%	-1.9%
VWIV	63.0%	50.3%	75.5%	50.3%	63.5%
Skew 25d	11.7%	0.5%	31.5%	31.5%	0.5%
Skew 10d	23.3%	1.9%	50.4%	50.4%	1.9%
Call IV 25d	56.8%	34.8%	68.7%	34.8%	61.9%
Put IV 25d	68.5%	62.3%	76.6%	66.3%	62.3%
Bid-Ask Spread %	30.74	15.80	50.59	34.09	50.59
Gamma HHI	0.31	0.14	0.89	0.24	0.19
Net GEX	73.4K	-36.7K	621.4K	130.7K	-29.2K
Net DEX	2.5M	-3.0M	7.1M	-2.7M	4.0M
Net VEX	-35.4K	-40.4K	-30.7K	-35.9K	-38.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.03	8.81	0.67	0.40
Total Volume	462.1	102	1,226	661	184
Total OI	16,425.45	9,097	22,131	20,130	11,459

Daily Data (20 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
2009-01-02	$29.77	$30.00	49.5%	14.2%	67.1%	27.3%	50.3%	31.5%	8.2%	130.7K	-2.7M	-35.9K	0.67	34.09	395	266	13,476	6,654
2009-01-05	$29.81	$30.00	54.2%	16.7%	62.9%	31.1%	55.0%	16.6%	-1.2%	139.3K	-3.0M	-37.0K	1.11	39.32	210	234	13,749	6,848
2009-01-06	$29.92	$30.00	55.7%	16.5%	62.1%	32.3%	60.9%	15.6%	-1.0%	137.8K	-3.0M	-36.4K	1.51	40.06	77	116	13,863	6,883
2009-01-07	$28.20	$30.00	57.7%	16.5%	60.6%	34.0%	58.3%	8.8%	0.9%	110.3K	35.7K	-35.6K	2.53	38.79	132	334	13,860	6,973
2009-01-08	$28.47	$30.00	54.1%	16.4%	58.3%	31.0%	58.8%	10.1%	-1.1%	110.6K	-459.8K	-35.2K	8.81	35.73	125	1,101	13,957	6,932
2009-01-09	$27.50	$30.00	51.7%	17.6%	57.8%	29.1%	60.6%	7.5%	3.4%	57.2K	2.5M	-37.5K	0.08	22.79	207	17	14,014	7,854
2009-01-12	$26.56	$30.00	72.9%	19.3%	57.8%	46.4%	60.9%	12.9%	-6.4%	68.8K	3.9M	-33.9K	1.03	38.71	240	248	14,042	7,867
2009-01-13	$26.32	$30.00	67.6%	19.2%	57.6%	42.0%	67.1%	12.3%	-2.5%	73.9K	4.0M	-33.1K	0.67	24.25	61	41	14,175	7,884
2009-01-14	$24.56	$30.00	71.5%	18.6%	62.0%	45.2%	61.9%	11.6%	-0.6%	102.0K	7.1M	-30.7K	2.43	37.18	127	309	14,226	7,905
2009-01-15	$24.95	$30.00	67.1%	19.2%	53.3%	41.6%	68.7%	9.0%	0.2%	151.4K	5.8M	-32.8K	0.71	37.20	226	161	14,218	7,859
2009-01-16	$25.09	$30.00	65.4%	18.7%	53.2%	40.2%	69.2%	12.5%	1.7%	621.4K	3.5M	-32.8K	1.76	15.80	217	382	14,278	7,423
2009-01-20	$23.48	$30.00	77.2%	22.1%	56.3%	49.9%	68.2%	7.9%	-6.7%	-36.7K	3.9M	-31.8K	0.25	17.55	109	27	4,741	4,356
2009-01-21	$25.76	$30.00	65.5%	18.8%	66.0%	40.3%	58.9%	12.4%	1.1%	-34.1K	3.4M	-34.3K	0.09	39.44	826	76	4,796	4,377
2009-01-22	$24.24	$30.00	68.8%	19.7%	67.4%	43.0%	75.5%	13.0%	-0.2%	-17.0K	3.4M	-34.7K	3.72	17.97	142	528	5,447	4,446
2009-01-23	$24.53	$30.00	72.9%	20.9%	67.6%	46.4%	75.3%	12.6%	-4.1%	-26.7K	3.7M	-37.1K	0.51	19.93	193	98	5,563	4,843
2009-01-26	$24.47	$30.00	65.9%	18.9%	67.4%	40.6%	62.1%	11.3%	-2.4%	-27.9K	3.6M	-36.0K	0.56	20.57	248	140	5,662	4,846
2009-01-27	$25.02	$30.00	61.8%	17.7%	67.7%	37.3%	61.0%	9.7%	-0.0%	-22.1K	3.4M	-36.8K	3.01	19.74	141	425	5,835	4,898
2009-01-28	$26.22	$30.00	61.4%	17.6%	69.7%	37.0%	61.7%	15.7%	-6.1%	-17.1K	3.2M	-40.4K	0.03	19.96	625	19	5,850	5,187
2009-01-29	$24.53	$30.00	62.2%	17.8%	70.4%	37.6%	62.6%	2.5%	-3.7%	-25.1K	3.7M	-38.6K	0.22	45.19	192	43	6,077	5,186
2009-01-30	$24.40	$30.00	63.9%	18.3%	69.9%	39.0%	63.5%	0.5%	-1.9%	-29.2K	4.0M	-38.4K	0.40	50.59	131	53	6,252	5,207