L Options History — September 2012

In September 2012, L traded between $40.79 and $42.69. ATM implied volatility averaged 16.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.5% (HV 20d: 11.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 3.47.

Notable Days

2012-09-28: Highest Volume — 650 contracts
2012-09-12: Largest IV spike — 51.2% change
2012-09-12: Highest IV Rank — 27.1%
2012-09-17: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.48	$40.79	$42.69	$40.79	$41.26
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	16.9%	13.2%	23.4%	15.8%	17.1%
Expected Move	4.8%	4.5%	5.3%	4.5%	4.9%
HV 20d	11.4%	9.1%	14.0%	9.2%	12.3%
HV 60d	17.9%	16.6%	18.8%	18.8%	16.6%
IV Rank	14.1%	6.8%	27.1%	12.0%	14.6%
IV Percentile	32.6%	6.3%	65.1%	25.4%	36.1%
Term Structure	1.1%	-3.5%	5.5%	0.9%	-1.9%
VWIV	15.2%	8.0%	17.4%	15.9%	16.7%
Skew 25d	5.8%	0.3%	11.3%	11.3%	0.3%
Skew 10d	18.1%	3.7%	60.7%	49.4%	3.7%
Call IV 25d	12.6%	8.1%	17.0%	14.2%	15.9%
Put IV 25d	18.4%	15.8%	25.5%	25.5%	16.1%
Bid-Ask Spread %	65.80	29.04	111.49	37.40	55.33
Gamma HHI	0.44	0.32	0.58	0.32	0.35
Net GEX	27.3K	-29.8K	121.0K	-29.8K	-15.3K
Net DEX	-2.3M	-3.5M	-998.6K	-1.6M	-1.2M
Net VEX	-16.7K	-17.9K	-15.5K	-16.5K	-17.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.47	0.00	18.40	0.16	12.83
Total Volume	139.105	5	650	104	650
Total OI	5,048.789	2,887	6,075	5,478	3,272

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 Vol	Put Vol	Call OI	Put OI
2012-09-04	$40.79	$40.00	15.8%	4.5%	9.2%	12.0%	15.9%	11.3%	0.9%	-29.8K	-1.6M	-16.5K	0.16	37.40	90	14	2,075	3,403
2012-09-05	$40.93	$40.00	15.7%	4.5%	9.2%	11.7%	16.1%	2.2%	1.8%	-9.5K	-2.0M	-16.9K	7.64	84.15	11	84	2,155	3,389
2012-09-06	$40.93	$40.00	16.6%	4.7%	9.1%	13.4%	17.4%	4.5%	1.2%	1.9K	-2.1M	-17.0K	4.58	52.69	36	165	2,159	3,438
2012-09-07	$41.18	$40.00	13.2%	4.6%	9.3%	6.8%	16.2%	9.8%	2.4%	9.4K	-2.3M	-17.2K	5.54	35.13	13	72	2,169	3,461
2012-09-10	$41.21	$40.00	15.8%	4.9%	9.3%	11.9%	0.0%	5.6%	1.4%	1.4K	-2.4M	-16.6K	2.13	34.05	16	34	2,175	3,469
2012-09-11	$41.48	$40.00	15.5%	4.6%	9.5%	11.3%	16.4%	4.5%	2.9%	26.4K	-2.6M	-16.7K	0.67	29.04	3	2	2,191	3,487
2012-09-12	$41.38	$40.00	23.4%	4.7%	9.6%	27.1%	0.0%	7.3%	4.2%	37.2K	-2.5M	-16.6K	1.80	75.61	10	18	2,191	3,487
2012-09-13	$42.32	$40.00	17.5%	5.0%	12.2%	15.4%	8.0%	9.0%	1.5%	115.2K	-3.4M	-16.2K	1.25	95.89	264	330	2,191	3,505
2012-09-14	$42.69	$40.00	16.1%	4.6%	12.4%	12.5%	0.0%	11.1%	5.5%	121.0K	-3.5M	-17.8K	0.42	108.39	69	29	2,250	3,825
2012-09-17	$42.29	$40.00	18.6%	5.3%	13.0%	17.4%	0.0%	8.3%	-2.2%	76.2K	-3.4M	-16.0K	0.77	43.84	13	10	2,230	3,653
2012-09-18	$42.05	$40.00	15.8%	4.5%	13.3%	12.0%	0.0%	9.7%	4.7%	69.5K	-2.9M	-16.8K	0.00	109.55	0	47	2,228	3,650
2012-09-19	$41.72	$40.00	17.7%	5.1%	13.7%	15.8%	0.0%	8.6%	0.4%	46.8K	-2.6M	-16.9K	0.00	50.47	10	0	2,228	3,661
2012-09-20	$41.44	$40.00	16.3%	4.7%	14.0%	13.0%	0.0%	5.9%	2.6%	9.2K	-2.6M	-16.5K	0.17	111.49	6	1	2,231	3,661
2012-09-21	$41.43	$40.00	15.6%	4.5%	12.3%	11.4%	0.0%	2.2%	1.1%	11.0K	-2.6M	-15.7K	0.59	50.74	17	10	2,195	3,628
2012-09-24	$41.51	$40.00	16.4%	4.7%	11.7%	13.1%	0.0%	5.7%	3.5%	36.3K	-1.5M	-15.5K	0.72	101.03	60	43	1,406	1,481
2012-09-25	$41.24	$40.00	17.3%	5.0%	12.0%	15.0%	15.6%	1.2%	-3.5%	33.8K	-1.5M	-16.4K	4.02	68.41	59	237	1,466	1,518
2012-09-26	$40.96	$40.00	18.5%	5.3%	12.2%	17.3%	15.0%	1.2%	-3.2%	-8.7K	-998.6K	-17.4K	18.40	50.78	10	184	1,490	1,659
2012-09-27	$41.28	$40.00	18.0%	5.2%	12.4%	16.4%	16.7%	2.2%	-1.3%	-13.1K	-1.1M	-17.9K	0.86	56.31	14	12	1,490	1,760
2012-09-28	$41.26	$40.00	17.1%	4.9%	12.3%	14.6%	0.0%	0.3%	-1.9%	-15.3K	-1.2M	-17.8K	12.83	55.33	47	603	1,500	1,772