L Options History — February 2012

In February 2012, L traded between $37.59 and $39.35. ATM implied volatility averaged 19.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.5% (HV 20d: 13.7%). 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 18 of 20 days. Put/call ratio averaged 2.38.

Notable Days

2012-02-03: Highest Volume — 1,796 contracts
2012-02-13: Largest IV spike — 43.7% change
2012-02-01: Highest IV Rank — 30.0%
2012-02-01: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.50	$37.59	$39.35	$37.85	$39.14
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	19.1%	11.0%	26.9%	26.9%	19.3%
Expected Move	5.4%	3.2%	7.7%	7.7%	5.5%
HV 20d	13.7%	12.8%	14.7%	13.7%	13.2%
HV 60d	21.4%	17.2%	24.1%	23.9%	17.2%
IV Rank	17.2%	3.8%	30.0%	30.0%	17.4%
IV Percentile	30.5%	2.4%	65.5%	65.5%	22.2%
Term Structure	3.9%	-1.2%	10.2%	4.3%	2.3%
VWIV	18.7%	11.9%	26.3%	21.0%	13.0%
Skew 25d	9.6%	2.3%	30.8%	5.3%	6.8%
Skew 10d	7.7%	-19.7%	47.9%	6.6%	-19.7%
Call IV 25d	15.3%	10.2%	27.4%	16.5%	13.7%
Put IV 25d	24.9%	18.9%	58.1%	21.8%	20.5%
Bid-Ask Spread %	74.06	50.46	113.54	66.12	101.61
Gamma HHI	0.74	0.62	0.82	0.69	0.80
Net GEX	522.9K	288.6K	849.2K	288.6K	791.6K
Net DEX	-1.6M	-2.4M	-809.1K	-959.1K	-2.4M
Net VEX	-20.6K	-24.6K	-13.6K	-14.3K	-24.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.00	10.31	5.10	0.41
Total Volume	204.25	21	1,796	61	155
Total OI	5,251.8	3,897	5,811	3,897	5,811

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
2012-02-01	$37.85	$40.00	26.9%	7.7%	13.7%	30.0%	0.0%	5.3%	4.3%	288.6K	-959.1K	-14.3K	5.10	66.12	10	51	2,588	1,309
2012-02-02	$38.00	$40.00	20.8%	6.0%	13.1%	19.9%	0.0%	3.1%	4.2%	310.3K	-809.1K	-13.6K	0.07	62.32	28	2	2,598	1,354
2012-02-03	$38.61	$40.00	22.0%	5.9%	14.3%	21.9%	21.0%	4.1%	-1.2%	362.1K	-1.4M	-14.8K	0.41	81.84	1,275	521	2,617	1,356
2012-02-06	$38.38	$40.00	17.4%	4.1%	14.1%	14.4%	24.4%	4.8%	2.5%	511.6K	-1.6M	-19.3K	2.00	62.56	37	74	3,533	1,739
2012-02-07	$38.36	$40.00	14.9%	4.3%	14.1%	10.2%	25.6%	10.6%	4.8%	585.4K	-1.8M	-20.2K	1.45	69.21	51	74	3,550	1,807
2012-02-08	$38.49	$40.00	13.5%	4.5%	12.8%	7.8%	0.0%	11.1%	4.2%	643.6K	-2.1M	-20.6K	0.69	50.46	100	69	3,579	1,845
2012-02-09	$38.20	$40.00	15.2%	4.4%	13.0%	10.7%	0.0%	8.8%	3.5%	552.2K	-1.9M	-21.6K	0.00	77.38	0	85	3,621	1,912
2012-02-10	$38.10	$40.00	11.0%	3.2%	12.9%	3.8%	26.3%	13.6%	9.5%	406.7K	-1.5M	-23.0K	0.00	60.13	0	47	3,621	1,997
2012-02-13	$38.42	$40.00	15.8%	4.5%	13.0%	11.7%	15.0%	11.0%	5.0%	619.0K	-1.6M	-20.8K	4.57	50.96	7	32	3,621	2,042
2012-02-14	$38.15	$40.00	15.2%	4.3%	13.1%	10.6%	0.0%	7.5%	3.8%	504.6K	-1.2M	-20.6K	0.00	72.65	0	43	3,623	2,066
2012-02-15	$37.59	$40.00	16.7%	4.8%	13.7%	13.1%	0.0%	11.4%	6.8%	308.0K	-1.1M	-22.0K	0.00	86.29	0	21	3,623	2,084
2012-02-16	$38.07	$40.00	18.0%	5.2%	14.4%	15.4%	0.0%	17.2%	10.2%	379.3K	-1.6M	-22.3K	7.00	62.41	5	35	3,623	2,105
2012-02-17	$38.30	$40.00	21.7%	6.2%	14.6%	21.5%	0.0%	10.7%	4.0%	479.2K	-1.5M	-20.8K	10.31	109.51	13	134	3,618	2,140
2012-02-21	$38.73	$40.00	23.4%	6.7%	14.7%	24.2%	16.1%	30.8%	-0.3%	359.3K	-903.1K	-19.4K	2.18	57.78	39	85	2,658	2,079
2012-02-22	$38.71	$40.00	22.1%	6.3%	14.0%	22.1%	21.3%	2.3%	2.0%	414.9K	-935.5K	-19.9K	0.45	66.35	393	177	2,694	2,164
2012-02-23	$39.17	$40.00	22.4%	6.4%	14.3%	22.7%	0.0%	8.6%	3.9%	677.1K	-1.9M	-22.7K	1.50	99.42	40	60	3,056	2,335
2012-02-24	$39.14	$40.00	20.0%	5.7%	14.0%	18.7%	0.0%	6.3%	2.0%	673.8K	-1.9M	-24.6K	0.00	113.54	90	0	3,091	2,395
2012-02-27	$39.27	$40.00	23.6%	6.8%	13.5%	24.7%	12.8%	10.2%	3.7%	741.8K	-2.3M	-23.9K	1.96	54.10	28	55	3,181	2,395
2012-02-28	$39.35	$40.00	22.4%	6.4%	12.9%	22.6%	11.9%	8.1%	3.9%	849.2K	-2.4M	-23.9K	0.00	76.48	249	0	3,158	2,448
2012-02-29	$39.14	$40.00	19.3%	5.5%	13.2%	17.4%	13.0%	6.8%	2.3%	791.6K	-2.4M	-24.6K	0.41	101.61	110	45	3,363	2,448