L Options History — February 2010

In February 2010, L traded between $34.76 and $37.06. ATM implied volatility averaged 25.2%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.3% (HV 20d: 25.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 4.12.

Notable Days

2010-02-08: Highest Volume — 2,077 contracts
2010-02-08: Largest IV drop — 30.4% change
2010-02-01: Highest IV Rank — 32.9%
2010-02-01: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.00	$34.76	$37.06	$36.41	$36.46
Max Pain	$36.05	$35.00	$40.00	$40.00	$35.00
ATM IV	25.2%	19.4%	34.2%	34.2%	20.3%
Expected Move	7.3%	5.8%	9.8%	9.8%	5.8%
HV 20d	25.5%	22.2%	28.7%	24.1%	23.0%
HV 60d	19.9%	18.9%	20.5%	18.9%	19.5%
IV Rank	17.9%	8.3%	32.9%	32.9%	9.7%
IV Percentile	19.9%	2.0%	58.7%	58.7%	2.4%
Term Structure	0.2%	-4.7%	3.2%	-4.2%	1.8%
VWIV	25.4%	16.7%	34.1%	34.1%	22.1%
Skew 25d	7.2%	1.2%	13.7%	4.9%	5.3%
Skew 10d	15.2%	-0.3%	31.7%	11.8%	8.9%
Call IV 25d	20.4%	14.7%	31.5%	31.5%	15.2%
Put IV 25d	27.6%	20.6%	36.4%	36.4%	20.6%
Bid-Ask Spread %	16.65	7.65	27.66	24.47	13.36
Gamma HHI	0.47	0.40	0.55	0.47	0.45
Net GEX	18.1K	-228.3K	308.6K	-100.4K	28.5K
Net DEX	-1.6M	-7.1M	3.1M	669.6K	-2.6M
Net VEX	-32.0K	-36.0K	-28.3K	-29.6K	-28.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.12	0.00	46.00	1.05	0.91
Total Volume	371.842	14	2,077	390	21
Total OI	8,324.842	6,423	9,858	6,423	7,608

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
2010-02-01	$36.41	$40.00	34.2%	9.8%	24.1%	32.9%	34.1%	4.9%	-4.2%	-100.4K	669.6K	-29.6K	1.05	24.47	190	200	2,762	3,661
2010-02-02	$37.06	$40.00	33.9%	9.7%	23.5%	32.4%	32.7%	5.5%	-4.7%	-36.8K	-253.0K	-31.7K	3.06	25.77	124	380	2,902	3,866
2010-02-03	$36.63	$40.00	33.0%	9.5%	23.8%	31.0%	33.0%	1.5%	-4.5%	-113.4K	524.2K	-32.3K	2.89	24.81	54	156	2,992	4,157
2010-02-04	$35.33	$40.00	32.3%	9.3%	26.6%	29.7%	32.3%	4.4%	-3.2%	-228.3K	2.7M	-32.6K	0.90	11.94	203	183	3,023	4,272
2010-02-05	$35.37	$35.00	33.7%	8.5%	26.4%	32.1%	29.4%	6.3%	-1.1%	-197.3K	2.4M	-33.6K	0.35	27.66	870	305	3,173	4,329
2010-02-08	$34.76	$35.00	23.5%	7.6%	26.8%	15.1%	26.3%	9.3%	-0.2%	-227.4K	3.1M	-32.3K	0.04	21.99	1,994	83	3,598	4,319
2010-02-09	$35.22	$35.00	22.9%	7.2%	27.5%	14.0%	25.1%	10.3%	1.2%	135.4K	-236.8K	-35.8K	0.25	19.27	118	30	4,840	4,341
2010-02-10	$35.03	$35.00	19.4%	7.0%	27.4%	8.3%	24.4%	9.4%	1.9%	175.5K	330.1K	-35.8K	0.64	17.29	363	231	4,945	4,333
2010-02-11	$35.21	$35.00	24.1%	6.9%	27.3%	16.0%	24.1%	10.7%	2.1%	252.7K	-747.8K	-36.0K	3.38	19.58	8	27	5,210	4,370
2010-02-12	$35.17	$35.00	23.5%	6.7%	27.3%	15.2%	23.5%	9.6%	2.4%	308.6K	-785.6K	-35.7K	1.12	18.62	333	373	5,216	4,340
2010-02-16	$36.12	$35.00	22.6%	6.5%	28.7%	13.6%	22.6%	13.7%	2.9%	68.2K	-6.0M	-32.3K	0.47	8.13	106	50	5,344	4,514
2010-02-17	$36.17	$35.00	22.5%	6.4%	27.0%	13.4%	22.5%	13.1%	3.2%	67.9K	-6.0M	-31.7K	46.00	7.65	1	46	5,319	4,528
2010-02-18	$36.44	$35.00	22.5%	6.5%	26.8%	13.5%	22.5%	1.2%	3.2%	53.7K	-6.7M	-31.5K	6.14	17.88	7	43	5,317	4,519
2010-02-19	$36.55	$35.00	21.8%	6.2%	26.6%	12.3%	16.7%	6.2%	2.8%	42.9K	-7.1M	-30.5K	0.15	10.61	217	32	5,317	4,537
2010-02-22	$36.70	$35.00	22.0%	6.3%	22.2%	12.6%	22.0%	6.9%	0.1%	41.1K	-2.7M	-30.1K	2.00	11.70	66	132	3,808	3,774
2010-02-23	$36.06	$35.00	21.3%	6.1%	22.9%	11.4%	21.3%	4.0%	1.0%	-10.5K	-1.5M	-30.0K	0.75	11.42	8	6	3,849	3,796
2010-02-24	$36.62	$35.00	23.3%	6.7%	23.6%	14.7%	23.2%	7.4%	-0.9%	37.6K	-2.5M	-29.3K	0.00	10.66	50	0	3,856	3,796
2010-02-25	$36.66	$35.00	22.0%	6.3%	23.4%	12.7%	22.1%	6.6%	0.4%	46.0K	-2.7M	-28.8K	8.17	13.61	6	49	3,845	3,796
2010-02-26	$36.46	$35.00	20.3%	5.8%	23.0%	9.7%	0.0%	5.3%	1.8%	28.5K	-2.6M	-28.3K	0.91	13.36	11	10	3,850	3,758