L Options History — September 2013

In September 2013, L traded between $44.53 and $47.60. ATM implied volatility averaged 12.5%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.9% (HV 20d: 13.4%). 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 17 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2013-09-16: Highest Volume — 301 contracts
2013-09-24: Largest IV spike — 31.8% change
2013-09-04: Highest IV Rank — 25.0%
2013-09-06: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.39	$44.53	$47.60	$44.53	$46.74
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	12.5%	9.3%	14.5%	11.5%	12.8%
Expected Move	3.7%	2.7%	4.6%	3.3%	3.7%
HV 20d	13.4%	11.0%	15.5%	14.0%	11.1%
HV 60d	13.3%	12.4%	14.1%	14.1%	12.4%
IV Rank	18.6%	8.7%	25.0%	15.6%	19.6%
IV Percentile	26.0%	7.1%	41.3%	15.9%	27.4%
Term Structure	1.6%	-4.1%	6.4%	6.4%	-3.0%
VWIV	13.3%	10.3%	14.9%	14.7%	10.3%
Skew 25d	5.4%	-2.6%	40.0%	3.9%	-2.6%
Skew 10d	10.0%	-2.5%	59.2%	0.2%	-2.5%
Call IV 25d	11.6%	9.4%	15.5%	11.9%	13.3%
Put IV 25d	17.0%	8.8%	55.4%	15.8%	10.7%
Bid-Ask Spread %	48.71	12.43	102.24	33.77	28.58
Gamma HHI	0.61	0.48	0.85	0.80	0.48
Net GEX	257.6K	141.8K	503.9K	336.5K	145.5K
Net DEX	-3.7M	-6.2M	-1.2M	-1.2M	-2.3M
Net VEX	-13.9K	-16.3K	-12.3K	-15.8K	-12.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	2.67	0.00	1.50
Total Volume	63.55	2	301	50	5
Total OI	2,734	1,492	3,345	3,177	1,513

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
2013-09-03	$44.53	$45.00	11.5%	3.3%	14.0%	15.6%	14.7%	3.9%	6.4%	336.5K	-1.2M	-15.8K	0.00	33.77	0	50	2,013	1,164
2013-09-04	$44.97	$45.00	14.5%	4.2%	14.5%	25.0%	0.0%	0.9%	0.7%	378.6K	-2.1M	-16.2K	0.00	43.90	3	0	2,013	1,174
2013-09-05	$44.81	$45.00	13.8%	4.0%	14.4%	22.8%	13.8%	40.0%	1.6%	399.6K	-1.8M	-16.0K	0.04	13.50	158	6	2,016	1,174
2013-09-06	$44.69	$45.00	14.1%	4.6%	14.0%	23.8%	0.0%	0.3%	0.6%	393.5K	-1.7M	-16.3K	0.00	43.40	0	4	2,048	1,176
2013-09-09	$45.48	$45.00	12.9%	4.2%	15.5%	19.9%	14.5%	15.4%	1.4%	503.9K	-3.3M	-15.2K	0.03	46.74	230	8	2,048	1,176
2013-09-10	$45.73	$45.00	11.5%	4.1%	15.5%	15.6%	14.2%	17.1%	2.2%	451.8K	-4.1M	-16.0K	0.13	98.34	75	10	2,162	1,179
2013-09-11	$46.11	$45.00	12.9%	4.0%	14.5%	19.8%	0.0%	8.9%	1.9%	340.7K	-4.7M	-15.3K	0.00	92.29	2	0	2,149	1,189
2013-09-12	$46.02	$45.00	14.0%	4.0%	14.2%	23.4%	0.0%	2.8%	2.0%	342.1K	-5.1M	-14.5K	0.00	12.43	81	0	2,148	1,189
2013-09-13	$46.23	$45.00	13.9%	4.0%	13.8%	23.1%	13.9%	2.9%	2.1%	275.1K	-5.4M	-14.0K	0.00	12.50	24	0	2,144	1,189
2013-09-16	$47.00	$45.00	14.2%	4.1%	14.4%	24.2%	14.9%	3.8%	2.9%	160.7K	-6.2M	-12.7K	0.06	31.81	285	16	2,156	1,189
2013-09-17	$47.30	$45.00	14.3%	4.1%	13.1%	24.2%	0.0%	6.5%	2.6%	161.8K	-5.9M	-12.8K	0.43	102.24	14	6	2,059	1,199
2013-09-18	$47.42	$45.00	14.1%	4.1%	13.1%	23.8%	13.1%	6.7%	3.7%	155.9K	-5.9M	-12.8K	0.09	32.85	34	3	2,066	1,197
2013-09-19	$47.60	$45.00	9.9%	2.8%	12.9%	10.5%	10.3%	0.9%	4.7%	159.0K	-6.2M	-12.8K	0.63	89.15	52	33	2,066	1,146
2013-09-20	$47.44	$45.00	11.0%	3.2%	12.9%	14.0%	13.5%	-1.4%	3.0%	203.7K	-6.0M	-13.1K	0.06	28.99	96	6	2,070	1,146
2013-09-23	$47.10	$45.00	9.3%	2.7%	13.3%	8.7%	0.0%	0.3%	3.6%	141.8K	-2.5M	-13.1K	0.05	95.19	21	1	1,136	356
2013-09-24	$47.16	$45.00	12.3%	3.5%	13.2%	18.1%	0.0%	-0.5%	-4.1%	152.5K	-2.6M	-12.3K	0.00	84.36	25	0	1,142	357
2013-09-25	$47.16	$45.00	10.2%	2.9%	11.2%	11.5%	10.3%	1.3%	0.6%	149.0K	-2.5M	-12.6K	0.00	26.68	0	10	1,147	357
2013-09-26	$47.34	$45.00	12.3%	3.5%	11.1%	17.9%	0.0%	1.5%	-2.1%	150.7K	-2.6M	-12.7K	2.67	29.35	3	8	1,147	367
2013-09-27	$46.95	$45.00	9.7%	2.8%	11.0%	9.9%	0.0%	-0.3%	1.7%	149.7K	-2.5M	-12.4K	1.00	28.09	1	1	1,148	365
2013-09-30	$46.74	$45.00	12.8%	3.7%	11.1%	19.6%	0.0%	-2.6%	-3.0%	145.5K	-2.3M	-12.4K	1.50	28.58	2	3	1,148	365