L Options History — January 2011

In January 2011, L traded between $39.30 and $40.80. ATM implied volatility averaged 18.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 8.1% (HV 20d: 10.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.78.

Notable Days

2011-01-13: Highest Volume — 193 contracts
2011-01-13: Largest IV spike — 40.2% change
2011-01-31: Highest IV Rank — 27.2%
2011-01-31: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.13	$39.30	$40.80	$39.40	$40.05
Max Pain	$38.75	$35.00	$40.00	$40.00	$40.00
ATM IV	18.2%	13.9%	21.2%	15.6%	21.2%
Expected Move	5.5%	4.2%	6.1%	4.5%	6.1%
HV 20d	10.1%	7.5%	13.9%	8.3%	13.9%
HV 60d	12.8%	12.4%	13.6%	13.0%	13.5%
IV Rank	19.0%	7.3%	27.2%	11.9%	27.2%
IV Percentile	30.5%	6.3%	54.8%	13.1%	54.8%
Term Structure	0.0%	-1.6%	4.4%	3.4%	-1.6%
VWIV	21.8%	14.8%	54.8%	15.6%	21.2%
Skew 25d	6.6%	1.4%	15.6%	13.1%	2.6%
Skew 10d	11.0%	1.1%	25.9%	16.6%	4.0%
Call IV 25d	16.4%	13.5%	19.0%	16.5%	19.0%
Put IV 25d	23.0%	18.4%	32.0%	29.6%	21.5%
Bid-Ask Spread %	58.51	31.12	90.71	50.82	50.07
Gamma HHI	0.64	0.38	0.85	0.66	0.38
Net GEX	152.5K	28.7K	383.4K	107.2K	31.6K
Net DEX	-1.4M	-2.3M	-758.8K	-855.7K	-898.0K
Net VEX	-12.3K	-13.1K	-11.0K	-12.9K	-11.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.78	0.00	31.17	0.16	1.91
Total Volume	43.75	5	193	65	32
Total OI	2,317.3	2,180	2,535	2,188	2,350

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
2011-01-03	$39.40	$40.00	15.6%	4.5%	8.3%	11.9%	15.6%	13.1%	3.4%	107.2K	-855.7K	-12.9K	0.16	50.82	56	9	1,207	981
2011-01-04	$39.30	$40.00	15.5%	4.4%	8.3%	11.6%	19.8%	2.0%	3.2%	127.1K	-859.0K	-12.7K	3.75	56.63	4	15	1,250	982
2011-01-05	$39.62	$40.00	14.8%	4.2%	8.4%	9.8%	14.8%	15.6%	4.4%	143.6K	-1.0M	-12.9K	2.00	90.71	5	10	1,252	995
2011-01-06	$39.75	$40.00	15.4%	4.4%	7.8%	11.5%	54.8%	3.4%	3.7%	147.4K	-1.2M	-13.1K	1.83	71.57	6	11	1,255	1,005
2011-01-07	$39.98	$35.00	14.3%	5.6%	7.9%	8.3%	19.6%	8.2%	-0.3%	165.1K	-1.3M	-13.1K	0.31	44.33	49	15	1,256	1,005
2011-01-10	$40.01	$35.00	15.5%	5.8%	7.6%	11.6%	0.0%	8.8%	-1.1%	170.1K	-1.5M	-12.8K	2.00	51.88	12	24	1,283	1,018
2011-01-11	$40.11	$35.00	14.8%	5.6%	7.5%	9.7%	0.0%	8.6%	-0.4%	184.4K	-1.5M	-13.0K	0.00	59.51	5	0	1,295	1,038
2011-01-12	$40.80	$35.00	13.9%	5.6%	8.9%	7.3%	18.8%	5.1%	-0.6%	163.5K	-2.3M	-12.4K	0.42	47.54	48	20	1,298	1,038
2011-01-13	$40.47	$35.00	19.5%	5.6%	9.5%	22.6%	19.5%	5.6%	0.0%	184.5K	-2.0M	-12.7K	31.17	42.71	6	187	1,319	1,018
2011-01-14	$40.35	$40.00	19.7%	5.6%	9.6%	23.0%	19.7%	3.8%	-0.6%	202.2K	-1.9M	-12.8K	0.55	70.09	11	6	1,319	1,164
2011-01-18	$40.44	$40.00	20.7%	5.9%	9.6%	25.8%	0.0%	5.4%	-1.0%	208.4K	-2.0M	-12.3K	0.22	63.52	9	2	1,329	1,170
2011-01-19	$39.80	$40.00	20.7%	5.9%	11.5%	25.7%	20.7%	1.4%	-1.6%	272.4K	-1.3M	-12.3K	0.69	64.98	13	9	1,337	1,172
2011-01-20	$40.04	$40.00	20.5%	5.9%	11.6%	25.2%	20.5%	2.1%	-0.8%	383.4K	-1.4M	-12.2K	4.29	65.67	7	30	1,325	1,180
2011-01-21	$40.23	$40.00	20.1%	5.8%	11.6%	24.2%	20.1%	2.9%	-1.0%	383.2K	-2.0M	-12.0K	0.17	42.96	6	1	1,325	1,210
2011-01-24	$40.49	$40.00	19.7%	5.6%	11.4%	23.0%	0.0%	9.4%	-0.2%	35.9K	-1.2M	-11.5K	0.57	31.12	35	20	1,038	1,142
2011-01-25	$40.70	$40.00	20.7%	5.9%	11.4%	25.9%	20.7%	10.4%	-1.6%	35.6K	-1.2M	-11.3K	0.59	89.00	17	10	1,028	1,152
2011-01-26	$40.39	$40.00	20.4%	5.8%	11.7%	25.0%	0.0%	3.8%	-0.9%	37.7K	-1.2M	-11.5K	0.00	40.24	0	5	1,040	1,162
2011-01-27	$40.70	$40.00	20.0%	5.7%	11.9%	24.0%	20.1%	10.1%	-0.9%	37.1K	-1.2M	-11.0K	1.43	86.77	14	20	1,035	1,152
2011-01-28	$39.96	$40.00	20.7%	5.9%	13.9%	25.8%	20.7%	10.3%	-1.5%	28.7K	-758.8K	-11.5K	0.76	50.06	83	63	1,049	1,172
2011-01-31	$40.05	$40.00	21.2%	6.1%	13.9%	27.2%	21.2%	2.6%	-1.6%	31.6K	-898.0K	-11.6K	1.91	50.07	11	21	1,115	1,235