PL Options History — February 2013

In February 2013, PL traded between $31.25 and $33.52. ATM implied volatility averaged 24.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.5% (HV 20d: 17.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2013-02-19: Highest Volume — 202 contracts
2013-02-19: Largest IV spike — 103.1% change
2013-02-06: Highest IV Rank — 48.9%
2013-02-06: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.09	$31.25	$33.52	$31.75	$31.92
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	24.6%	13.2%	43.7%	35.7%	21.7%
Expected Move	6.4%	3.8%	8.6%	7.7%	6.2%
HV 20d	17.1%	10.8%	26.1%	15.3%	26.1%
HV 60d	21.3%	19.2%	25.7%	25.6%	22.7%
IV Rank	17.7%	0.0%	48.9%	35.2%	14.2%
IV Percentile	23.9%	0.0%	85.3%	63.5%	12.3%
Term Structure	1.7%	-5.4%	9.2%	-1.4%	-3.4%
VWIV	20.9%	11.3%	30.1%	27.7%	14.5%
Skew 25d	4.2%	-7.3%	14.6%	9.4%	0.1%
Skew 10d	5.9%	-6.0%	13.1%	10.5%	-1.8%
Call IV 25d	17.0%	12.1%	22.0%	17.1%	20.0%
Put IV 25d	21.1%	11.5%	31.9%	26.5%	20.2%
Bid-Ask Spread %	42.94	12.37	69.94	39.42	44.24
Gamma HHI	0.64	0.45	0.91	0.45	0.67
Net GEX	35.2K	13.3K	59.5K	32.9K	45.1K
Net DEX	-729.3K	-1.0M	-560.9K	-674.3K	-631.4K
Net VEX	-4.0K	-4.6K	-3.5K	-3.6K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	3.33	0.00	0.00
Total Volume	40.684	0	202	0	4
Total OI	1,008.579	765	1,190	765	1,190

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
2013-02-01	$31.75	$30.00	35.7%	7.7%	15.3%	35.2%	0.0%	9.4%	-1.4%	32.9K	-674.3K	-3.6K	0.00	39.42	N/A	N/A	0	0	520	245
2013-02-04	$31.29	$30.00	38.0%	8.0%	11.4%	39.2%	0.0%	8.1%	-1.9%	32.6K	-595.6K	-3.5K	0.00	16.89	N/A	N/A	60	0	520	245
2013-02-05	$31.54	$30.00	40.9%	7.9%	10.8%	44.1%	27.7%	9.3%	-1.4%	36.3K	-666.2K	-3.8K	0.30	16.10	N/A	N/A	20	6	564	245
2013-02-06	$31.30	$30.00	43.7%	8.6%	11.4%	48.9%	30.1%	8.9%	-2.9%	34.9K	-649.8K	-3.9K	0.00	24.36	N/A	N/A	0	196	584	251
2013-02-07	$31.90	$30.00	22.6%	6.5%	12.9%	12.8%	22.4%	9.3%	1.7%	13.3K	-638.9K	-4.1K	0.22	27.08	N/A	N/A	23	5	584	437
2013-02-08	$31.85	$30.00	22.4%	6.4%	12.7%	12.6%	22.5%	8.7%	0.1%	17.0K	-715.1K	-4.0K	0.00	25.00	N/A	N/A	0	21	606	442
2013-02-11	$31.82	$30.00	22.3%	6.4%	12.6%	12.4%	0.0%	7.5%	0.9%	20.2K	-748.9K	-3.8K	0.00	12.37	N/A	N/A	0	0	606	441
2013-02-12	$32.18	$30.00	23.1%	6.6%	12.6%	13.6%	0.0%	10.3%	-0.7%	22.7K	-801.9K	-4.0K	0.00	36.38	N/A	N/A	0	2	606	441
2013-02-13	$33.01	$30.00	23.5%	6.7%	14.9%	14.4%	0.0%	3.6%	6.8%	37.1K	-1.0M	-3.7K	0.39	67.52	N/A	N/A	18	7	606	443
2013-02-14	$33.14	$30.00	22.5%	6.5%	14.9%	12.7%	0.0%	3.1%	7.3%	25.7K	-805.5K	-4.0K	0.00	38.75	N/A	N/A	0	0	534	448
2013-02-15	$32.95	$30.00	13.2%	3.8%	15.0%	0.0%	11.3%	-7.3%	7.2%	37.6K	-863.2K	-3.9K	0.02	69.94	N/A	N/A	100	2	534	448
2013-02-19	$33.52	$30.00	26.7%	7.7%	15.8%	22.4%	17.9%	-3.5%	-5.4%	59.5K	-1.0M	-3.7K	0.11	66.82	N/A	N/A	182	20	634	260
2013-02-20	$32.38	$30.00	17.9%	5.1%	20.4%	7.9%	0.0%	-4.0%	-2.2%	50.2K	-788.7K	-4.6K	0.00	64.54	N/A	N/A	11	0	815	280
2013-02-21	$31.90	$30.00	16.6%	4.8%	21.1%	5.7%	14.5%	2.2%	5.3%	38.3K	-653.1K	-4.3K	1.00	61.28	N/A	N/A	10	10	826	280
2013-02-22	$32.36	$30.00	17.2%	4.9%	21.6%	6.7%	0.0%	5.1%	5.6%	48.7K	-757.4K	-4.6K	0.00	38.98	N/A	N/A	0	0	836	280
2013-02-25	$31.25	$30.00	16.4%	4.7%	25.0%	5.4%	0.0%	-0.4%	9.2%	35.4K	-562.5K	-4.2K	3.33	58.31	N/A	N/A	3	10	836	280
2013-02-26	$31.50	$30.00	21.1%	6.1%	25.1%	13.2%	0.0%	-5.7%	-1.3%	35.3K	-560.9K	-4.3K	0.00	58.43	N/A	N/A	40	0	838	290
2013-02-27	$32.11	$30.00	22.5%	6.5%	26.0%	15.5%	0.0%	14.6%	8.1%	46.4K	-674.2K	-4.6K	0.00	49.43	N/A	N/A	23	0	878	290
2013-02-28	$31.92	$30.00	21.7%	6.2%	26.1%	14.2%	0.0%	0.1%	-3.4%	45.1K	-631.4K	-4.4K	0.00	44.24	N/A	N/A	4	0	900	290