L Options History — January 2013

In January 2013, L traded between $41.53 and $43.67. ATM implied volatility averaged 14.9%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.0% (HV 20d: 12.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2013-01-16: Highest Volume — 502 contracts
2013-01-30: Largest IV spike — 104.9% change
2013-01-08: Highest IV Rank — 52.9%
2013-01-30: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.73	$41.53	$43.67	$41.53	$43.37
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	14.9%	8.6%	23.6%	9.4%	18.7%
Expected Move	4.3%	2.5%	5.9%	2.7%	5.4%
HV 20d	12.9%	9.1%	14.8%	14.4%	9.1%
HV 60d	15.1%	14.0%	15.7%	15.7%	14.0%
IV Rank	22.7%	0.6%	52.9%	3.4%	35.8%
IV Percentile	34.8%	0.4%	88.1%	0.4%	72.2%
Term Structure	1.3%	-5.8%	7.4%	7.4%	-1.7%
VWIV	15.6%	8.7%	19.0%	18.0%	13.1%
Skew 25d	7.7%	2.0%	13.0%	2.0%	9.7%
Skew 10d	6.1%	-4.0%	24.5%	-4.0%	2.1%
Call IV 25d	10.2%	7.3%	15.2%	13.7%	10.7%
Put IV 25d	17.8%	13.4%	21.3%	15.6%	20.4%
Bid-Ask Spread %	37.88	10.93	69.15	26.35	58.59
Gamma HHI	0.60	0.47	0.81	0.51	0.72
Net GEX	74.2K	-57.1K	197.2K	-54.3K	163.5K
Net DEX	-1.8M	-2.9M	-553.9K	-553.9K	-2.7M
Net VEX	-12.6K	-15.7K	-10.5K	-11.4K	-14.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.00	6.50	2.20	1.20
Total Volume	56.286	0	502	32	22
Total OI	2,248.762	1,952	2,648	1,952	2,478

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
2013-01-02	$41.53	$40.00	9.4%	2.7%	14.4%	3.4%	0.0%	2.0%	7.4%	-54.3K	-553.9K	-11.4K	2.20	26.35	10	22	865	1,087
2013-01-03	$41.71	$40.00	14.3%	4.1%	14.3%	20.5%	0.0%	6.4%	6.0%	-57.1K	-612.7K	-11.3K	0.42	35.57	12	5	865	1,108
2013-01-04	$42.06	$40.00	17.8%	5.1%	14.6%	32.8%	18.0%	8.1%	-0.9%	-36.6K	-830.3K	-11.3K	6.50	26.75	4	26	877	1,113
2013-01-07	$42.11	$40.00	12.5%	4.9%	14.5%	14.2%	17.1%	7.3%	0.2%	-16.1K	-955.9K	-10.5K	0.00	10.93	63	0	877	1,097
2013-01-08	$42.06	$40.00	23.6%	5.0%	14.5%	52.9%	8.7%	8.4%	-0.0%	-27.9K	-836.7K	-11.0K	0.02	27.13	46	1	901	1,097
2013-01-09	$42.11	$40.00	16.1%	4.9%	14.3%	26.6%	0.0%	7.5%	-0.0%	-9.3K	-1.1M	-11.0K	0.03	22.99	62	2	944	1,098
2013-01-10	$42.76	$40.00	11.6%	3.3%	14.7%	11.2%	18.9%	9.5%	3.7%	29.8K	-1.4M	-11.2K	0.26	39.85	74	19	991	1,100
2013-01-11	$42.65	$40.00	8.6%	2.5%	14.8%	0.6%	0.0%	7.5%	3.7%	34.9K	-1.5M	-11.0K	0.00	46.43	5	0	1,029	1,109
2013-01-14	$42.54	$40.00	9.9%	2.8%	14.1%	5.0%	19.0%	8.2%	4.2%	31.9K	-1.4M	-11.1K	2.33	15.01	6	14	1,028	1,109
2013-01-15	$42.50	$40.00	18.8%	5.4%	13.7%	36.1%	0.0%	10.1%	-0.7%	26.4K	-1.4M	-11.3K	0.00	36.39	0	0	1,022	1,121
2013-01-16	$42.47	$40.00	18.4%	5.3%	13.4%	34.8%	0.0%	9.9%	-0.4%	28.6K	-1.4M	-10.8K	0.00	38.50	502	0	1,022	1,121
2013-01-17	$42.73	$40.00	17.7%	5.1%	12.6%	32.4%	13.8%	11.9%	-1.3%	118.5K	-2.3M	-15.7K	2.50	40.88	4	10	1,515	1,120
2013-01-18	$42.82	$40.00	17.1%	4.9%	11.7%	30.3%	0.0%	13.0%	-1.6%	104.5K	-2.2M	-15.5K	0.00	39.82	7	0	1,518	1,130
2013-01-22	$43.39	$40.00	13.7%	3.9%	12.4%	18.3%	14.1%	7.4%	4.8%	159.1K	-2.7M	-13.4K	0.18	19.33	17	3	1,482	904
2013-01-23	$43.37	$40.00	9.5%	2.7%	11.8%	3.6%	0.0%	4.5%	4.6%	174.7K	-2.7M	-13.3K	0.52	32.35	64	33	1,489	901
2013-01-24	$43.24	$40.00	14.7%	4.2%	11.7%	21.9%	17.2%	7.0%	-1.4%	163.8K	-2.6M	-14.5K	0.50	54.66	2	1	1,481	919
2013-01-25	$43.47	$40.00	18.4%	5.3%	11.3%	34.6%	15.7%	10.2%	3.6%	186.7K	-2.7M	-13.5K	0.50	69.15	4	2	1,482	918
2013-01-28	$43.32	$40.00	12.3%	3.5%	11.5%	13.5%	0.0%	3.6%	3.9%	179.7K	-2.7M	-13.6K	0.97	40.81	33	32	1,482	917
2013-01-29	$43.67	$40.00	10.1%	2.9%	10.8%	5.8%	15.9%	4.0%	-1.1%	197.2K	-2.9M	-13.9K	0.53	60.77	34	18	1,489	947
2013-01-30	$43.36	$40.00	20.7%	5.9%	10.9%	42.9%	13.1%	4.7%	-5.8%	160.3K	-2.6M	-15.5K	0.21	53.28	19	4	1,515	956
2013-01-31	$43.37	$40.00	18.7%	5.4%	9.1%	35.8%	0.0%	9.7%	-1.7%	163.5K	-2.7M	-14.8K	1.20	58.59	10	12	1,518	960