L Options History — March 2013

In March 2013, L traded between $42.85 and $44.64. ATM implied volatility averaged 13.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 1.4% (HV 20d: 14.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2013-03-05: Highest Volume — 600 contracts
2013-03-05: Largest IV spike — 84.0% change
2013-03-08: Highest IV Rank — 83.3%
2013-03-01: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.79	$42.85	$44.64	$43.18	$44.07
Max Pain	$44.75	$40.00	$45.00	$40.00	$45.00
ATM IV	13.1%	6.6%	27.3%	19.4%	6.6%
Expected Move	2.9%	1.9%	5.5%	5.5%	1.9%
HV 20d	14.5%	11.1%	16.5%	15.4%	11.4%
HV 60d	13.1%	12.7%	13.4%	13.1%	12.7%
IV Rank	23.7%	0.0%	83.3%	49.7%	0.0%
IV Percentile	27.1%	0.0%	96.8%	81.3%	0.0%
Term Structure	3.5%	-4.1%	6.9%	-4.1%	6.5%
VWIV	10.6%	9.8%	12.2%	12.2%	10.7%
Skew 25d	10.0%	-3.1%	34.0%	15.7%	3.4%
Skew 10d	9.4%	-10.2%	41.5%	9.0%	-10.2%
Call IV 25d	10.3%	6.2%	16.7%	11.9%	8.2%
Put IV 25d	20.3%	9.5%	43.9%	27.6%	11.6%
Bid-Ask Spread %	34.12	12.22	58.75	58.75	46.71
Gamma HHI	0.82	0.62	0.95	0.66	0.88
Net GEX	270.2K	136.8K	610.4K	158.4K	273.1K
Net DEX	-2.7M	-3.5M	-1.6M	-2.0M	-3.1M
Net VEX	-17.6K	-18.5K	-15.3K	-16.0K	-17.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.00	10.00	2.33	0.00
Total Volume	83.2	2	600	40	20
Total OI	2,802.1	2,374	3,326	2,902	2,453

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
2013-03-01	$43.18	$40.00	19.4%	5.5%	15.4%	49.7%	0.0%	15.7%	-4.1%	158.4K	-2.0M	-16.0K	2.33	58.75	12	28	1,686	1,216
2013-03-04	$42.85	$45.00	13.5%	2.4%	14.3%	25.1%	0.0%	9.8%	6.9%	136.8K	-1.6M	-15.3K	0.00	31.28	5	0	1,688	1,244
2013-03-05	$43.08	$45.00	24.9%	3.8%	14.2%	73.2%	0.0%	11.4%	6.5%	157.2K	-1.9M	-15.8K	0.01	47.53	597	3	1,688	1,244
2013-03-06	$43.12	$45.00	16.8%	3.8%	14.2%	38.9%	12.2%	5.5%	2.6%	168.4K	-2.1M	-17.7K	0.47	43.09	139	66	1,780	1,245
2013-03-07	$43.22	$45.00	17.9%	2.7%	14.2%	43.6%	0.0%	-1.4%	2.1%	171.8K	-2.0M	-17.5K	10.00	32.09	1	10	1,753	1,311
2013-03-08	$43.58	$45.00	27.3%	3.2%	14.5%	83.3%	0.0%	23.3%	0.9%	205.3K	-2.4M	-17.7K	0.05	36.93	205	10	1,754	1,320
2013-03-11	$44.24	$45.00	15.9%	3.0%	15.4%	35.2%	10.5%	28.5%	2.1%	373.4K	-3.1M	-18.4K	0.20	13.66	50	10	1,919	1,323
2013-03-12	$43.96	$45.00	12.9%	3.1%	15.3%	22.6%	10.8%	0.9%	1.8%	290.3K	-2.7M	-18.5K	0.27	42.36	55	15	1,929	1,322
2013-03-13	$43.97	$45.00	15.0%	2.9%	15.3%	31.4%	0.0%	28.9%	2.8%	305.0K	-2.8M	-18.5K	0.00	31.44	2	0	1,970	1,332
2013-03-14	$44.64	$45.00	9.8%	2.8%	15.8%	9.1%	9.8%	1.1%	3.0%	610.4K	-3.5M	-18.0K	0.47	19.39	62	29	1,952	1,332
2013-03-15	$44.60	$45.00	10.0%	2.9%	15.9%	10.0%	10.0%	28.0%	2.5%	600.1K	-3.5M	-18.1K	2.41	29.08	32	77	1,983	1,343
2013-03-18	$44.16	$45.00	9.7%	2.8%	16.2%	8.8%	9.8%	34.0%	2.8%	251.2K	-3.1M	-17.9K	0.43	12.22	53	23	1,609	765
2013-03-19	$43.80	$45.00	10.3%	3.0%	16.5%	11.6%	10.8%	-0.1%	2.0%	223.9K	-2.7M	-18.2K	0.00	16.50	19	0	1,607	773
2013-03-20	$44.01	$45.00	8.7%	2.5%	15.8%	4.5%	0.0%	5.3%	6.0%	244.8K	-2.9M	-18.1K	0.00	42.76	18	0	1,621	773
2013-03-21	$43.85	$45.00	7.5%	2.1%	15.9%	0.0%	0.0%	1.4%	6.8%	240.7K	-2.8M	-17.7K	0.00	42.70	9	0	1,634	773
2013-03-22	$43.98	$45.00	10.4%	3.0%	15.8%	12.2%	10.7%	0.4%	2.2%	248.2K	-2.9M	-18.0K	1.64	18.02	22	36	1,643	773
2013-03-25	$43.80	$45.00	9.4%	2.7%	11.3%	8.0%	10.7%	-3.1%	2.6%	245.3K	-2.8M	-17.6K	0.00	36.87	15	0	1,656	773
2013-03-26	$43.99	$45.00	9.1%	2.6%	11.2%	6.8%	0.0%	5.9%	6.6%	256.9K	-3.0M	-17.6K	0.00	50.38	4	0	1,654	773
2013-03-27	$43.72	$45.00	6.9%	2.0%	11.1%	0.0%	0.0%	1.1%	6.4%	243.3K	-2.8M	-17.4K	0.16	30.59	32	5	1,655	773
2013-03-28	$44.07	$45.00	6.6%	1.9%	11.4%	0.0%	0.0%	3.4%	6.5%	273.1K	-3.1M	-17.5K	0.00	46.71	20	0	1,675	778