MODL Options History — June 2012 In June 2012, MODL traded between $12.11 and $13.25. ATM implied volatility averaged 50.0%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 22.9% (HV 20d: 27.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-06-26 : Highest Volume — 2,028 contracts2012-06-11 : Largest IV spike — 26.9% change2012-06-28 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $12.76 $12.11 $13.25 $12.28 $12.98 Max Pain $10.12 $10.00 $12.50 $12.50 $10.00 ATM IV 50.0% 42.7% 59.6% 45.3% 55.4% Expected Move 13.8% 12.8% 16.3% 13.0% 15.9% HV 20d 27.2% 20.4% 36.5% 35.2% 26.9% HV 60d 30.1% 28.6% 34.2% 34.2% 30.2% Term Structure -3.4% -6.7% 0.2% -0.4% -6.7% VWIV 54.0% 52.0% 55.8% 54.3% 55.8% Skew 25d 8.1% -3.1% 30.2% 0.6% 12.7% Skew 10d 15.8% 4.8% 79.2% 11.4% 16.4% Call IV 25d 38.5% 34.2% 45.9% 36.3% 41.9% Put IV 25d 46.7% 35.2% 65.1% 36.9% 54.6% Bid-Ask Spread % 102.10 96.41 111.08 111.08 99.25 Gamma HHI 0.51 0.38 0.90 0.42 0.90 Net GEX 20.1K 7.0K 88.1K 10.4K 88.1K Net DEX -704.8K -2.1M -404.7K -440.4K -2.1M Net VEX -1.4K -3.4K -851 -1.2K -3.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 105.667 0 2,028 0 5 Total OI 1,052.095 738 2,680 783 2,680
Daily Data (21 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-06-01 $12.28 $12.50 45.3% 13.0% 35.2% 0.0% 0.0% 0.6% -0.4% 10.4K -440.4K -1.2K 0.00 111.08 N/A N/A 0 0 636 147 2012-06-04 $12.11 $10.00 48.2% 13.2% 35.5% 0.0% 0.0% -3.1% -2.6% 10.0K -404.7K -1.2K 0.00 100.91 N/A N/A 8 0 636 147 2012-06-05 $12.42 $10.00 48.1% 13.0% 36.4% 0.0% 0.0% 4.2% -0.9% 10.9K -461.8K -1.2K 0.00 101.72 N/A N/A 0 0 644 147 2012-06-06 $12.54 $10.00 51.3% 13.3% 36.5% 0.0% 0.0% 2.9% -3.2% 11.2K -479.4K -1.2K 0.00 102.08 N/A N/A 0 5 644 147 2012-06-07 $12.56 $10.00 49.0% 13.0% 28.4% 0.0% 0.0% 5.8% -1.8% 11.2K -493.4K -1.2K 0.00 99.75 N/A N/A 0 0 644 152 2012-06-08 $12.76 $10.00 42.7% 12.8% 28.4% 0.0% 0.0% 5.5% 0.2% 14.0K -527.3K -1.1K 0.00 99.03 N/A N/A 0 0 644 152 2012-06-11 $12.99 $10.00 54.2% 14.1% 28.8% 0.0% 0.0% 11.7% -4.0% 11.4K -572.3K -1.1K 0.00 98.86 N/A N/A 8 0 644 152 2012-06-12 $12.90 $10.00 56.9% 13.5% 27.4% 0.0% 0.0% 9.7% -3.2% 11.8K -554.3K -1.1K 0.00 101.20 N/A N/A 0 0 636 152 2012-06-13 $12.93 $10.00 59.6% 13.9% 27.3% 0.0% 0.0% 10.5% -3.2% 11.9K -560.0K -1.0K 0.00 99.69 N/A N/A 0 0 636 152 2012-06-14 $13.00 $10.00 47.6% 13.6% 26.2% 0.0% 0.0% 4.3% -3.8% 11.1K -578.5K -1.0K 0.00 103.58 N/A N/A 0 0 636 152 2012-06-15 $12.99 $10.00 46.1% 13.2% 24.8% 0.0% 0.0% 9.4% -3.2% 11.0K -586.1K -960 0.00 106.06 N/A N/A 50 0 636 152 2012-06-18 $13.00 $10.00 45.2% 13.0% 24.2% 0.0% 0.0% 8.2% -3.3% 7.6K -526.6K -906 0.00 105.48 N/A N/A 0 0 586 152 2012-06-19 $13.04 $10.00 47.4% 13.6% 21.5% 0.0% 0.0% 9.0% -6.5% 7.8K -529.1K -881 0.00 106.22 N/A N/A 0 0 586 152 2012-06-20 $13.25 $10.00 48.7% 14.0% 21.5% 0.0% 0.0% 12.1% -4.8% 7.0K -559.5K -873 0.00 105.88 N/A N/A 50 0 586 152 2012-06-21 $13.22 $10.00 45.5% 13.0% 20.4% 0.0% 0.0% 30.2% -2.1% 7.4K -608.0K -851 0.00 105.15 N/A N/A 0 0 636 152 2012-06-22 $12.77 $10.00 46.9% 13.4% 23.9% 0.0% 0.0% 14.3% -4.6% 9.5K -531.6K -976 0.00 96.92 N/A N/A 0 0 636 152 2012-06-25 $12.81 $10.00 48.3% 13.8% 23.4% 0.0% 0.0% 8.6% -3.7% 9.7K -541.7K -940 0.00 104.64 N/A N/A 0 0 636 152 2012-06-26 $12.53 $10.00 54.3% 15.6% 24.2% 0.0% 54.3% 7.9% -4.5% 9.4K -494.0K -998 0.00 96.41 N/A N/A 2,028 0 636 152 2012-06-27 $12.30 $10.00 52.6% 15.1% 24.8% 0.0% 52.0% 0.5% -2.8% 75.6K -1.6M -3.4K 0.00 101.10 N/A N/A 65 0 2,528 152 2012-06-28 $12.49 $10.00 56.9% 16.3% 24.9% 0.0% 0.0% 5.8% -6.2% 75.0K -1.7M -3.4K 0.00 99.17 N/A N/A 0 0 2,528 152 2012-06-29 $12.98 $10.00 55.4% 15.9% 26.9% 0.0% 55.8% 12.7% -6.7% 88.1K -2.1M -3.1K 0.00 99.25 N/A N/A 5 0 2,528 152
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