L Options History — February 2009

In February 2009, L traded between $19.64 and $25.07. ATM implied volatility averaged 63.9%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 3.5% (HV 20d: 67.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.58.

Notable Days

2009-02-23: Highest Volume — 2,127 contracts
2009-02-10: Largest IV spike — 25.6% change
2009-02-23: Highest IV Rank — 45.3%
2009-02-23: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.23	$19.64	$25.07	$23.16	$19.85
Max Pain	$28.03	$22.50	$30.00	$30.00	$22.50
ATM IV	63.9%	50.6%	71.6%	68.2%	62.0%
Expected Move	18.3%	16.2%	20.5%	19.5%	17.8%
HV 20d	67.4%	59.2%	74.7%	67.9%	60.8%
HV 60d	85.7%	67.9%	94.4%	94.4%	67.9%
IV Rank	39.0%	28.2%	45.3%	42.5%	37.4%
IV Percentile	55.5%	42.2%	67.9%	61.7%	50.6%
Term Structure	-1.3%	-9.5%	7.7%	-0.9%	1.0%
VWIV	63.9%	55.3%	71.7%	66.7%	60.3%
Skew 25d	8.9%	0.0%	23.7%	0.7%	8.4%
Skew 10d	15.8%	-3.6%	32.7%	-3.6%	18.5%
Call IV 25d	59.0%	48.2%	68.0%	67.1%	58.1%
Put IV 25d	67.8%	63.4%	75.8%	67.8%	66.5%
Bid-Ask Spread %	27.39	13.59	55.17	26.68	23.70
Gamma HHI	0.23	0.18	0.27	0.18	0.27
Net GEX	-51.4K	-72.6K	-19.2K	-34.1K	-69.5K
Net DEX	5.1M	3.6M	6.7M	4.5M	5.3M
Net VEX	-32.2K	-37.7K	-25.0K	-35.6K	-32.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.06	5.25	2.29	3.00
Total Volume	493.158	34	2,127	237	260
Total OI	12,389.632	11,011	13,786	11,512	13,786

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
2009-02-02	$23.16	$30.00	68.2%	19.5%	67.9%	42.5%	66.7%	0.7%	-0.9%	-34.1K	4.5M	-35.6K	2.29	26.68	72	165	6,308	5,204
2009-02-03	$23.39	$30.00	66.5%	19.1%	68.2%	41.1%	66.7%	9.5%	1.4%	-40.5K	4.8M	-34.7K	0.27	55.17	90	24	6,313	5,292
2009-02-04	$23.50	$30.00	64.8%	18.6%	68.2%	39.7%	62.1%	7.7%	1.3%	-38.2K	4.5M	-35.7K	1.62	40.03	13	21	6,338	5,282
2009-02-05	$24.25	$30.00	59.3%	17.0%	67.5%	35.2%	65.5%	23.7%	3.8%	-30.7K	4.1M	-37.1K	0.29	13.59	179	52	6,344	5,282
2009-02-06	$24.98	$30.00	61.8%	16.7%	68.5%	37.3%	55.3%	9.8%	0.6%	-24.5K	3.8M	-37.7K	0.06	23.45	272	17	6,453	5,288
2009-02-09	$25.07	$30.00	53.7%	16.2%	67.8%	30.7%	67.6%	12.0%	-1.6%	-19.2K	3.6M	-37.0K	1.75	24.34	203	356	6,655	5,288
2009-02-10	$23.06	$30.00	67.5%	18.1%	72.7%	42.0%	57.9%	4.7%	-2.0%	-44.0K	4.7M	-34.5K	0.68	27.99	352	240	6,725	5,476
2009-02-11	$23.86	$30.00	50.6%	16.3%	74.1%	28.2%	68.0%	13.9%	0.1%	-37.8K	4.7M	-34.6K	1.95	22.16	97	189	7,020	5,573
2009-02-12	$23.27	$30.00	62.7%	18.0%	70.6%	38.0%	62.4%	13.7%	-3.7%	-57.5K	5.3M	-32.1K	2.61	27.82	28	73	7,034	5,672
2009-02-13	$22.82	$30.00	60.9%	17.5%	70.5%	36.6%	56.8%	9.8%	-1.8%	-62.8K	5.3M	-31.8K	5.25	30.08	60	315	7,048	5,694
2009-02-17	$21.16	$30.00	71.3%	20.4%	74.7%	45.1%	71.7%	7.8%	-9.5%	-65.5K	6.2M	-28.5K	2.80	27.81	100	280	7,047	5,757
2009-02-18	$21.28	$30.00	66.6%	19.1%	71.7%	41.2%	63.1%	10.8%	-5.8%	-69.8K	6.4M	-28.0K	0.81	25.56	57	46	6,979	5,753
2009-02-19	$20.71	$30.00	65.8%	18.9%	62.0%	40.6%	62.7%	7.2%	-4.6%	-64.3K	6.6M	-26.2K	0.24	25.80	54	13	7,004	5,756
2009-02-20	$20.15	$30.00	70.5%	20.2%	59.5%	44.4%	68.6%	7.8%	-5.0%	-66.1K	6.7M	-25.2K	0.24	23.77	884	213	7,041	5,649
2009-02-23	$19.64	$22.50	71.6%	20.5%	59.2%	45.3%	71.0%	1.8%	-4.4%	-42.5K	4.6M	-25.0K	2.54	22.75	600	1,527	6,188	4,823
2009-02-24	$21.22	$22.50	60.7%	17.4%	67.0%	36.4%	62.9%	10.3%	7.7%	-72.4K	5.4M	-30.8K	1.61	28.35	299	481	6,615	5,952
2009-02-25	$20.50	$22.50	63.3%	18.2%	66.8%	38.6%	64.0%	0.0%	-2.2%	-72.6K	5.5M	-31.1K	0.52	31.79	982	509	6,859	6,159
2009-02-26	$20.53	$22.50	66.0%	18.9%	63.5%	40.8%	61.8%	8.8%	0.8%	-64.5K	4.8M	-33.7K	1.57	19.56	96	151	7,381	6,365
2009-02-27	$19.85	$22.50	62.0%	17.8%	60.8%	37.4%	60.3%	8.4%	1.0%	-69.5K	5.3M	-32.0K	3.00	23.70	65	195	7,461	6,325