L Options History — June 2013

Name: L Options Analytics - June 2013
Creator: Options Analysis Suite

In June 2013, L traded between $43.22 and $45.82. ATM implied volatility averaged 15.2%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.6% (HV 20d: 13.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.59.

Notable Days

2013-06-27: Highest Volume — 517 contracts
2013-06-21: Largest IV drop — 32.7% change
2013-06-20: Highest IV Rank — 56.1%
2013-06-20: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.63	$43.22	$45.82	$45.82	$44.40
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	15.2%	11.2%	18.7%	14.6%	11.2%
Expected Move	4.4%	3.2%	5.4%	4.2%	3.2%
HV 20d	13.7%	8.9%	17.6%	8.9%	17.5%
HV 60d	14.3%	13.4%	15.4%	13.4%	15.4%
IV Rank	39.3%	21.4%	56.1%	33.9%	21.4%
IV Percentile	50.5%	13.9%	84.5%	35.7%	13.9%
Term Structure	1.4%	-1.7%	7.4%	1.0%	7.0%
VWIV	15.3%	8.9%	18.7%	14.4%	14.7%
Skew 25d	4.9%	-4.2%	33.9%	10.3%	4.1%
Skew 10d	7.5%	-5.6%	56.5%	45.5%	0.9%
Call IV 25d	14.8%	8.9%	18.8%	14.8%	11.2%
Put IV 25d	19.7%	13.7%	51.5%	25.1%	15.3%
Bid-Ask Spread %	70.96	12.28	107.20	12.28	33.54
Gamma HHI	0.72	0.39	0.90	0.81	0.63
Net GEX	422.5K	60.6K	939.2K	463.8K	196.9K
Net DEX	-2.7M	-4.8M	-864.4K	-4.8M	-2.5M
Net VEX	-13.8K	-16.1K	-11.5K	-13.8K	-16.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.00	23.00	0.02	0.08
Total Volume	67.85	6	517	42	14
Total OI	2,726.8	1,860	3,038	2,850	2,373

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
2013-06-03	$45.82	$45.00	14.6%	4.2%	8.9%	33.9%	0.0%	10.3%	1.0%	463.8K	-4.8M	-13.8K	0.02	12.28	41	1	1,905	945
2013-06-04	$45.25	$45.00	14.4%	4.1%	9.9%	32.9%	14.4%	0.3%	1.1%	510.9K	-4.1M	-14.8K	23.00	16.48	4	92	1,936	944
2013-06-05	$44.71	$45.00	15.6%	4.5%	10.7%	37.9%	15.6%	-0.1%	0.2%	470.4K	-3.2M	-15.4K	1.45	28.55	11	16	1,937	1,009
2013-06-06	$45.11	$45.00	16.5%	4.7%	11.2%	41.9%	16.5%	33.9%	-0.1%	473.3K	-3.5M	-15.2K	0.01	32.08	125	1	1,937	1,023
2013-06-07	$45.74	$45.00	16.1%	4.6%	11.9%	42.7%	16.2%	3.7%	0.5%	452.9K	-4.6M	-14.7K	0.15	31.09	66	10	1,926	1,023
2013-06-10	$45.35	$45.00	16.3%	4.8%	12.3%	45.1%	0.0%	2.4%	-0.6%	534.2K	-4.0M	-14.8K	0.00	91.95	19	0	1,980	1,028
2013-06-11	$44.78	$45.00	16.7%	4.6%	13.1%	46.6%	0.0%	1.4%	0.3%	524.0K	-3.2M	-15.4K	0.00	96.70	0	9	1,977	1,028
2013-06-12	$44.43	$45.00	16.9%	4.8%	12.4%	47.9%	16.7%	-0.6%	-0.4%	493.5K	-2.5M	-14.7K	0.29	95.26	38	11	1,977	1,033
2013-06-13	$44.99	$45.00	16.8%	4.8%	13.2%	47.3%	0.0%	0.7%	-0.2%	548.9K	-3.4M	-14.8K	0.07	97.12	15	1	1,969	1,044
2013-06-14	$44.58	$45.00	16.9%	4.8%	13.4%	47.8%	16.9%	-0.2%	-0.2%	565.7K	-2.6M	-14.6K	0.00	97.61	6	0	1,982	1,043
2013-06-17	$44.87	$45.00	16.2%	4.6%	13.2%	44.4%	0.0%	-1.4%	0.4%	703.0K	-3.1M	-13.8K	0.00	97.65	12	0	1,983	1,043
2013-06-18	$45.17	$45.00	15.9%	4.6%	13.3%	43.1%	15.9%	1.2%	0.4%	801.3K	-3.8M	-13.7K	0.43	96.50	7	3	1,991	1,043
2013-06-19	$44.65	$45.00	15.9%	4.5%	13.7%	43.0%	0.0%	0.4%	-1.5%	939.2K	-2.6M	-12.6K	0.13	98.63	80	10	1,995	1,043
2013-06-20	$43.58	$45.00	18.7%	5.4%	15.8%	56.1%	18.7%	0.6%	-1.7%	238.7K	-1.1M	-12.4K	0.00	99.95	0	27	1,928	1,044
2013-06-21	$43.58	$45.00	12.6%	3.6%	15.7%	27.9%	8.9%	6.1%	7.4%	248.7K	-1.1M	-12.3K	1.11	59.34	90	100	1,928	1,059
2013-06-24	$43.22	$45.00	15.3%	4.4%	15.8%	40.2%	0.0%	-4.2%	-0.3%	60.6K	-864.4K	-12.0K	0.00	101.88	9	0	1,181	679
2013-06-25	$43.85	$45.00	11.7%	3.4%	16.8%	23.8%	0.0%	6.3%	7.3%	68.9K	-1.1M	-11.9K	0.63	107.20	8	5	1,181	679
2013-06-26	$43.97	$45.00	11.8%	3.4%	16.9%	24.1%	13.4%	5.3%	6.0%	72.0K	-1.2M	-11.7K	1.25	106.69	4	5	1,186	684
2013-06-27	$44.51	$45.00	14.7%	4.2%	17.6%	37.7%	14.7%	28.6%	1.2%	83.5K	-1.5M	-11.5K	0.00	18.78	516	1	1,186	684
2013-06-28	$44.40	$45.00	11.2%	3.2%	17.5%	21.4%	0.0%	4.1%	7.0%	196.9K	-2.5M	-16.1K	0.08	33.54	13	1	1,688	685