L Options History — January 2012

In January 2012, L traded between $37.31 and $38.94. ATM implied volatility averaged 26.9%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.9% (HV 20d: 18.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.97.

Notable Days

2012-01-12: Highest Volume — 1,083 contracts
2012-01-30: Largest IV spike — 28.5% change
2012-01-30: Highest IV Rank — 46.8%
2012-01-30: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.15	$37.31	$38.94	$38.47	$37.31
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	26.9%	22.2%	37.1%	22.9%	33.0%
Expected Move	7.5%	6.4%	10.6%	6.6%	9.5%
HV 20d	18.1%	14.9%	23.8%	23.8%	15.0%
HV 60d	29.2%	23.8%	32.7%	32.7%	23.8%
IV Rank	30.1%	22.3%	46.8%	23.4%	40.2%
IV Percentile	66.7%	52.0%	88.9%	59.5%	75.0%
Term Structure	0.4%	-14.7%	12.1%	12.1%	-14.7%
VWIV	23.9%	18.5%	37.0%	26.9%	37.0%
Skew 25d	7.0%	-5.3%	13.1%	11.3%	2.3%
Skew 10d	9.8%	-3.3%	35.2%	-0.3%	10.5%
Call IV 25d	19.1%	10.9%	25.2%	10.9%	18.7%
Put IV 25d	26.1%	20.0%	30.6%	22.2%	21.1%
Bid-Ask Spread %	71.78	47.71	106.86	90.26	61.79
Gamma HHI	0.62	0.44	0.77	0.44	0.62
Net GEX	213.2K	74.5K	389.4K	74.5K	193.2K
Net DEX	-1.1M	-2.2M	-134.5K	-931.3K	-381.0K
Net VEX	-12.8K	-15.6K	-10.5K	-11.4K	-12.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.97	0.00	11.00	0.00	0.57
Total Volume	103.05	3	1,083	68	44
Total OI	3,287.5	2,526	3,870	2,526	3,870

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
2012-01-03	$38.47	$40.00	22.9%	6.6%	23.8%	23.4%	0.0%	11.3%	12.1%	74.5K	-931.3K	-11.4K	0.00	90.26	68	0	1,415	1,111
2012-01-04	$38.00	$40.00	24.8%	7.1%	23.2%	26.5%	0.0%	4.8%	8.0%	78.2K	-777.6K	-11.7K	0.00	78.40	0	14	1,483	1,111
2012-01-05	$38.05	$40.00	30.6%	8.8%	23.1%	36.2%	26.9%	10.9%	10.5%	75.6K	-745.8K	-11.6K	3.33	48.78	6	20	1,483	1,125
2012-01-06	$37.72	$40.00	24.9%	6.9%	23.2%	26.8%	0.0%	9.2%	0.9%	78.8K	-702.9K	-11.5K	0.00	51.41	0	5	1,488	1,143
2012-01-09	$37.84	$40.00	29.3%	6.8%	19.9%	33.9%	29.3%	10.4%	1.4%	80.8K	-593.0K	-10.8K	0.00	52.00	0	38	1,488	1,143
2012-01-10	$38.48	$40.00	27.8%	6.9%	19.5%	31.6%	20.8%	7.1%	-0.4%	105.2K	-860.1K	-10.8K	0.00	47.71	9	0	1,488	1,153
2012-01-11	$38.34	$40.00	29.8%	6.7%	17.9%	34.7%	0.0%	9.5%	0.4%	110.8K	-822.6K	-10.7K	0.10	62.40	30	3	1,497	1,153
2012-01-12	$38.52	$40.00	23.4%	6.7%	17.5%	24.3%	19.3%	9.4%	1.4%	112.7K	-954.2K	-10.5K	0.06	74.46	1,025	58	1,506	1,153
2012-01-13	$38.23	$40.00	25.3%	7.2%	17.7%	27.3%	0.0%	10.7%	0.3%	278.3K	-1.7M	-15.6K	0.00	77.54	0	12	2,486	1,193
2012-01-17	$38.03	$40.00	22.2%	6.4%	17.8%	22.3%	31.5%	13.1%	4.4%	291.1K	-1.5M	-13.9K	0.00	67.69	0	6	2,486	1,205
2012-01-18	$38.38	$40.00	26.6%	7.6%	17.8%	29.5%	0.0%	4.4%	1.5%	264.3K	-1.3M	-13.2K	0.00	106.86	3	0	2,486	1,207
2012-01-19	$38.53	$40.00	24.2%	6.9%	17.1%	25.5%	0.0%	8.8%	1.6%	317.7K	-1.8M	-13.8K	0.00	67.81	0	45	2,483	1,197
2012-01-20	$38.56	$40.00	24.4%	7.0%	14.9%	25.9%	19.0%	8.8%	3.4%	309.9K	-1.6M	-13.4K	0.68	74.33	120	82	2,483	1,227
2012-01-23	$38.94	$40.00	25.3%	7.3%	15.0%	27.4%	19.3%	8.2%	-0.1%	389.4K	-2.2M	-14.3K	1.16	91.65	100	116	2,501	1,048
2012-01-24	$38.44	$40.00	26.7%	7.7%	15.8%	29.7%	18.5%	0.7%	-0.5%	367.2K	-1.8M	-15.0K	2.71	84.09	14	38	2,551	1,141
2012-01-25	$38.18	$40.00	26.9%	7.7%	15.8%	30.1%	19.1%	6.9%	-1.1%	322.3K	-1.4M	-14.5K	1.42	66.60	31	44	2,563	1,179
2012-01-26	$37.95	$40.00	25.0%	7.2%	15.9%	26.9%	0.0%	1.6%	-1.6%	356.4K	-1.4M	-14.3K	6.25	96.76	8	50	2,575	1,223
2012-01-27	$37.63	$40.00	28.8%	8.3%	15.3%	33.2%	21.7%	-5.3%	-7.2%	287.2K	-1.1M	-14.4K	0.22	85.72	49	11	2,575	1,273
2012-01-30	$37.32	$40.00	37.1%	10.6%	15.1%	46.8%	0.0%	8.2%	-13.4%	171.2K	-134.5K	-12.3K	11.00	49.33	1	11	2,575	1,283
2012-01-31	$37.31	$40.00	33.0%	9.5%	15.0%	40.2%	37.0%	2.3%	-14.7%	193.2K	-381.0K	-12.6K	0.57	61.79	28	16	2,576	1,294