PL Options History — February 2010

In February 2010, PL traded between $16.59 and $18.80. ATM implied volatility averaged 44.3%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 3.0% (HV 20d: 41.4%). 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 0.76.

Notable Days

2010-02-11: Highest Volume — 599 contracts
2010-02-11: Largest IV drop — 30.8% change
2010-02-10: Highest IV Rank — 13.0%
2010-02-04: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.92	$16.59	$18.80	$17.48	$18.36
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	44.3%	37.0%	59.1%	49.0%	38.2%
Expected Move	12.4%	10.6%	15.3%	14.1%	10.9%
HV 20d	41.4%	36.4%	44.5%	36.6%	41.7%
HV 60d	39.8%	36.7%	56.9%	56.7%	37.1%
IV Rank	5.2%	1.3%	13.0%	7.7%	2.0%
IV Percentile	9.1%	0.4%	38.1%	11.5%	1.6%
Term Structure	-0.8%	-5.0%	5.7%	-2.8%	-0.7%
VWIV	41.3%	31.3%	51.0%	49.0%	32.9%
Skew 25d	6.6%	3.3%	11.8%	6.4%	5.1%
Skew 10d	17.6%	3.6%	30.5%	13.9%	4.3%
Call IV 25d	38.5%	31.9%	45.0%	41.7%	32.7%
Put IV 25d	45.1%	37.8%	52.6%	48.1%	37.8%
Bid-Ask Spread %	36.91	23.27	51.81	36.30	36.59
Gamma HHI	0.78	0.61	0.92	0.65	0.90
Net GEX	159.8K	84.5K	224.2K	111.9K	221.7K
Net DEX	-2.9M	-5.9M	-339.0K	-1.5M	-3.4M
Net VEX	-27.2K	-29.3K	-24.6K	-27.5K	-26.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	1.97	1.33	0.00
Total Volume	264.737	42	599	114	110
Total OI	11,652.526	10,423	12,824	10,954	10,803

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
2010-02-01	$17.48	$17.50	49.0%	14.1%	36.6%	7.7%	49.0%	6.4%	-2.8%	111.9K	-1.5M	-27.5K	1.33	36.30	N/A	N/A	49	65	7,684	3,270
2010-02-02	$18.01	$17.50	45.9%	13.2%	36.4%	6.1%	45.1%	6.0%	-4.4%	130.9K	-2.5M	-28.6K	0.06	23.27	N/A	N/A	417	23	7,693	3,328
2010-02-03	$17.69	$17.50	48.6%	13.9%	37.2%	7.5%	48.6%	5.3%	-3.0%	125.6K	-2.0M	-29.0K	1.63	34.55	N/A	N/A	147	239	8,005	3,340
2010-02-04	$16.80	$17.50	53.5%	15.3%	40.5%	10.0%	31.3%	5.2%	-4.8%	92.4K	-554.5K	-26.1K	0.41	38.77	N/A	N/A	59	24	8,131	3,526
2010-02-05	$17.08	$17.50	55.1%	13.5%	39.4%	10.9%	51.0%	7.6%	0.6%	94.0K	-677.7K	-26.5K	0.66	34.96	N/A	N/A	242	159	8,152	3,550
2010-02-08	$16.59	$17.50	48.2%	14.4%	40.4%	7.3%	0.0%	7.4%	-0.7%	84.5K	-339.0K	-24.6K	1.28	38.00	N/A	N/A	43	55	8,280	3,637
2010-02-09	$16.92	$17.50	53.6%	14.1%	39.5%	10.1%	0.0%	6.7%	-2.7%	87.9K	-358.1K	-25.2K	0.01	50.12	N/A	N/A	578	5	8,322	3,667
2010-02-10	$17.22	$17.50	59.1%	14.6%	39.8%	13.0%	50.9%	6.3%	-5.0%	113.3K	-1.2M	-26.7K	0.20	44.09	N/A	N/A	295	60	8,452	3,672
2010-02-11	$17.93	$17.50	40.9%	11.7%	42.5%	3.4%	38.6%	8.2%	-1.2%	151.8K	-2.8M	-27.3K	0.45	51.81	N/A	N/A	414	185	8,716	3,675
2010-02-12	$18.23	$17.50	39.2%	11.2%	42.9%	2.5%	39.6%	3.3%	0.7%	172.7K	-3.8M	-27.3K	0.32	46.96	N/A	N/A	208	67	8,836	3,659
2010-02-16	$18.77	$17.50	39.6%	11.4%	44.1%	2.7%	39.3%	5.7%	-0.1%	204.6K	-5.9M	-27.6K	1.97	31.40	N/A	N/A	117	230	8,864	3,639
2010-02-17	$18.80	$17.50	37.0%	10.6%	43.7%	1.3%	43.2%	8.0%	2.8%	202.1K	-5.8M	-29.3K	0.84	34.07	N/A	N/A	171	144	8,864	3,859
2010-02-18	$18.36	$17.50	40.0%	11.5%	44.5%	2.9%	34.2%	6.7%	1.3%	189.3K	-4.9M	-28.7K	0.24	33.68	N/A	N/A	123	30	9,004	3,820
2010-02-19	$18.35	$17.50	39.0%	11.2%	44.4%	2.4%	39.5%	7.3%	-0.9%	195.4K	-4.7M	-27.4K	1.10	36.30	N/A	N/A	20	22	8,964	3,849
2010-02-22	$18.66	$17.50	37.1%	10.6%	42.4%	1.4%	34.6%	4.0%	5.7%	214.0K	-4.1M	-27.8K	0.82	30.04	N/A	N/A	117	96	7,532	2,891
2010-02-23	$18.07	$17.50	41.1%	11.8%	44.0%	3.5%	41.0%	11.8%	-1.3%	199.8K	-3.2M	-26.4K	1.22	42.68	N/A	N/A	46	56	7,603	2,953
2010-02-24	$18.61	$17.50	37.9%	10.9%	43.1%	1.8%	0.0%	9.6%	2.1%	220.9K	-3.8M	-27.0K	1.70	27.02	N/A	N/A	64	109	7,617	2,977
2010-02-25	$18.54	$17.50	39.6%	11.4%	42.8%	2.8%	32.9%	5.0%	-0.5%	224.2K	-3.7M	-27.1K	0.14	30.73	N/A	N/A	211	30	7,634	2,930
2010-02-26	$18.36	$17.50	38.2%	10.9%	41.7%	2.0%	0.0%	5.1%	-0.7%	221.7K	-3.4M	-26.6K	0.00	36.59	N/A	N/A	110	0	7,844	2,959