L Options History — December 2012

In December 2012, L traded between $40.18 and $41.64. ATM implied volatility averaged 15.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.3% (HV 20d: 13.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 12.78.

Notable Days

2012-12-20: Highest Volume — 263 contracts
2012-12-10: Largest IV spike — 87.9% change
2012-12-28: Highest IV Rank — 34.2%
2012-12-28: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.98	$40.18	$41.64	$40.72	$40.75
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	15.4%	8.4%	18.6%	15.4%	16.8%
Expected Move	4.5%	3.4%	5.2%	4.4%	4.8%
HV 20d	13.0%	10.2%	17.3%	17.1%	12.8%
HV 60d	14.9%	14.4%	15.3%	15.1%	15.3%
IV Rank	18.5%	0.0%	34.2%	11.1%	29.3%
IV Percentile	32.1%	0.0%	59.9%	25.8%	48.4%
Term Structure	1.7%	0.3%	5.5%	0.3%	1.3%
VWIV	15.7%	11.5%	18.2%	15.4%	16.8%
Skew 25d	2.0%	-13.7%	15.1%	-7.5%	13.5%
Skew 10d	9.7%	-8.6%	44.3%	-5.3%	44.3%
Call IV 25d	15.3%	11.0%	23.8%	23.5%	15.8%
Put IV 25d	17.3%	10.2%	29.2%	16.1%	29.2%
Bid-Ask Spread %	29.26	11.70	60.76	32.07	11.70
Gamma HHI	0.54	0.47	0.64	0.48	0.61
Net GEX	-72.6K	-133.4K	-34.0K	-39.3K	-106.2K
Net DEX	-1.3M	-2.5M	431.0K	-1.2M	175.9K
Net VEX	-10.6K	-12.0K	-9.0K	-11.1K	-11.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.78	0.00	195.00	0.20	1.04
Total Volume	88.05	14	263	60	47
Total OI	3,357	1,663	4,008	3,675	1,916

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
2012-12-03	$40.72	$40.00	15.4%	4.4%	17.1%	11.1%	15.4%	-7.5%	0.3%	-39.3K	-1.2M	-11.1K	0.20	32.07	50	10	1,775	1,900
2012-12-04	$40.95	$40.00	15.2%	4.4%	17.3%	10.8%	0.0%	-8.1%	0.3%	-36.6K	-1.5M	-11.0K	0.00	24.99	18	0	1,777	1,910
2012-12-05	$41.06	$40.00	12.0%	3.4%	17.3%	4.2%	14.7%	-13.7%	1.4%	-34.0K	-1.7M	-10.4K	11.14	55.22	14	156	1,778	1,910
2012-12-06	$41.28	$40.00	12.8%	3.7%	14.5%	6.0%	11.5%	-6.7%	5.5%	-65.9K	-1.7M	-10.6K	0.07	27.96	76	5	1,775	2,056
2012-12-07	$41.28	$40.00	8.4%	4.4%	13.5%	0.0%	15.5%	4.7%	2.0%	-58.0K	-2.3M	-9.0K	1.89	36.85	9	17	1,774	2,061
2012-12-10	$41.04	$40.00	15.9%	4.5%	13.0%	14.4%	15.7%	4.4%	1.7%	-81.8K	-1.6M	-10.6K	13.60	20.76	5	68	1,777	2,073
2012-12-11	$41.50	$40.00	15.3%	4.7%	13.5%	13.4%	16.3%	5.2%	1.3%	-57.9K	-1.8M	-10.3K	0.15	35.43	131	20	1,777	2,129
2012-12-12	$41.44	$40.00	18.6%	4.4%	13.0%	19.8%	15.3%	3.8%	1.7%	-55.3K	-1.8M	-10.7K	0.49	35.35	41	20	1,792	2,109
2012-12-13	$40.99	$40.00	15.5%	4.5%	12.0%	13.8%	0.0%	3.9%	2.3%	-84.5K	-1.6M	-10.7K	10.00	36.83	2	20	1,811	2,095
2012-12-14	$40.65	$40.00	15.3%	4.4%	12.4%	13.4%	15.3%	3.2%	2.0%	-133.4K	-1.2M	-10.6K	1.28	60.76	71	91	1,809	2,098
2012-12-17	$41.03	$40.00	16.1%	4.6%	10.2%	16.1%	0.0%	3.1%	1.5%	-98.3K	-1.8M	-10.1K	5.43	13.05	7	38	1,816	2,178
2012-12-18	$41.64	$40.00	16.2%	4.6%	11.4%	27.0%	16.3%	4.9%	1.4%	-40.4K	-2.5M	-9.7K	0.13	16.30	24	3	1,815	2,177
2012-12-19	$41.17	$40.00	15.5%	4.4%	12.1%	24.6%	0.0%	3.5%	2.1%	-78.7K	-2.1M	-9.7K	0.00	27.21	14	0	1,805	2,175
2012-12-20	$41.24	$40.00	16.4%	4.7%	12.1%	27.7%	16.3%	3.1%	1.3%	-72.3K	-2.1M	-9.5K	0.00	27.07	263	0	1,785	2,171
2012-12-21	$40.90	$40.00	15.1%	4.3%	11.8%	23.2%	15.1%	2.0%	2.2%	-113.9K	-1.9M	-10.5K	0.22	26.48	176	39	1,837	2,171
2012-12-24	$40.74	$40.00	15.7%	4.5%	11.8%	25.3%	15.7%	15.1%	1.4%	-48.5K	-237.7K	-10.5K	1.81	29.64	16	29	835	828
2012-12-26	$40.53	$40.00	15.9%	4.6%	11.5%	26.0%	15.9%	2.6%	2.6%	-57.1K	-122.4K	-10.8K	195.00	20.40	1	195	843	855
2012-12-27	$40.49	$40.00	17.1%	4.9%	11.5%	30.2%	17.1%	2.1%	0.9%	-90.9K	190.7K	-11.9K	2.06	21.55	16	33	844	1,010
2012-12-28	$40.18	$40.00	18.2%	5.2%	11.7%	34.2%	18.2%	1.8%	0.3%	-98.6K	431.0K	-12.0K	11.00	25.59	3	33	850	1,043
2012-12-31	$40.75	$40.00	16.8%	4.8%	12.8%	29.3%	16.8%	13.5%	1.3%	-106.2K	175.9K	-11.6K	1.04	11.70	23	24	852	1,064