L Options History — February 2013

In February 2013, L traded between $42.40 and $44.08. ATM implied volatility averaged 13.9%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.2% (HV 20d: 11.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.55.

Notable Days

2013-02-08: Highest Volume — 359 contracts
2013-02-25: Largest IV spike — 164.8% change
2013-02-25: Highest IV Rank — 78.8%
2013-02-25: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.58	$42.40	$44.08	$44.08	$43.11
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	13.9%	7.6%	26.2%	10.1%	20.0%
Expected Move	3.7%	2.2%	7.5%	2.7%	5.7%
HV 20d	11.7%	9.9%	15.5%	10.4%	15.3%
HV 60d	12.5%	11.4%	14.4%	14.3%	13.2%
IV Rank	24.9%	0.0%	78.8%	6.7%	52.5%
IV Percentile	29.0%	0.0%	96.4%	2.4%	83.7%
Term Structure	0.3%	-19.1%	6.0%	6.0%	1.7%
VWIV	12.9%	7.0%	23.7%	7.5%	16.4%
Skew 25d	10.9%	-3.9%	34.8%	10.2%	13.1%
Skew 10d	13.9%	-2.7%	44.5%	9.8%	7.4%
Call IV 25d	13.3%	7.9%	21.7%	7.9%	12.6%
Put IV 25d	24.2%	10.2%	47.9%	18.1%	25.7%
Bid-Ask Spread %	35.37	7.21	77.34	39.84	40.16
Gamma HHI	0.80	0.60	0.92	0.86	0.66
Net GEX	216.6K	116.3K	304.3K	239.9K	159.9K
Net DEX	-2.6M	-3.4M	-1.6M	-3.4M	-2.0M
Net VEX	-14.8K	-15.7K	-13.9K	-13.9K	-15.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.00	7.88	0.36	2.00
Total Volume	74.526	1	359	98	30
Total OI	2,751.526	2,480	2,964	2,480	2,872

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
2013-02-01	$44.08	$40.00	10.1%	2.7%	10.4%	6.7%	7.5%	10.2%	6.0%	239.9K	-3.4M	-13.9K	0.36	39.84	72	26	1,525	955
2013-02-04	$43.71	$40.00	15.2%	3.5%	10.9%	29.8%	16.9%	5.5%	1.0%	219.1K	-2.9M	-13.9K	0.00	28.76	16	0	1,505	976
2013-02-05	$43.81	$40.00	14.2%	3.0%	10.9%	25.3%	23.7%	11.7%	6.0%	217.5K	-3.0M	-14.1K	1.00	58.60	19	19	1,517	976
2013-02-06	$43.92	$40.00	21.9%	3.9%	10.8%	59.3%	14.0%	5.1%	0.1%	211.7K	-3.0M	-14.2K	0.93	29.39	46	43	1,523	992
2013-02-07	$43.74	$40.00	13.8%	3.9%	11.1%	23.3%	13.7%	7.1%	0.1%	213.3K	-2.9M	-14.7K	2.13	33.92	16	34	1,546	1,035
2013-02-08	$43.85	$40.00	13.7%	3.9%	9.9%	23.1%	13.9%	6.0%	0.1%	218.4K	-3.0M	-14.9K	0.40	22.23	256	103	1,559	1,062
2013-02-11	$43.51	$40.00	9.7%	2.8%	10.3%	5.4%	9.0%	5.1%	2.1%	236.4K	-2.7M	-14.6K	0.97	16.01	127	123	1,737	1,133
2013-02-12	$43.65	$40.00	9.1%	2.6%	10.2%	2.9%	9.1%	23.4%	2.7%	248.9K	-2.6M	-15.2K	1.24	32.34	21	26	1,757	1,207
2013-02-13	$44.08	$40.00	8.9%	2.6%	10.6%	2.2%	10.2%	30.9%	2.8%	304.3K	-2.9M	-15.0K	0.58	51.47	12	7	1,747	1,214
2013-02-14	$44.08	$40.00	11.0%	3.1%	10.6%	11.1%	10.9%	34.8%	2.2%	295.2K	-3.1M	-15.3K	7.88	11.35	8	63	1,731	1,189
2013-02-15	$43.91	$40.00	10.6%	3.0%	10.7%	9.5%	10.3%	29.5%	2.6%	269.5K	-2.6M	-14.9K	2.50	32.24	8	20	1,726	1,207
2013-02-19	$43.92	$40.00	7.6%	2.2%	10.7%	0.0%	0.0%	1.2%	4.2%	257.5K	-2.6M	-14.3K	0.92	28.63	13	12	1,609	1,111
2013-02-20	$43.34	$40.00	7.9%	2.3%	10.9%	1.2%	7.0%	0.8%	5.3%	192.2K	-2.2M	-14.7K	0.02	29.84	60	1	1,621	1,123
2013-02-21	$43.41	$40.00	11.4%	3.3%	10.9%	16.2%	9.3%	5.4%	-6.8%	204.9K	-2.4M	-15.1K	3.71	37.90	21	78	1,671	1,122
2013-02-22	$43.68	$40.00	9.9%	2.8%	11.0%	9.7%	0.0%	4.8%	4.3%	232.1K	-2.6M	-15.4K	0.00	7.21	0	1	1,684	1,140
2013-02-25	$42.40	$40.00	26.2%	7.5%	15.2%	78.8%	12.6%	-3.9%	-19.1%	116.3K	-1.6M	-15.2K	1.00	48.44	37	37	1,684	1,141
2013-02-26	$42.68	$40.00	23.3%	6.7%	15.5%	66.3%	22.1%	9.8%	-4.0%	124.4K	-1.6M	-15.5K	0.00	77.34	0	30	1,666	1,165
2013-02-27	$43.06	$40.00	19.5%	5.6%	15.5%	50.4%	16.4%	7.0%	-5.0%	154.1K	-1.9M	-15.3K	0.63	46.26	19	12	1,666	1,185
2013-02-28	$43.11	$40.00	20.0%	5.7%	15.3%	52.5%	0.0%	13.1%	1.7%	159.9K	-2.0M	-15.7K	2.00	40.16	10	20	1,676	1,196