PL Options History — December 2012

In December 2012, PL traded between $26.79 and $29.09. ATM implied volatility averaged 26.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.5% (HV 20d: 25.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.24.

Notable Days

2012-12-07: Highest Volume — 32 contracts
2012-12-12: Largest IV spike — 195.8% change
2012-12-12: Highest IV Rank — 64.1%
2012-12-03: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.10	$26.79	$29.09	$27.42	$28.58
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	26.0%	17.8%	52.6%	32.1%	21.4%
Expected Move	6.9%	5.4%	9.2%	9.2%	6.1%
HV 20d	25.5%	18.0%	33.4%	33.4%	25.5%
HV 60d	29.3%	27.8%	30.4%	28.2%	29.6%
IV Rank	18.7%	4.6%	64.1%	29.0%	10.8%
IV Percentile	20.9%	0.8%	94.8%	38.5%	5.6%
Term Structure	2.8%	-17.7%	15.5%	-17.7%	4.3%
VWIV	21.9%	18.5%	24.2%	22.5%	18.5%
Skew 25d	2.8%	-7.4%	15.3%	1.3%	-5.2%
Skew 10d	2.3%	-5.6%	14.2%	4.1%	-5.6%
Call IV 25d	22.3%	15.9%	28.5%	23.0%	25.5%
Put IV 25d	25.0%	17.0%	33.6%	24.3%	20.3%
Bid-Ask Spread %	53.10	32.02	98.95	50.60	35.66
Gamma HHI	0.47	0.33	0.68	0.37	0.54
Net GEX	11.8K	-4.9K	25.8K	3.0K	18.8K
Net DEX	-192.8K	-398.3K	18.4K	-81.0K	-179.4K
Net VEX	-2.1K	-2.4K	-1.7K	-1.9K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.00	1.00	0.00	0.00
Total Volume	10.05	0	32	20	1
Total OI	896.15	857	933	861	887

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
2012-12-03	$27.42	$25.00	32.1%	9.2%	33.4%	29.0%	0.0%	1.3%	-17.7%	3.0K	-81.0K	-1.9K	0.00	50.60	N/A	N/A	20	0	435	426
2012-12-04	$27.28	$25.00	20.3%	5.8%	33.4%	8.8%	0.0%	2.8%	7.0%	665	-63.7K	-1.9K	0.00	32.75	N/A	N/A	4	0	431	426
2012-12-05	$27.08	$25.00	23.4%	6.7%	33.0%	14.2%	0.0%	5.4%	-9.6%	-4.4K	-41.2K	-1.7K	1.00	68.70	N/A	N/A	10	10	435	426
2012-12-06	$26.99	$25.00	19.6%	5.6%	18.0%	7.8%	0.0%	6.5%	8.7%	-3.0K	-46.1K	-1.9K	0.00	35.64	N/A	N/A	0	0	431	434
2012-12-07	$26.79	$25.00	41.0%	8.4%	18.3%	44.2%	0.0%	11.2%	-1.2%	-4.9K	18.4K	-1.7K	0.07	73.15	N/A	N/A	30	2	431	434
2012-12-10	$27.48	$25.00	24.0%	8.7%	20.1%	15.2%	0.0%	15.3%	-3.1%	2.9K	-122.9K	-2.0K	0.00	35.49	N/A	N/A	0	20	461	436
2012-12-11	$28.73	$25.00	17.8%	5.5%	24.7%	4.6%	0.0%	5.6%	4.4%	18.6K	-339.4K	-2.1K	0.00	53.89	N/A	N/A	0	2	461	456
2012-12-12	$28.18	$25.00	52.6%	5.6%	25.9%	64.1%	0.0%	-7.4%	3.0%	11.0K	-203.1K	-2.4K	0.00	63.74	N/A	N/A	0	4	461	458
2012-12-13	$27.97	$25.00	31.7%	9.1%	23.4%	28.3%	0.0%	5.1%	2.9%	8.6K	-157.8K	-2.4K	0.00	71.21	N/A	N/A	0	0	461	462
2012-12-14	$27.70	$25.00	19.6%	5.6%	24.0%	7.8%	0.0%	2.8%	4.7%	5.3K	-141.7K	-2.2K	0.00	32.81	N/A	N/A	0	10	461	462
2012-12-17	$28.32	$25.00	23.8%	6.8%	24.7%	14.9%	0.0%	8.3%	3.5%	11.5K	-236.5K	-2.3K	0.13	34.57	N/A	N/A	8	1	461	452
2012-12-18	$29.05	$25.00	22.5%	6.4%	25.5%	12.6%	22.5%	-0.1%	4.8%	23.7K	-385.5K	-2.1K	1.00	43.70	N/A	N/A	5	5	466	453
2012-12-19	$28.96	$25.00	22.5%	6.4%	25.5%	12.6%	22.5%	-1.3%	4.5%	23.6K	-398.3K	-2.1K	0.00	32.02	N/A	N/A	25	0	466	458
2012-12-20	$29.09	$25.00	24.3%	7.0%	25.5%	15.8%	0.0%	-1.6%	2.9%	21.8K	-376.7K	-2.2K	0.00	35.39	N/A	N/A	15	0	470	448
2012-12-21	$28.64	$25.00	23.3%	6.7%	26.3%	14.0%	0.0%	-1.9%	3.8%	18.4K	-322.3K	-2.3K	0.07	53.71	N/A	N/A	14	1	485	448
2012-12-24	$28.65	$25.00	22.6%	6.5%	26.3%	12.8%	0.0%	-2.1%	4.7%	24.1K	-247.3K	-2.1K	0.00	60.34	N/A	N/A	0	5	455	426
2012-12-26	$28.51	$25.00	19.0%	5.4%	26.0%	6.7%	0.0%	-0.8%	7.9%	25.8K	-223.3K	-2.0K	0.00	70.82	N/A	N/A	0	0	455	431
2012-12-27	$28.41	$25.00	30.8%	8.8%	25.6%	26.9%	24.2%	2.0%	4.6%	16.8K	-161.9K	-2.3K	0.33	78.93	N/A	N/A	6	2	455	431
2012-12-28	$28.23	$25.00	29.0%	8.3%	25.3%	23.8%	0.0%	9.8%	15.5%	13.6K	-146.2K	-2.3K	0.00	98.95	N/A	N/A	1	0	456	432
2012-12-31	$28.58	$25.00	21.4%	6.1%	25.5%	10.8%	18.5%	-5.2%	4.3%	18.8K	-179.4K	-2.2K	0.00	35.66	N/A	N/A	0	1	455	432