L Options History — April 2012

In April 2012, L traded between $38.39 and $41.13. ATM implied volatility averaged 17.5%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.7% (HV 20d: 16.8%). 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 9 of 20 days. Put/call ratio averaged 2.94.

Notable Days

2012-04-30: Highest Volume — 216 contracts
2012-04-11: Largest IV spike — 174.2% change
2012-04-11: Highest IV Rank — 37.2%
2012-04-12: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.81	$38.39	$41.13	$40.37	$41.13
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	17.5%	11.4%	31.2%	15.5%	18.1%
Expected Move	4.9%	3.5%	5.9%	4.4%	5.2%
HV 20d	16.8%	14.6%	18.3%	15.9%	17.1%
HV 60d	14.7%	13.6%	15.3%	13.9%	15.0%
IV Rank	16.1%	4.4%	37.2%	11.2%	18.4%
IV Percentile	19.8%	1.6%	74.2%	11.5%	19.0%
Term Structure	0.4%	-3.1%	7.0%	1.3%	-0.9%
VWIV	17.0%	12.3%	20.4%	12.3%	17.7%
Skew 25d	9.2%	-7.9%	37.6%	27.2%	3.1%
Skew 10d	16.2%	-16.0%	58.9%	51.3%	5.3%
Call IV 25d	18.7%	15.3%	27.4%	16.4%	16.2%
Put IV 25d	27.9%	16.9%	60.9%	43.6%	19.3%
Bid-Ask Spread %	65.87	33.78	111.11	46.86	104.68
Gamma HHI	0.63	0.44	0.90	0.73	0.48
Net GEX	380.1K	37.7K	1.7M	446.0K	92.5K
Net DEX	-1.2M	-2.8M	326.9K	-2.8M	-1.8M
Net VEX	-17.2K	-20.4K	-13.0K	-17.8K	-13.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.94	0.00	20.00	2.17	0.04
Total Volume	34.45	0	216	19	216
Total OI	3,933.85	3,426	4,168	4,067	3,622

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
2012-04-02	$40.37	$40.00	15.5%	4.4%	15.9%	11.2%	0.0%	27.2%	1.3%	446.0K	-2.8M	-17.8K	2.17	46.86	6	13	1,977	2,090
2012-04-03	$40.06	$40.00	12.3%	3.5%	14.6%	5.9%	12.3%	20.7%	7.0%	474.1K	-2.3M	-18.8K	0.91	40.47	11	10	1,983	2,098
2012-04-04	$39.71	$40.00	13.9%	4.0%	15.1%	8.5%	0.0%	-7.9%	3.9%	403.3K	-1.7M	-20.4K	2.00	36.03	5	10	1,990	2,103
2012-04-05	$39.57	$40.00	14.0%	4.0%	15.2%	8.6%	0.0%	37.6%	4.1%	387.4K	-1.4M	-20.0K	0.00	33.78	25	0	1,990	2,113
2012-04-09	$39.00	$40.00	12.9%	5.5%	16.0%	7.0%	0.0%	7.9%	-1.4%	292.4K	-513.5K	-19.5K	1.25	38.04	4	5	1,995	2,113
2012-04-10	$38.39	$40.00	11.4%	4.6%	17.0%	4.4%	0.0%	5.3%	-0.2%	91.9K	326.9K	-18.6K	0.00	43.96	20	0	1,995	2,113
2012-04-11	$38.79	$40.00	31.2%	4.3%	16.0%	37.2%	15.2%	8.5%	2.9%	218.1K	-433.6K	-18.7K	0.00	110.92	5	0	1,993	2,113
2012-04-12	$39.43	$40.00	20.5%	5.9%	16.9%	19.4%	0.0%	7.3%	-2.8%	388.7K	-841.3K	-18.6K	10.00	60.02	2	20	1,998	2,113
2012-04-13	$38.91	$40.00	17.9%	5.1%	16.8%	15.1%	0.0%	5.7%	-1.1%	260.6K	-740.4K	-19.0K	0.00	81.68	0	0	1,998	2,133
2012-04-16	$39.25	$40.00	17.4%	5.0%	17.1%	17.0%	17.4%	0.0%	0.9%	308.8K	-792.0K	-18.9K	20.00	50.79	2	40	1,998	2,133
2012-04-17	$39.92	$40.00	18.2%	5.2%	18.1%	18.5%	18.2%	1.3%	0.1%	752.2K	-1.9M	-17.8K	0.00	75.92	16	0	2,000	2,133
2012-04-18	$39.65	$40.00	17.9%	5.1%	18.3%	17.9%	0.0%	0.9%	-0.6%	831.2K	-1.1M	-16.9K	0.00	48.37	0	0	2,012	2,133
2012-04-19	$39.55	$40.00	17.5%	5.0%	18.0%	17.1%	0.0%	0.2%	1.1%	649.6K	-782.4K	-17.7K	0.00	111.11	0	19	2,016	2,133
2012-04-20	$39.84	$40.00	16.3%	4.7%	17.4%	14.9%	16.3%	0.3%	-0.5%	1.7M	-1.4M	-16.4K	0.50	86.38	12	6	2,016	2,152
2012-04-23	$39.62	$40.00	18.3%	5.2%	17.2%	18.6%	18.3%	1.7%	-1.3%	37.7K	-360.7K	-16.4K	10.83	74.62	6	65	1,284	2,142
2012-04-24	$40.24	$40.00	19.7%	5.6%	17.0%	21.4%	0.0%	35.6%	-3.1%	66.3K	-934.9K	-15.6K	0.00	109.77	5	0	1,290	2,207
2012-04-25	$40.64	$40.00	18.2%	5.2%	17.3%	18.5%	0.0%	20.6%	1.8%	55.4K	-1.4M	-14.0K	2.00	65.68	1	2	1,290	2,207
2012-04-26	$41.05	$40.00	18.8%	5.4%	17.5%	19.6%	0.0%	11.8%	-2.3%	105.2K	-1.7M	-13.0K	0.00	41.64	5	0	1,291	2,207
2012-04-27	$41.01	$40.00	20.3%	5.8%	17.4%	22.6%	20.4%	-4.1%	-1.7%	84.2K	-1.8M	-13.6K	0.30	56.60	122	36	1,296	2,207
2012-04-30	$41.13	$40.00	18.1%	5.2%	17.1%	18.4%	17.7%	3.1%	-0.9%	92.5K	-1.8M	-13.1K	0.04	104.68	208	8	1,400	2,222