L Options History — April 2011

In April 2011, L traded between $42.11 and $44.26. ATM implied volatility averaged 23.6%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 11.5% (HV 20d: 12.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2011-04-29: Highest Volume — 319 contracts
2011-04-06: Largest IV spike — 103.2% change
2011-04-12: Highest IV Rank — 100.0%
2011-04-18: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.07	$42.11	$44.26	$43.51	$44.26
Max Pain	$40.25	$40.00	$45.00	$40.00	$40.00
ATM IV	23.6%	9.4%	69.2%	9.8%	17.3%
Expected Move	4.8%	2.8%	6.4%	2.8%	5.0%
HV 20d	12.1%	9.7%	14.6%	14.6%	13.1%
HV 60d	16.0%	15.0%	16.4%	16.2%	15.0%
IV Rank	29.4%	0.0%	100.0%	0.0%	13.2%
IV Percentile	44.3%	0.0%	100.0%	0.0%	29.8%
Term Structure	0.2%	-1.3%	8.3%	8.3%	-1.3%
VWIV	17.5%	14.9%	21.8%	17.1%	17.3%
Skew 25d	5.0%	-2.0%	36.5%	-0.8%	-2.0%
Skew 10d	9.2%	-2.8%	47.6%	4.6%	-2.8%
Call IV 25d	16.6%	15.0%	18.0%	15.0%	17.4%
Put IV 25d	21.6%	14.3%	52.8%	14.3%	15.5%
Bid-Ask Spread %	51.59	33.83	98.34	45.66	36.99
Gamma HHI	0.61	0.54	0.74	0.60	0.74
Net GEX	127.7K	77.9K	232.1K	112.8K	232.1K
Net DEX	-819.1K	-2.6M	369.1K	-1.2M	-2.6M
Net VEX	-22.4K	-25.7K	-19.6K	-25.7K	-22.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	3.13	0.00	0.06
Total Volume	50.85	0	319	21	319
Total OI	3,476.1	3,415	3,603	3,426	3,603

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 Vol	Put Vol	Call OI	Put OI
2011-04-01	$43.51	$40.00	9.8%	2.8%	14.6%	0.0%	0.0%	-0.8%	8.3%	112.8K	-1.2M	-25.7K	0.00	45.66	21	0	1,928	1,498
2011-04-04	$43.67	$45.00	9.4%	4.9%	14.1%	0.0%	17.1%	4.9%	-0.5%	122.2K	-1.5M	-25.2K	0.00	33.83	75	0	1,948	1,498
2011-04-05	$43.40	$40.00	10.2%	4.8%	13.7%	2.1%	16.8%	4.0%	-0.1%	128.2K	-1.4M	-25.4K	0.08	37.10	12	1	1,994	1,498
2011-04-06	$43.67	$40.00	20.7%	4.8%	13.7%	29.4%	0.0%	4.9%	0.2%	134.1K	-1.5M	-25.5K	0.00	35.81	11	0	1,995	1,497
2011-04-07	$43.34	$40.00	32.5%	4.7%	11.1%	59.9%	16.5%	4.2%	0.8%	119.7K	-1.2M	-25.1K	0.00	37.68	11	0	1,995	1,497
2011-04-08	$43.00	$40.00	34.2%	4.6%	11.6%	64.5%	0.0%	3.2%	-0.0%	114.6K	-790.4K	-24.2K	0.00	40.30	4	0	1,996	1,497
2011-04-11	$43.02	$40.00	44.6%	4.6%	11.3%	91.5%	0.0%	3.4%	0.4%	114.2K	-691.3K	-23.4K	0.00	38.95	0	0	1,996	1,497
2011-04-12	$42.51	$40.00	53.2%	3.9%	12.1%	100.0%	0.0%	3.7%	0.5%	92.1K	-202.9K	-23.1K	0.00	34.70	10	0	1,996	1,497
2011-04-13	$42.38	$40.00	69.2%	6.4%	12.0%	100.0%	0.0%	4.2%	-0.9%	85.6K	31.1K	-21.4K	0.00	73.18	0	0	1,964	1,462
2011-04-14	$42.21	$40.00	21.8%	6.3%	11.6%	20.8%	21.8%	3.4%	-0.3%	77.9K	210.0K	-21.5K	0.67	94.23	9	6	1,964	1,462
2011-04-15	$42.48	$40.00	21.8%	6.2%	11.5%	20.7%	0.0%	3.4%	0.3%	91.9K	32.5K	-21.7K	0.70	35.56	30	21	1,963	1,462
2011-04-18	$42.11	$40.00	22.4%	6.4%	9.7%	21.8%	0.0%	4.3%	-1.0%	82.2K	315.4K	-20.7K	0.19	82.72	103	20	1,977	1,438
2011-04-19	$42.12	$40.00	22.0%	6.3%	9.7%	21.1%	17.2%	3.4%	-0.3%	83.5K	369.1K	-19.6K	0.00	40.11	10	0	2,004	1,426
2011-04-20	$42.83	$40.00	13.5%	3.9%	11.6%	6.9%	20.1%	5.8%	0.3%	121.0K	-455.6K	-20.8K	0.06	87.88	32	2	2,007	1,426
2011-04-21	$43.28	$40.00	12.5%	3.6%	12.2%	5.3%	14.9%	3.7%	0.7%	145.4K	-935.1K	-21.1K	0.00	35.51	60	0	2,023	1,428
2011-04-25	$43.13	$40.00	13.6%	3.9%	12.2%	7.0%	0.0%	2.9%	-0.5%	149.3K	-855.2K	-20.1K	0.26	44.24	39	10	2,043	1,428
2011-04-26	$43.22	$40.00	13.7%	3.9%	11.8%	7.2%	0.0%	2.9%	-0.7%	162.0K	-913.6K	-19.9K	0.00	48.85	51	0	2,059	1,438
2011-04-27	$43.29	$40.00	13.2%	3.8%	11.5%	6.3%	0.0%	4.3%	-0.7%	164.8K	-1.0M	-20.7K	3.13	98.34	15	47	2,107	1,438
2011-04-28	$44.06	$40.00	16.0%	4.6%	13.0%	11.0%	16.0%	36.5%	-0.9%	220.8K	-2.2M	-21.5K	0.29	50.12	76	22	2,121	1,452
2011-04-29	$44.26	$40.00	17.3%	5.0%	13.1%	13.2%	17.3%	-2.0%	-1.3%	232.1K	-2.6M	-22.2K	0.06	36.99	302	17	2,129	1,474