PL Options History — November 2009

In November 2009, PL traded between $15.80 and $19.88. ATM implied volatility averaged 63.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 22.5% (HV 20d: 85.6%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2009-11-05: Highest Volume — 4,441 contracts
2009-11-05: Largest IV spike — 18.9% change
2009-11-05: Highest IV Rank — 22.7%
2009-11-05: Largest Expected Move — 23.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.50	$15.80	$19.88	$19.14	$16.54
Max Pain	$18.50	$17.50	$22.50	$22.50	$17.50
ATM IV	63.1%	50.0%	82.7%	66.3%	50.0%
Expected Move	18.0%	14.3%	23.7%	19.0%	14.3%
HV 20d	85.6%	52.9%	95.2%	52.9%	85.3%
HV 60d	72.1%	61.8%	75.8%	62.3%	71.8%
IV Rank	12.0%	4.9%	22.7%	13.8%	4.9%
IV Percentile	21.3%	1.2%	44.4%	27.4%	1.2%
Term Structure	-1.7%	-23.9%	6.6%	-5.4%	6.6%
VWIV	63.0%	51.8%	78.0%	66.3%	53.9%
Skew 25d	8.4%	1.4%	14.2%	5.8%	13.1%
Skew 10d	19.1%	-3.3%	35.9%	4.9%	12.4%
Call IV 25d	59.3%	46.0%	73.8%	66.9%	46.0%
Put IV 25d	67.7%	58.1%	80.8%	72.7%	59.1%
Bid-Ask Spread %	34.08	14.84	59.42	49.23	14.84
Gamma HHI	0.26	0.23	0.37	0.25	0.24
Net GEX	113.2K	31.6K	230.9K	51.6K	59.2K
Net DEX	424.3K	-1.8M	4.6M	-13.8K	1.4M
Net VEX	-35.9K	-44.5K	-27.4K	-43.7K	-27.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.09	2.48	0.55	0.55
Total Volume	557.45	71	4,441	231	368
Total OI	18,821.45	15,553	20,965	17,194	16,443

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
2009-11-02	$19.14	$22.50	66.3%	19.0%	52.9%	13.8%	66.3%	5.8%	-5.4%	51.6K	-13.8K	-43.7K	0.55	49.23	N/A	N/A	149	82	10,142	7,052
2009-11-03	$19.88	$22.50	71.1%	20.4%	54.8%	16.4%	69.8%	14.2%	-7.9%	56.2K	-776.7K	-44.3K	0.09	47.47	N/A	N/A	315	28	10,141	7,098
2009-11-04	$19.45	$22.50	69.6%	20.0%	55.0%	15.6%	67.3%	6.3%	-6.6%	64.4K	-1.3M	-44.5K	0.37	59.42	N/A	N/A	144	53	10,286	7,097
2009-11-05	$15.80	$22.50	82.7%	23.7%	90.3%	22.7%	78.0%	5.0%	-23.9%	31.6K	4.6M	-30.0K	0.23	44.88	N/A	N/A	3,601	840	10,250	7,144
2009-11-06	$16.48	$17.50	67.6%	19.0%	92.3%	14.5%	67.3%	5.7%	-1.1%	90.9K	2.8M	-35.8K	0.82	43.23	N/A	N/A	346	284	12,632	7,561
2009-11-09	$17.37	$17.50	76.8%	20.3%	95.2%	19.5%	68.5%	1.4%	-4.9%	108.7K	1.2M	-39.3K	0.15	40.00	N/A	N/A	659	101	12,756	7,742
2009-11-10	$17.50	$17.50	68.0%	19.4%	94.8%	14.7%	65.0%	14.1%	-3.2%	125.8K	601.7K	-39.0K	0.11	52.24	N/A	N/A	405	45	12,909	7,837
2009-11-11	$17.68	$17.50	61.1%	18.8%	92.0%	10.9%	64.8%	9.3%	-1.0%	147.9K	-123.6K	-39.5K	0.16	58.76	N/A	N/A	148	23	13,085	7,822
2009-11-12	$17.46	$17.50	63.7%	18.3%	91.8%	12.4%	65.4%	7.8%	-0.5%	153.6K	190.3K	-39.1K	0.33	21.98	N/A	N/A	216	72	13,133	7,832
2009-11-13	$17.49	$17.50	65.1%	18.7%	91.9%	13.1%	64.6%	6.1%	-1.2%	158.2K	-211.5K	-38.5K	0.37	37.14	N/A	N/A	52	19	13,038	7,507
2009-11-16	$17.87	$17.50	62.7%	18.0%	91.9%	11.8%	62.7%	10.7%	0.6%	188.4K	-1.2M	-37.4K	0.55	45.28	N/A	N/A	159	87	13,059	7,506
2009-11-17	$17.98	$17.50	62.7%	18.0%	91.7%	11.8%	62.6%	8.7%	-1.2%	200.8K	-1.8M	-37.1K	0.69	26.86	N/A	N/A	110	76	13,066	7,380
2009-11-18	$17.60	$17.50	60.6%	17.4%	91.7%	10.7%	58.7%	7.4%	0.7%	214.1K	-769.4K	-35.7K	0.73	23.83	N/A	N/A	232	170	13,159	7,421
2009-11-19	$17.22	$17.50	59.5%	17.1%	90.5%	10.1%	59.5%	9.0%	0.8%	230.9K	680.7K	-33.6K	0.35	24.47	N/A	N/A	293	102	13,289	7,459
2009-11-20	$16.70	$17.50	58.7%	16.8%	90.4%	9.6%	56.7%	4.1%	2.9%	69.6K	2.4M	-31.8K	0.16	19.92	N/A	N/A	328	54	13,300	7,556
2009-11-23	$17.10	$17.50	56.1%	16.1%	91.0%	8.2%	56.0%	9.9%	2.6%	75.2K	226.4K	-30.1K	0.69	20.05	N/A	N/A	343	235	10,057	5,496
2009-11-24	$17.27	$17.50	54.2%	15.5%	91.0%	7.2%	57.5%	9.1%	2.9%	85.3K	-227.2K	-31.8K	0.79	19.28	N/A	N/A	242	190	10,184	5,589
2009-11-25	$17.22	$17.50	51.7%	14.8%	90.2%	5.8%	51.8%	7.5%	2.9%	86.0K	-277.9K	-31.8K	0.10	15.99	N/A	N/A	203	20	10,378	5,749
2009-11-27	$16.33	$17.50	53.5%	15.4%	87.7%	6.8%	53.9%	13.0%	2.2%	66.4K	1.1M	-28.4K	2.48	16.71	N/A	N/A	102	253	10,507	5,767
2009-11-30	$16.54	$17.50	50.0%	14.3%	85.3%	4.9%	0.0%	13.1%	6.6%	59.2K	1.4M	-27.4K	0.55	14.84	N/A	N/A	238	130	10,514	5,929