MODL Options History — August 2012

In August 2012, MODL traded between $13.98 and $14.25. ATM implied volatility averaged 35.7%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 22.6% (HV 20d: 13.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 13 trading days. Term structure was in contango for 0 of 13 days. Put/call ratio averaged 0.05.

Notable Days

2012-08-07: Highest Volume — 2,706 contracts
2012-08-17: Largest IV spike — 55.9% change
2012-08-17: Highest IV Rank — 82.6%
2012-08-07: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.07	$13.98	$14.25	$14.25	$14.00
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	35.7%	24.5%	62.9%	25.0%	62.9%
Expected Move	6.4%	1.9%	12.7%	7.2%	2.3%
HV 20d	13.1%	11.3%	14.5%	13.1%	11.3%
HV 60d	27.5%	25.3%	30.8%	30.8%	25.3%
IV Rank	33.6%	13.6%	82.6%	14.5%	82.6%
IV Percentile	25.7%	9.8%	98.6%	9.9%	98.6%
Term Structure	-8.9%	-25.1%	-1.3%	-8.9%	-2.5%
VWIV	49.4%	49.4%	49.4%	49.4%	49.4%
Skew 25d	1.0%	-3.0%	11.4%	-2.2%	-0.3%
Skew 10d	1.8%	-4.5%	14.0%	-4.5%	2.1%
Call IV 25d	14.7%	6.7%	28.7%	25.3%	10.2%
Put IV 25d	15.6%	6.1%	40.1%	23.1%	10.0%
Bid-Ask Spread %	71.04	23.36	106.84	96.78	53.09
Gamma HHI	0.80	0.63	0.89	0.89	0.63
Net GEX	124.1K	30.1K	175.3K	156.8K	31.2K
Net DEX	-580.9K	-1.2M	-217.6K	-853.6K	-230.3K
Net VEX	-3.4K	-4.4K	-1.6K	-4.1K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.23	0.00	0.00
Total Volume	357.308	0	2,706	0	0
Total OI	5,997.077	4,113	7,480	4,113	7,410

Daily Data (13 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
2012-08-01	$14.25	$12.50	25.0%	7.2%	13.1%	14.5%	0.0%	-2.2%	-8.9%	156.8K	-853.6K	-4.1K	0.00	96.78	N/A	N/A	0	0	3,454	659
2012-08-02	$14.24	$12.50	24.5%	7.0%	13.0%	13.6%	0.0%	-0.7%	-7.2%	156.2K	-765.3K	-4.3K	0.00	95.52	N/A	N/A	0	50	3,454	659
2012-08-03	$14.13	$12.50	26.8%	7.7%	13.3%	17.7%	0.0%	11.4%	-12.2%	135.5K	-785.4K	-3.7K	0.00	105.81	N/A	N/A	10	0	3,454	679
2012-08-06	$14.11	$12.50	32.5%	9.3%	13.4%	28.0%	0.0%	-2.9%	-15.3%	132.1K	-775.6K	-3.8K	0.00	106.84	N/A	N/A	0	0	3,464	679
2012-08-07	$14.19	$12.50	44.2%	12.7%	13.3%	48.9%	49.4%	7.0%	-25.1%	118.2K	-1.2M	-4.4K	0.07	72.21	N/A	N/A	2,533	173	3,464	679
2012-08-08	$13.98	$12.50	29.6%	8.5%	14.5%	22.6%	0.0%	0.4%	-11.3%	148.7K	-536.4K	-2.7K	0.23	62.76	N/A	N/A	415	95	5,675	852
2012-08-09	$14.04	$12.50	30.4%	8.7%	14.5%	24.2%	0.0%	3.3%	-11.7%	171.0K	-540.4K	-3.4K	0.00	61.76	N/A	N/A	595	0	5,298	942
2012-08-10	$13.98	$12.50	31.4%	9.0%	14.5%	25.8%	0.0%	-3.0%	-7.7%	172.1K	-499.9K	-4.3K	0.00	62.81	N/A	N/A	0	0	6,538	942
2012-08-13	$13.99	$12.50	39.8%	4.1%	14.5%	41.1%	0.0%	0.4%	-7.0%	175.3K	-509.7K	-4.1K	0.00	75.28	N/A	N/A	0	50	6,538	942
2012-08-14	$14.00	$12.50	44.8%	3.3%	11.6%	49.9%	0.0%	-0.0%	-1.3%	152.3K	-432.7K	-3.6K	0.02	54.49	N/A	N/A	594	10	6,538	942
2012-08-15	$13.99	$12.50	31.6%	1.9%	11.4%	26.2%	0.0%	-0.6%	-2.5%	33.5K	-217.6K	-1.6K	0.00	23.36	N/A	N/A	120	0	6,348	942
2012-08-16	$14.01	$12.50	40.4%	2.0%	11.3%	42.1%	0.0%	-0.5%	-2.5%	30.1K	-229.9K	-1.9K	0.00	52.80	N/A	N/A	0	0	6,468	942
2012-08-17	$14.00	$12.50	62.9%	2.3%	11.3%	82.6%	0.0%	-0.3%	-2.5%	31.2K	-230.3K	-2.2K	0.00	53.09	N/A	N/A	0	0	6,468	942