L Options History — October 2012

In October 2012, L traded between $41.29 and $43.17. ATM implied volatility averaged 18.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.2% (HV 20d: 12.5%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.12.

Notable Days

2012-10-26: Highest Volume — 438 contracts
2012-10-05: Largest IV spike — 52.6% change
2012-10-11: Highest IV Rank — 28.2%
2012-10-11: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.02	$41.29	$43.17	$41.55	$42.28
Max Pain	$48.10	$40.00	$55.00	$55.00	$40.00
ATM IV	18.7%	11.6%	23.9%	14.2%	14.7%
Expected Move	5.4%	3.3%	6.9%	4.1%	4.2%
HV 20d	12.5%	10.0%	13.9%	12.1%	13.6%
HV 60d	15.4%	11.6%	16.8%	16.7%	11.6%
IV Rank	17.7%	3.6%	28.2%	8.8%	9.7%
IV Percentile	48.5%	1.6%	77.0%	13.1%	16.3%
Term Structure	-2.4%	-13.3%	6.9%	0.1%	0.4%
VWIV	23.0%	18.8%	28.7%	19.7%	23.9%
Skew 25d	4.8%	-6.9%	15.5%	-2.8%	-6.9%
Skew 10d	6.6%	-7.7%	32.6%	0.9%	-7.7%
Call IV 25d	13.9%	9.0%	25.3%	16.4%	22.7%
Put IV 25d	18.7%	12.0%	24.6%	13.6%	15.8%
Bid-Ask Spread %	73.59	29.01	127.82	127.82	103.50
Gamma HHI	0.44	0.35	0.57	0.37	0.57
Net GEX	23.3K	-25.3K	89.8K	-4.8K	89.8K
Net DEX	-496.5K	-2.7M	1.0M	655.5K	-2.6M
Net VEX	-15.9K	-18.3K	-11.6K	-17.6K	-14.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.00	4.75	1.43	0.07
Total Volume	67.238	2	438	34	225
Total OI	3,879.952	3,407	4,065	3,868	3,882

Daily Data (21 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
2012-10-01	$41.55	$55.00	14.2%	4.1%	12.1%	8.8%	0.0%	-2.8%	0.1%	-4.8K	655.5K	-17.6K	1.43	127.82	14	20	1,513	2,355
2012-10-02	$41.53	$55.00	14.7%	4.2%	12.0%	9.7%	0.0%	-2.0%	-1.0%	-18.1K	874.3K	-17.5K	0.20	66.71	44	9	1,519	2,375
2012-10-03	$41.29	$55.00	15.9%	4.5%	12.2%	12.1%	0.0%	-5.9%	-3.7%	-25.3K	1.0M	-18.3K	0.93	70.65	68	63	1,561	2,384
2012-10-04	$41.96	$55.00	11.6%	3.3%	13.4%	3.6%	0.0%	2.4%	6.9%	12.5K	321.2K	-17.8K	0.14	56.99	7	1	1,612	2,404
2012-10-05	$41.96	$50.00	17.8%	5.1%	13.3%	15.8%	0.0%	7.9%	0.5%	13.3K	303.4K	-17.9K	1.25	94.61	4	5	1,619	2,405
2012-10-08	$42.08	$50.00	18.4%	5.3%	13.3%	17.1%	0.0%	9.0%	-1.1%	23.2K	131.0K	-16.9K	2.50	38.35	4	10	1,619	2,400
2012-10-09	$41.80	$50.00	16.8%	5.3%	13.4%	14.0%	0.0%	8.6%	0.3%	12.4K	282.3K	-17.1K	0.00	38.07	0	2	1,623	2,400
2012-10-10	$41.55	$50.00	18.9%	6.5%	13.6%	18.2%	0.0%	5.8%	-7.8%	-4.3K	537.6K	-17.8K	0.00	56.38	6	0	1,623	2,400
2012-10-11	$41.61	$50.00	23.9%	6.9%	10.8%	28.2%	0.0%	15.5%	-6.8%	1.8K	437.0K	-17.2K	0.00	39.36	0	40	1,624	2,400
2012-10-12	$41.48	$50.00	23.4%	6.7%	10.2%	27.1%	19.7%	5.0%	-9.1%	-13.7K	753.0K	-17.6K	0.87	65.67	15	13	1,624	2,440
2012-10-15	$41.69	$50.00	18.4%	5.3%	10.0%	17.2%	0.0%	3.2%	-1.8%	-13.7K	504.5K	-16.9K	0.00	116.70	5	0	1,614	2,448
2012-10-16	$42.10	$50.00	23.4%	6.7%	10.5%	27.2%	18.8%	6.2%	-13.3%	-2.9K	-43.1K	-12.6K	0.00	118.27	0	5	1,617	2,448
2012-10-17	$42.69	$50.00	18.8%	5.4%	11.1%	18.0%	0.0%	11.9%	3.6%	55.4K	-363.6K	-14.3K	0.15	64.83	26	4	1,617	2,445
2012-10-18	$43.17	$50.00	20.1%	5.8%	11.2%	20.5%	28.7%	7.0%	4.9%	55.2K	-701.3K	-11.6K	0.00	123.64	98	0	1,587	2,420
2012-10-19	$42.51	$50.00	20.3%	5.8%	12.8%	20.9%	0.0%	5.8%	-0.3%	67.2K	-545.9K	-13.2K	0.21	67.88	29	6	1,639	2,420
2012-10-22	$42.45	$40.00	18.8%	5.4%	12.9%	17.8%	20.9%	11.0%	-5.4%	51.1K	-2.5M	-14.7K	4.28	106.89	25	107	1,586	1,821
2012-10-23	$41.81	$40.00	23.5%	6.7%	13.9%	27.4%	0.0%	8.9%	-7.5%	27.9K	-1.9M	-16.1K	1.96	29.01	23	45	1,606	1,872
2012-10-24	$42.02	$40.00	19.5%	5.6%	13.7%	19.3%	0.0%	7.0%	-2.3%	54.1K	-2.5M	-14.7K	0.00	51.73	0	5	1,627	1,890
2012-10-25	$42.40	$40.00	18.7%	5.4%	13.7%	17.7%	0.0%	4.2%	-8.1%	60.9K	-2.7M	-14.3K	4.75	64.22	8	38	1,627	1,889
2012-10-26	$42.39	$40.00	20.5%	5.9%	13.7%	21.4%	25.8%	-2.1%	0.7%	48.2K	-2.4M	-15.8K	0.26	44.10	349	89	1,635	1,889
2012-10-31	$42.28	$40.00	14.7%	4.2%	13.6%	9.7%	23.9%	-6.9%	0.4%	89.8K	-2.6M	-14.9K	0.07	103.50	210	15	1,935	1,947