PL Options History — September 2007

In September 2007, PL traded between $40.24 and $43.41. ATM implied volatility averaged 30.8%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.4% (HV 20d: 27.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2007-09-24: Highest Volume — 155 contracts
2007-09-13: Largest IV spike — 14.7% change
2007-09-18: Highest IV Rank — 53.5%
2007-09-18: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.51	$40.24	$43.41	$42.26	$42.44
Max Pain	$44.21	$40.00	$45.00	$45.00	$45.00
ATM IV	30.8%	28.7%	35.5%	29.4%	29.5%
Expected Move	9.1%	8.4%	10.2%	8.4%	8.5%
HV 20d	27.5%	22.8%	33.4%	32.6%	23.9%
HV 60d	26.6%	25.4%	27.7%	25.6%	27.7%
IV Rank	43.4%	38.7%	53.5%	40.4%	40.5%
IV Percentile	80.3%	69.8%	92.7%	75.0%	71.5%
Term Structure	-1.3%	-7.1%	3.7%	3.7%	3.7%
VWIV	31.7%	22.4%	36.9%	31.8%	30.3%
Skew 25d	-2.3%	-9.2%	4.8%	-2.0%	-0.7%
Skew 10d	-2.9%	-11.4%	7.1%	-1.9%	-0.4%
Call IV 25d	32.7%	24.3%	36.2%	31.8%	30.2%
Put IV 25d	30.4%	25.0%	33.7%	29.8%	29.4%
Bid-Ask Spread %	42.39	20.02	60.11	45.89	45.08
Gamma HHI	0.33	0.28	0.45	0.30	0.45
Net GEX	50.6K	-2.2K	135.6K	89.0K	71.2K
Net DEX	1.5M	253.6K	2.0M	850.0K	1.6M
Net VEX	-9.6K	-14.0K	-6.6K	-14.0K	-7.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	7.00	7.00	0.00
Total Volume	37.789	0	155	24	10
Total OI	3,145.895	2,910	3,308	3,227	2,931

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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$42.26	$45.00	29.4%	8.4%	32.6%	40.4%	31.8%	-2.0%	3.7%	89.0K	850.0K	-14.0K	7.00	45.89	N/A	N/A	3	21	2,129	1,098
2007-09-05	$41.38	$45.00	29.9%	8.6%	32.8%	41.4%	0.0%	-0.9%	2.7%	58.8K	1.2M	-12.4K	0.00	33.91	N/A	N/A	27	0	2,132	1,077
2007-09-06	$40.89	$45.00	30.5%	8.7%	33.1%	42.6%	0.0%	4.8%	2.1%	39.3K	1.6M	-11.1K	0.00	39.17	N/A	N/A	0	4	2,147	1,077
2007-09-07	$40.30	$45.00	28.7%	9.3%	33.4%	38.8%	0.0%	-1.7%	-3.6%	19.6K	1.9M	-10.3K	0.00	31.91	N/A	N/A	85	0	2,147	1,076
2007-09-10	$40.45	$45.00	29.0%	9.4%	33.4%	39.4%	22.4%	-1.4%	-3.9%	19.1K	1.8M	-10.2K	0.00	43.66	N/A	N/A	85	0	2,232	1,076
2007-09-11	$40.58	$45.00	29.3%	9.4%	32.1%	40.2%	0.0%	-9.2%	-3.7%	-2.2K	2.0M	-8.6K	0.00	56.09	N/A	N/A	10	0	2,147	1,063
2007-09-12	$40.29	$45.00	28.7%	9.4%	26.0%	38.7%	36.9%	-3.5%	-3.8%	7.5K	1.9M	-9.3K	0.00	50.09	N/A	N/A	30	0	2,147	1,063
2007-09-13	$40.24	$45.00	32.9%	9.4%	25.9%	47.8%	32.9%	-2.9%	-4.3%	3.4K	1.9M	-8.9K	1.00	50.78	N/A	N/A	15	15	2,142	1,049
2007-09-14	$40.96	$40.00	32.4%	9.3%	26.0%	46.9%	36.2%	-2.4%	-3.7%	17.1K	1.6M	-9.7K	0.00	55.90	N/A	N/A	39	0	2,157	1,049
2007-09-17	$41.75	$40.00	33.3%	9.6%	22.8%	48.8%	0.0%	-5.8%	-4.6%	40.6K	1.5M	-9.0K	0.00	56.45	N/A	N/A	0	0	2,152	1,049
2007-09-18	$43.41	$40.00	35.5%	10.2%	25.2%	53.5%	35.6%	-2.0%	-7.1%	135.6K	253.6K	-11.8K	0.82	28.46	N/A	N/A	61	50	2,152	1,049
2007-09-19	$42.86	$45.00	32.5%	9.3%	25.4%	47.1%	32.4%	-1.4%	-4.8%	105.7K	692.5K	-11.2K	0.00	33.41	N/A	N/A	77	0	2,153	1,099
2007-09-20	$42.61	$45.00	32.1%	9.2%	24.4%	46.1%	0.0%	-0.2%	-4.3%	97.4K	878.8K	-10.7K	0.00	31.55	N/A	N/A	0	0	2,150	1,099
2007-09-21	$41.89	$45.00	32.8%	9.4%	25.1%	47.7%	0.0%	-2.4%	-4.9%	61.2K	1.5M	-8.3K	0.00	41.08	N/A	N/A	0	0	2,150	1,089
2007-09-24	$41.28	$45.00	29.2%	8.4%	25.4%	39.9%	28.9%	-3.9%	3.1%	36.3K	1.9M	-6.7K	0.00	60.11	N/A	N/A	0	155	1,981	929
2007-09-25	$41.21	$45.00	29.7%	8.5%	25.4%	41.1%	30.9%	-2.8%	2.3%	32.3K	2.0M	-6.6K	0.00	47.18	N/A	N/A	30	0	1,981	939
2007-09-26	$41.67	$45.00	30.7%	8.8%	24.2%	43.1%	30.8%	-2.7%	2.4%	46.1K	1.8M	-7.4K	0.00	20.02	N/A	N/A	1	0	1,991	939
2007-09-27	$42.21	$45.00	29.4%	8.4%	24.6%	40.3%	0.0%	-2.0%	3.7%	84.3K	1.2M	-8.6K	0.00	34.67	N/A	N/A	0	0	1,992	939
2007-09-28	$42.44	$45.00	29.5%	8.5%	23.9%	40.5%	30.3%	-0.7%	3.7%	71.2K	1.6M	-7.7K	0.00	45.08	N/A	N/A	10	0	1,992	939