L Options History — November 2009

In November 2009, L traded between $33.90 and $36.21. ATM implied volatility averaged 26.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.4% (HV 20d: 30.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2009-11-16: Highest Volume — 1,496 contracts
2009-11-10: Largest IV drop — 7.2% change
2009-11-02: Highest IV Rank — 14.3%
2009-11-02: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.35	$33.90	$36.21	$33.90	$35.42
Max Pain	$31.75	$30.00	$35.00	$35.00	$35.00
ATM IV	26.5%	23.6%	29.6%	29.6%	23.7%
Expected Move	7.7%	6.8%	8.5%	8.5%	6.8%
HV 20d	30.9%	21.6%	35.2%	33.9%	21.6%
HV 60d	27.2%	25.4%	29.2%	29.2%	26.0%
IV Rank	11.4%	8.7%	14.3%	14.3%	9.3%
IV Percentile	7.4%	1.6%	17.9%	17.9%	2.0%
Term Structure	1.5%	-1.1%	3.5%	3.5%	1.9%
VWIV	26.9%	23.3%	29.4%	29.4%	23.7%
Skew 25d	10.1%	-3.1%	19.7%	-3.1%	19.4%
Skew 10d	17.5%	-2.8%	35.7%	-1.8%	35.7%
Call IV 25d	21.0%	16.5%	28.1%	28.1%	21.9%
Put IV 25d	31.1%	23.4%	41.3%	25.0%	41.3%
Bid-Ask Spread %	24.85	10.18	88.97	47.94	17.86
Gamma HHI	0.77	0.51	0.89	0.84	0.59
Net GEX	998.2K	396.6K	1.7M	807.7K	496.1K
Net DEX	-18.9M	-28.6M	-10.1M	-12.3M	-11.1M
Net VEX	-53.8K	-66.0K	-41.2K	-66.0K	-41.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.12	3.25	0.76	2.03
Total Volume	325.75	35	1,496	434	224
Total OI	19,865.45	15,712	22,151	20,279	15,758

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
2009-11-02	$33.90	$35.00	29.6%	8.5%	33.9%	14.3%	29.4%	-3.1%	3.5%	807.7K	-12.3M	-66.0K	0.76	47.94	246	188	13,009	7,270
2009-11-03	$34.19	$35.00	27.6%	7.9%	33.3%	12.2%	27.7%	9.6%	-1.1%	936.0K	-13.1M	-64.7K	0.84	31.80	193	162	13,066	7,395
2009-11-04	$33.96	$35.00	27.7%	7.9%	33.4%	12.3%	28.4%	-3.0%	1.3%	947.1K	-13.3M	-64.6K	0.32	88.97	450	142	13,125	7,380
2009-11-05	$34.60	$35.00	26.8%	7.7%	34.1%	11.5%	26.9%	11.8%	1.2%	1.1M	-15.1M	-62.0K	0.12	16.84	220	27	13,127	7,471
2009-11-06	$34.60	$30.00	27.1%	8.1%	34.1%	11.7%	28.1%	10.1%	1.2%	1.1M	-15.1M	-61.5K	2.22	19.41	23	51	13,164	7,477
2009-11-09	$35.48	$30.00	26.0%	8.3%	35.2%	10.6%	29.1%	11.2%	0.7%	1.3M	-20.9M	-56.9K	0.29	28.92	259	74	13,251	7,505
2009-11-10	$35.54	$30.00	24.1%	8.1%	35.0%	8.7%	28.7%	12.6%	1.0%	1.3M	-22.4M	-57.3K	0.20	26.54	196	40	13,292	7,541
2009-11-11	$35.91	$30.00	25.8%	7.5%	33.5%	10.4%	26.8%	4.3%	2.8%	1.4M	-24.2M	-52.8K	0.85	33.03	473	402	13,262	7,540
2009-11-12	$35.63	$30.00	27.2%	7.8%	32.7%	11.8%	27.2%	13.4%	2.5%	1.3M	-22.1M	-55.8K	0.41	17.73	196	80	13,341	7,844
2009-11-13	$35.48	$30.00	28.0%	8.0%	32.1%	12.6%	0.0%	12.5%	0.7%	1.5M	-22.0M	-54.5K	0.43	26.22	42	18	13,266	7,784
2009-11-16	$36.20	$30.00	28.3%	8.1%	32.7%	13.0%	28.4%	8.6%	1.3%	1.1M	-26.7M	-47.5K	0.43	12.79	1,044	452	13,233	7,769
2009-11-17	$36.07	$30.00	27.7%	7.9%	32.1%	12.3%	27.7%	13.2%	1.8%	1.2M	-26.1M	-55.0K	0.53	21.47	104	55	13,888	8,197
2009-11-18	$36.21	$30.00	26.8%	7.7%	31.7%	11.5%	26.8%	17.2%	2.5%	776.6K	-28.6M	-50.7K	0.76	12.34	92	70	13,910	8,241
2009-11-19	$35.89	$30.00	27.7%	7.9%	28.8%	12.4%	27.7%	7.2%	0.9%	1.3M	-27.1M	-52.4K	0.55	11.94	77	42	13,905	8,241
2009-11-20	$35.50	$30.00	27.3%	7.8%	28.4%	11.9%	27.3%	4.9%	0.9%	1.7M	-25.9M	-51.9K	0.18	10.60	241	44	13,884	8,225
2009-11-23	$35.91	$30.00	25.4%	7.3%	28.0%	11.1%	25.4%	16.6%	0.3%	398.1K	-15.6M	-45.0K	3.25	33.52	24	78	9,105	7,633
2009-11-24	$35.60	$30.00	24.5%	7.0%	27.3%	10.2%	24.5%	19.7%	1.8%	396.6K	-14.5M	-46.0K	0.23	12.16	44	10	9,091	7,661
2009-11-25	$36.00	$35.00	24.6%	7.0%	24.6%	10.3%	24.6%	14.9%	2.3%	399.5K	-12.3M	-45.0K	0.55	10.18	256	141	8,051	7,661
2009-11-27	$35.00	$35.00	23.6%	6.8%	25.8%	9.2%	23.3%	1.7%	1.9%	441.4K	-10.1M	-45.4K	0.30	16.70	27	8	8,264	7,482
2009-11-30	$35.42	$35.00	23.7%	6.8%	21.6%	9.3%	23.7%	19.4%	1.9%	496.1K	-11.1M	-41.2K	2.03	17.86	74	150	8,278	7,480