L Options History — February 2011

In February 2011, L traded between $41.27 and $43.27. ATM implied volatility averaged 16.4%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 3.9% (HV 20d: 20.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 4.02.

Notable Days

2011-02-07: Highest Volume — 1,453 contracts
2011-02-09: Largest IV spike — 124.4% change
2011-02-09: Highest IV Rank — 45.6%
2011-02-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.68	$41.27	$43.27	$41.27	$43.25
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	16.4%	10.4%	28.0%	21.0%	14.6%
Expected Move	4.5%	3.0%	6.1%	6.0%	4.2%
HV 20d	20.3%	16.6%	22.6%	16.8%	19.0%
HV 60d	15.3%	14.2%	16.8%	14.8%	14.2%
IV Rank	14.4%	0.0%	45.6%	26.7%	11.2%
IV Percentile	24.4%	0.0%	91.7%	52.8%	12.3%
Term Structure	1.1%	-2.5%	8.9%	-0.6%	1.4%
VWIV	16.6%	9.0%	22.0%	22.0%	15.2%
Skew 25d	4.7%	-1.5%	14.2%	6.7%	-1.5%
Skew 10d	7.2%	-1.9%	20.2%	9.9%	-1.9%
Call IV 25d	15.1%	8.9%	17.7%	15.7%	15.4%
Put IV 25d	19.8%	13.9%	25.6%	22.4%	13.9%
Bid-Ask Spread %	42.16	27.45	70.63	33.15	46.33
Gamma HHI	0.76	0.35	0.90	0.36	0.74
Net GEX	224.3K	9.9K	358.9K	36.7K	207.8K
Net DEX	-3.5M	-4.8M	-1.6M	-1.8M	-2.5M
Net VEX	-21.1K	-28.5K	-10.6K	-10.8K	-27.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.02	0.00	47.89	0.91	0.32
Total Volume	235.158	1	1,453	88	82
Total OI	4,053.211	2,366	4,778	2,371	4,588

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
2011-02-01	$41.27	$40.00	21.0%	6.0%	16.8%	26.7%	22.0%	6.7%	-0.6%	36.7K	-1.8M	-10.8K	0.91	33.15	46	42	1,115	1,256
2011-02-02	$41.29	$40.00	21.2%	6.1%	16.7%	27.1%	21.1%	5.0%	-2.4%	32.7K	-1.8M	-10.6K	0.56	31.41	18	10	1,102	1,264
2011-02-03	$41.28	$40.00	21.4%	6.1%	16.6%	27.9%	21.3%	5.7%	-2.5%	31.0K	-1.8M	-10.6K	16.31	45.67	13	212	1,096	1,274
2011-02-04	$41.40	$40.00	21.3%	5.6%	16.6%	27.6%	18.0%	6.6%	0.5%	9.9K	-1.6M	-12.5K	0.15	38.40	655	98	1,107	1,443
2011-02-07	$43.27	$40.00	18.3%	4.1%	22.3%	19.3%	16.2%	2.2%	0.1%	134.4K	-4.1M	-14.3K	0.20	70.63	1,209	244	1,707	1,508
2011-02-08	$43.03	$40.00	12.5%	4.8%	22.6%	3.4%	17.4%	1.3%	0.0%	241.1K	-4.4M	-20.2K	0.08	66.55	351	27	2,518	1,650
2011-02-09	$43.00	$40.00	28.0%	4.2%	22.6%	45.6%	15.1%	14.2%	2.0%	300.7K	-4.2M	-21.5K	0.05	44.64	311	17	2,715	1,677
2011-02-10	$43.00	$40.00	15.0%	4.3%	22.1%	10.3%	0.0%	3.3%	1.4%	341.4K	-4.6M	-23.7K	0.21	32.26	28	6	2,993	1,689
2011-02-11	$43.03	$40.00	12.3%	3.5%	21.7%	2.9%	14.8%	2.9%	2.3%	358.9K	-4.8M	-23.8K	0.40	35.16	52	21	2,992	1,695
2011-02-14	$43.07	$40.00	15.7%	4.5%	21.6%	12.3%	16.1%	3.5%	1.1%	344.9K	-4.7M	-23.8K	1.00	27.82	30	30	3,016	1,714
2011-02-15	$43.00	$40.00	13.2%	3.8%	21.7%	5.5%	16.2%	2.4%	1.2%	322.4K	-4.6M	-23.9K	1.59	27.45	27	43	2,993	1,744
2011-02-16	$43.14	$40.00	15.9%	4.6%	20.5%	12.7%	16.0%	3.2%	1.2%	348.3K	-4.6M	-24.2K	0.00	37.06	1	0	3,004	1,774
2011-02-17	$43.24	$40.00	15.3%	4.4%	20.5%	11.2%	15.4%	3.9%	1.9%	344.7K	-4.6M	-23.8K	0.00	32.22	49	0	3,004	1,774
2011-02-18	$43.19	$40.00	13.0%	3.7%	20.6%	4.8%	0.0%	5.9%	1.6%	337.7K	-4.7M	-23.3K	0.14	32.94	7	1	2,980	1,774
2011-02-22	$42.87	$40.00	12.8%	3.7%	20.9%	4.2%	15.5%	4.5%	1.4%	271.4K	-3.7M	-23.4K	47.89	61.62	9	431	2,587	1,519
2011-02-23	$42.88	$40.00	15.2%	4.4%	20.9%	10.8%	0.0%	3.5%	0.5%	221.6K	-2.8M	-26.5K	0.00	46.48	0	155	2,590	1,915
2011-02-24	$42.83	$40.00	10.4%	3.0%	20.6%	0.0%	9.0%	12.3%	8.9%	187.8K	-2.3M	-28.5K	0.15	35.97	137	20	2,590	2,070
2011-02-25	$42.91	$40.00	14.1%	4.0%	20.5%	9.9%	15.2%	3.5%	0.6%	188.2K	-2.3M	-28.0K	2.44	55.28	25	61	2,504	2,070
2011-02-28	$43.25	$40.00	14.6%	4.2%	19.0%	11.2%	0.0%	-1.5%	1.4%	207.8K	-2.5M	-27.1K	0.32	46.33	62	20	2,504	2,084