PL Options History — December 2007 In December 2007, PL traded between $40.10 and $42.44. ATM implied volatility averaged 32.3%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.2% (HV 20d: 27.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-12-06 : Highest Volume — 60 contracts2007-12-10 : Largest IV spike — 8.5% change2007-12-03 : Highest IV Rank — 48.4%2007-12-03 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $41.33 $40.10 $42.44 $41.66 $41.02 Max Pain $47.50 $45.00 $55.00 $45.00 $45.00 ATM IV 32.3% 29.4% 34.2% 34.2% 30.9% Expected Move 9.2% 8.4% 9.8% 9.8% 8.8% HV 20d 27.1% 21.8% 35.9% 35.9% 21.8% HV 60d 27.0% 26.4% 27.7% 27.2% 27.2% IV Rank 44.3% 38.3% 48.4% 48.4% 41.4% IV Percentile 76.1% 57.5% 85.3% 85.3% 66.8% Term Structure -2.1% -3.9% 0.6% -1.5% 0.3% VWIV 19.3% 19.3% 19.3% 19.3% 19.3% Skew 25d 1.3% -3.8% 6.4% 4.5% 6.4% Skew 10d 1.6% -8.3% 15.8% 15.7% 7.0% Call IV 25d 30.0% 23.3% 31.8% 30.0% 23.3% Put IV 25d 31.3% 26.8% 35.9% 34.4% 29.7% Bid-Ask Spread % 67.42 35.40 83.12 39.32 77.66 Gamma HHI 0.36 0.31 0.48 0.33 0.34 Net GEX 15.1K -2.5K 37.1K 24.4K 2.2K Net DEX 924.7K -252.9K 2.1M 1.8M 155.5K Net VEX -5.9K -7.4K -4.4K -7.4K -4.4K 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 6 0 60 2 10 Total OI 1,571.2 1,253 1,888 1,888 1,256
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-12-03 $41.66 $45.00 34.2% 9.8% 35.9% 48.4% 0.0% 4.5% -1.5% 24.4K 1.8M -7.4K 0.00 39.32 N/A N/A 0 2 847 1,041 2007-12-04 $41.12 $45.00 32.9% 9.4% 35.8% 45.6% 0.0% 1.3% -0.9% 19.8K 1.9M -7.1K 0.00 36.58 N/A N/A 0 0 847 1,040 2007-12-05 $41.28 $45.00 33.4% 9.6% 35.8% 46.6% 0.0% 1.4% -1.2% 19.9K 1.9M -7.2K 0.00 35.40 N/A N/A 0 0 847 1,040 2007-12-06 $42.28 $45.00 32.1% 9.2% 28.0% 44.0% 0.0% 1.4% 0.6% 31.5K 1.7M -7.4K 0.00 38.66 N/A N/A 60 0 847 1,040 2007-12-07 $42.22 $55.00 31.2% 9.0% 26.9% 42.0% 0.0% -0.4% -3.1% 25.4K 1.7M -7.0K 0.00 65.43 N/A N/A 0 0 797 1,040 2007-12-10 $42.37 $55.00 33.8% 9.2% 26.2% 47.5% 0.0% 0.2% -3.6% 30.7K 1.8M -6.8K 0.00 71.38 N/A N/A 0 0 827 1,040 2007-12-11 $41.28 $55.00 34.1% 9.1% 26.7% 48.1% 0.0% -3.4% -2.8% 16.8K 2.1M -6.3K 0.00 74.35 N/A N/A 0 0 827 1,040 2007-12-12 $41.15 $55.00 33.4% 9.2% 26.7% 46.6% 0.0% 2.6% -3.5% 14.9K 2.0M -6.3K 0.00 68.00 N/A N/A 10 0 827 1,040 2007-12-13 $41.21 $55.00 31.9% 9.1% 26.4% 43.5% 0.0% 5.3% -3.0% 15.1K 2.1M -6.2K 0.00 58.12 N/A N/A 0 10 827 1,040 2007-12-14 $40.19 $45.00 29.4% 8.4% 27.2% 38.3% 0.0% 1.4% -2.1% 454 287.9K -5.6K 0.00 79.29 N/A N/A 0 0 827 555 2007-12-17 $40.10 $45.00 31.8% 9.1% 26.7% 43.4% 0.0% 3.5% -3.3% -2.0K 331.2K -5.4K 0.00 76.62 N/A N/A 1 0 827 555 2007-12-18 $40.67 $45.00 32.1% 9.2% 26.3% 43.9% 0.0% 5.0% -3.5% 3.8K 217.3K -5.5K 0.00 73.53 N/A N/A 10 0 828 555 2007-12-19 $40.62 $45.00 31.6% 9.1% 26.3% 42.9% 0.0% -3.0% -2.9% -2.5K 277.0K -5.3K 0.00 79.76 N/A N/A 0 10 828 555 2007-12-20 $40.82 $45.00 32.1% 9.2% 24.7% 43.9% 0.0% -3.8% -3.4% -2.3K 270.0K -5.2K 0.00 79.31 N/A N/A 0 0 828 555 2007-12-21 $41.80 $45.00 32.3% 9.2% 26.1% 44.3% 0.0% -0.2% -3.9% 22.5K -3.4K -5.6K 0.00 76.59 N/A N/A 0 0 828 555 2007-12-24 $42.44 $45.00 33.2% 9.5% 25.2% 46.1% 0.0% 2.5% -2.1% 37.1K -252.9K -5.6K 0.00 76.58 N/A N/A 0 0 780 473 2007-12-26 $41.94 $45.00 32.4% 9.3% 24.5% 44.5% 0.0% 1.4% -0.7% 27.7K -93.7K -5.2K 0.00 78.74 N/A N/A 7 0 780 473 2007-12-27 $41.27 $45.00 32.0% 9.2% 22.5% 43.8% 0.0% -0.2% -0.8% 12.2K 71.4K -4.8K 0.00 79.95 N/A N/A 0 0 783 473 2007-12-28 $41.06 $45.00 31.0% 8.9% 22.5% 41.6% 0.0% -0.7% 0.1% 4.1K 148.7K -4.6K 0.00 83.12 N/A N/A 0 0 783 473 2007-12-31 $41.02 $45.00 30.9% 8.8% 21.8% 41.4% 19.3% 6.4% 0.3% 2.2K 155.5K -4.4K 0.00 77.66 N/A N/A 10 0 783 473
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