L Options History — January 2010

In January 2010, L traded between $35.73 and $38.16. ATM implied volatility averaged 25.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.6% (HV 20d: 15.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.91.

Notable Days

2010-01-19: Highest Volume — 1,307 contracts
2010-01-06: Largest IV drop — 37.3% change
2010-01-27: Highest IV Rank — 31.7%
2010-01-27: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.13	$35.73	$38.16	$37.18	$35.77
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	25.4%	14.4%	33.5%	21.6%	33.0%
Expected Move	8.0%	6.3%	9.6%	8.1%	9.5%
HV 20d	15.8%	10.5%	23.3%	11.8%	23.3%
HV 60d	21.9%	18.6%	23.4%	23.4%	18.6%
IV Rank	17.8%	0.0%	31.7%	9.7%	31.0%
IV Percentile	23.9%	0.0%	56.0%	2.4%	54.4%
Term Structure	-2.4%	-4.5%	-0.2%	-0.2%	-4.3%
VWIV	28.5%	24.3%	33.4%	26.3%	33.0%
Skew 25d	3.8%	-1.6%	9.3%	4.0%	-1.6%
Skew 10d	5.4%	-4.3%	14.5%	14.5%	-4.3%
Call IV 25d	25.5%	21.3%	31.9%	24.4%	31.9%
Put IV 25d	29.3%	28.0%	32.3%	28.4%	30.3%
Bid-Ask Spread %	22.85	12.63	49.18	25.73	26.13
Gamma HHI	0.46	0.45	0.50	0.45	0.48
Net GEX	-11.6K	-131.8K	80.5K	3.1K	-131.8K
Net DEX	-6.1M	-12.7M	1.7M	-11.3M	1.7M
Net VEX	-26.1K	-29.4K	-21.5K	-25.4K	-28.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	0.00	20.00	0.41	0.68
Total Volume	213.895	17	1,307	225	360
Total OI	9,648	4,858	13,113	12,799	6,212

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
2010-01-04	$37.18	$40.00	21.6%	8.1%	11.8%	9.7%	26.3%	4.0%	-0.2%	3.1K	-11.3M	-25.4K	0.41	25.73	160	65	6,230	6,569
2010-01-05	$37.38	$40.00	23.1%	8.5%	11.8%	12.1%	28.7%	5.4%	-0.9%	29.0K	-11.5M	-26.1K	5.64	15.15	76	429	6,276	6,612
2010-01-06	$37.64	$40.00	14.5%	6.7%	11.7%	0.0%	0.0%	5.6%	-1.8%	13.3K	-11.6M	-26.4K	0.80	13.47	25	20	6,237	6,839
2010-01-07	$37.92	$40.00	14.4%	6.6%	10.7%	0.0%	0.0%	6.7%	-0.2%	41.5K	-12.4M	-23.9K	2.00	14.66	21	42	6,243	6,839
2010-01-08	$37.89	$40.00	14.9%	7.1%	10.8%	0.7%	25.3%	4.2%	-1.5%	33.6K	-12.3M	-23.8K	0.41	12.63	44	18	6,240	6,832
2010-01-11	$37.92	$40.00	20.4%	7.2%	10.5%	9.5%	0.0%	4.8%	-1.3%	42.0K	-12.2M	-24.6K	0.00	15.61	43	0	6,278	6,835
2010-01-12	$37.62	$40.00	22.4%	7.2%	11.2%	12.7%	24.6%	4.2%	-1.7%	21.7K	-11.9M	-22.9K	8.34	16.11	44	367	6,278	6,835
2010-01-13	$37.92	$40.00	23.4%	6.9%	11.0%	14.2%	24.4%	4.8%	-0.3%	44.8K	-12.7M	-23.3K	0.11	16.93	89	10	6,275	6,704
2010-01-14	$37.91	$40.00	25.2%	7.2%	10.9%	17.2%	25.4%	3.8%	-2.1%	65.6K	-12.6M	-23.9K	0.22	17.16	58	13	6,315	6,706
2010-01-15	$37.21	$40.00	29.3%	8.4%	13.2%	23.7%	27.0%	3.5%	-2.8%	8.9K	-11.7M	-22.7K	0.35	16.34	173	61	6,330	6,706
2010-01-19	$38.16	$40.00	22.1%	6.3%	15.5%	12.2%	25.9%	6.3%	-0.7%	80.5K	-1.9M	-21.5K	2.29	15.19	397	910	2,204	2,654
2010-01-20	$37.60	$40.00	24.1%	6.9%	16.7%	15.4%	24.3%	4.6%	-2.3%	14.5K	-996.5K	-29.4K	20.00	17.02	1	20	2,523	3,369
2010-01-21	$37.19	$40.00	29.8%	8.6%	17.2%	25.6%	27.3%	4.2%	-3.5%	-14.6K	-411.6K	-29.0K	0.85	25.33	94	80	2,524	3,369
2010-01-22	$35.73	$40.00	31.8%	9.1%	22.7%	28.9%	30.8%	-0.2%	-3.8%	-106.4K	1.5M	-29.0K	1.71	45.94	58	99	2,583	3,441
2010-01-25	$36.09	$40.00	33.2%	9.5%	22.9%	31.2%	33.2%	9.3%	-4.5%	-83.7K	970.4K	-29.0K	1.43	38.38	21	30	2,588	3,434
2010-01-26	$36.04	$40.00	33.1%	9.5%	22.7%	31.1%	33.1%	0.2%	-4.5%	-94.4K	1.1M	-28.9K	1.83	27.78	6	11	2,606	3,455
2010-01-27	$36.38	$40.00	33.5%	9.6%	22.9%	31.7%	33.4%	2.8%	-4.3%	-78.7K	842.7K	-28.3K	3.59	49.18	17	61	2,609	3,455
2010-01-28	$35.93	$40.00	32.7%	9.4%	23.2%	30.4%	32.7%	-0.1%	-4.1%	-108.7K	1.4M	-28.1K	4.64	25.38	25	116	2,613	3,494
2010-01-29	$35.77	$40.00	33.0%	9.5%	23.3%	31.0%	33.0%	-1.6%	-4.3%	-131.8K	1.7M	-28.8K	0.68	26.13	214	146	2,637	3,575