PL Options History — January 2010

In January 2010, PL traded between $16.85 and $18.77. ATM implied volatility averaged 43.6%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 14.3% (HV 20d: 29.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2010-01-15: Highest Volume — 2,933 contracts
2010-01-14: Largest IV spike — 26.7% change
2010-01-29: Highest IV Rank — 8.2%
2010-01-29: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.99	$16.85	$18.77	$17.08	$16.85
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	43.6%	34.4%	50.0%	41.9%	50.0%
Expected Move	13.2%	11.3%	14.3%	14.2%	14.3%
HV 20d	29.4%	24.3%	35.0%	35.0%	34.5%
HV 60d	60.1%	56.6%	62.1%	61.4%	56.8%
IV Rank	3.8%	0.0%	8.2%	0.7%	8.2%
IV Percentile	5.1%	0.0%	13.1%	0.8%	13.1%
Term Structure	-0.7%	-3.9%	3.8%	-1.6%	-2.9%
VWIV	45.5%	38.5%	50.0%	49.5%	50.0%
Skew 25d	7.3%	-5.2%	19.7%	14.4%	5.7%
Skew 10d	13.5%	-5.1%	32.5%	20.5%	9.3%
Call IV 25d	40.8%	32.0%	47.1%	39.4%	43.0%
Put IV 25d	48.1%	38.9%	58.0%	53.8%	48.8%
Bid-Ask Spread %	34.88	19.00	65.91	25.79	45.11
Gamma HHI	0.67	0.50	0.77	0.50	0.65
Net GEX	112.7K	79.1K	168.0K	82.5K	100.1K
Net DEX	-2.6M	-4.1M	-167.7K	-167.7K	-895.1K
Net VEX	-27.1K	-32.7K	-23.3K	-24.9K	-26.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	5.67	0.16	1.25
Total Volume	383.368	41	2,933	433	54
Total OI	14,823.526	10,067	19,184	18,720	10,910

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
2010-01-04	$17.08	$17.50	41.9%	14.2%	35.0%	0.7%	49.5%	14.4%	-1.6%	82.5K	-167.7K	-24.9K	0.16	25.79	N/A	N/A	372	61	12,949	5,771
2010-01-05	$17.12	$17.50	43.3%	14.0%	33.1%	1.5%	49.1%	18.6%	-2.2%	79.1K	-657.7K	-25.1K	0.00	19.00	N/A	N/A	638	0	12,933	5,748
2010-01-06	$17.57	$17.50	40.9%	13.3%	34.5%	0.2%	46.7%	19.7%	-0.5%	88.4K	-1.8M	-25.3K	0.33	22.80	N/A	N/A	397	132	13,104	5,727
2010-01-07	$18.09	$17.50	41.2%	13.6%	34.4%	0.4%	45.5%	-5.2%	-2.2%	88.2K	-3.3M	-25.8K	0.06	28.97	N/A	N/A	157	9	13,362	5,809
2010-01-08	$18.15	$17.50	38.6%	13.7%	28.0%	0.0%	0.0%	7.0%	-2.5%	84.4K	-3.5M	-25.4K	0.00	23.36	N/A	N/A	118	0	13,380	5,804
2010-01-11	$18.68	$17.50	44.7%	12.9%	25.3%	3.2%	47.8%	9.0%	2.7%	117.0K	-3.2M	-25.1K	0.25	31.53	N/A	N/A	201	50	12,581	5,804
2010-01-12	$18.28	$17.50	43.1%	13.3%	26.9%	2.4%	45.5%	5.1%	-0.4%	91.4K	-2.7M	-25.0K	3.73	40.59	N/A	N/A	143	533	12,672	5,853
2010-01-13	$18.45	$17.50	34.4%	12.9%	26.5%	0.0%	44.3%	4.8%	0.7%	89.7K	-3.3M	-24.0K	1.67	37.10	N/A	N/A	30	50	12,723	5,749
2010-01-14	$18.59	$17.50	43.6%	12.5%	24.3%	4.8%	42.7%	4.6%	1.1%	90.4K	-3.4M	-23.7K	0.32	31.32	N/A	N/A	31	10	12,693	5,783
2010-01-15	$18.42	$17.50	45.4%	13.0%	24.8%	5.8%	44.4%	5.9%	-1.4%	91.0K	-3.3M	-23.3K	0.38	28.12	N/A	N/A	2,124	809	12,690	5,793
2010-01-19	$18.73	$17.50	43.6%	12.5%	24.6%	4.9%	38.5%	5.7%	1.1%	152.6K	-3.8M	-31.7K	0.41	34.32	N/A	N/A	255	105	7,026	3,041
2010-01-20	$18.77	$17.50	39.4%	11.3%	24.6%	2.6%	42.2%	5.9%	-0.1%	168.0K	-4.1M	-32.0K	0.13	22.88	N/A	N/A	292	37	7,222	3,034
2010-01-21	$18.62	$17.50	41.8%	12.0%	25.0%	3.9%	39.5%	5.1%	0.4%	163.7K	-4.0M	-32.7K	0.59	22.29	N/A	N/A	39	23	7,393	3,071
2010-01-22	$17.91	$17.50	44.7%	12.8%	29.2%	5.4%	0.0%	6.2%	3.8%	149.4K	-3.0M	-30.2K	3.67	46.81	N/A	N/A	15	55	7,419	3,077
2010-01-25	$18.04	$17.50	48.0%	13.8%	29.3%	7.2%	47.5%	7.8%	-2.5%	145.5K	-2.8M	-30.2K	0.12	51.35	N/A	N/A	120	14	7,424	3,090
2010-01-26	$17.41	$17.50	46.9%	13.4%	31.9%	6.6%	47.9%	5.7%	-0.4%	123.0K	-1.9M	-28.1K	5.67	65.91	N/A	N/A	18	102	7,477	3,104
2010-01-27	$17.74	$17.50	47.6%	13.6%	32.3%	7.0%	47.6%	7.0%	-3.9%	121.5K	-1.9M	-28.5K	0.44	38.07	N/A	N/A	63	28	7,491	3,206
2010-01-28	$17.28	$17.50	49.8%	14.3%	33.8%	8.1%	0.0%	6.4%	-3.2%	114.5K	-1.6M	-28.0K	0.23	47.45	N/A	N/A	162	37	7,528	3,206
2010-01-29	$16.85	$17.50	50.0%	14.3%	34.5%	8.2%	50.0%	5.7%	-2.9%	100.1K	-895.1K	-26.2K	1.25	45.11	N/A	N/A	24	30	7,670	3,240