L Options History — November 2013

In November 2013, L traded between $47.35 and $48.57. ATM implied volatility averaged 13.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.4% (HV 20d: 13.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2013-11-25: Highest Volume — 332 contracts
2013-11-27: Largest IV spike — 62.5% change
2013-11-13: Highest IV Rank — 44.3%
2013-11-27: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.01	$47.35	$48.57	$48.34	$47.35
Max Pain	$45.25	$45.00	$50.00	$50.00	$45.00
ATM IV	13.7%	9.9%	20.6%	9.9%	15.5%
Expected Move	3.9%	2.8%	5.4%	2.8%	4.4%
HV 20d	13.3%	11.0%	17.6%	17.6%	11.0%
HV 60d	14.9%	14.5%	15.4%	15.4%	14.5%
IV Rank	22.5%	10.5%	44.3%	10.5%	28.1%
IV Percentile	42.5%	11.1%	96.4%	11.1%	69.0%
Term Structure	1.4%	-1.2%	5.3%	4.6%	5.2%
VWIV	14.7%	13.0%	18.5%	14.6%	13.3%
Skew 25d	3.0%	-0.4%	7.5%	-0.4%	1.7%
Skew 10d	5.4%	0.2%	19.4%	0.2%	3.2%
Call IV 25d	14.2%	10.6%	17.0%	13.7%	16.1%
Put IV 25d	17.2%	13.4%	18.7%	13.4%	17.8%
Bid-Ask Spread %	85.49	46.89	104.79	104.79	88.76
Gamma HHI	0.85	0.74	0.93	0.89	0.80
Net GEX	259.1K	178.9K	409.8K	354.7K	207.3K
Net DEX	-2.7M	-3.3M	-2.3M	-3.1M	-2.3M
Net VEX	-13.2K	-15.5K	-11.5K	-15.5K	-12.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	4.00	0.38	0.26
Total Volume	50.5	0	332	0	20
Total OI	2,470.6	2,057	2,799	2,696	2,268

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
2013-11-01	$48.34	$50.00	9.9%	2.8%	17.6%	10.5%	0.0%	-0.4%	4.6%	354.7K	-3.1M	-15.5K	0.00	104.79	0	0	1,954	742
2013-11-04	$48.29	$45.00	11.3%	5.1%	17.5%	14.8%	0.0%	3.5%	0.8%	329.8K	-2.9M	-14.5K	0.00	99.87	0	0	1,954	742
2013-11-05	$48.12	$45.00	11.7%	3.8%	16.6%	16.1%	14.6%	1.9%	1.4%	297.8K	-2.8M	-14.7K	0.38	82.87	26	10	1,954	742
2013-11-06	$48.37	$45.00	15.3%	3.3%	16.5%	27.4%	14.8%	7.5%	5.3%	409.8K	-3.3M	-13.8K	2.17	93.89	23	50	1,947	752
2013-11-07	$47.74	$45.00	13.4%	3.5%	12.1%	21.6%	14.9%	2.4%	1.3%	250.2K	-2.4M	-14.7K	0.05	82.45	22	1	1,948	802
2013-11-08	$48.57	$45.00	12.1%	4.3%	13.5%	17.3%	0.0%	4.4%	2.3%	361.2K	-3.1M	-14.4K	0.00	91.83	0	16	1,956	802
2013-11-11	$48.40	$45.00	12.6%	4.1%	13.5%	19.1%	14.5%	3.0%	1.7%	288.1K	-2.8M	-13.6K	0.44	88.38	16	7	1,956	812
2013-11-12	$47.87	$45.00	18.9%	4.4%	13.6%	38.9%	15.0%	3.0%	0.6%	230.3K	-2.4M	-14.0K	1.69	80.36	13	22	1,961	819
2013-11-13	$48.05	$45.00	20.6%	4.2%	13.1%	44.3%	18.5%	3.0%	1.1%	243.4K	-2.5M	-13.7K	4.00	82.53	4	16	1,974	825
2013-11-14	$48.06	$45.00	13.6%	3.9%	13.0%	22.0%	14.3%	3.5%	3.0%	245.2K	-2.5M	-12.6K	0.00	82.10	13	0	1,949	778
2013-11-15	$48.07	$45.00	13.5%	3.9%	12.7%	21.8%	16.5%	3.1%	2.5%	248.1K	-2.5M	-12.3K	2.48	79.61	23	57	1,941	778
2013-11-18	$47.94	$45.00	11.5%	3.3%	12.7%	15.6%	14.0%	2.4%	0.1%	202.9K	-2.6M	-12.2K	0.04	84.89	27	1	1,446	611
2013-11-19	$47.74	$45.00	11.6%	3.3%	12.5%	15.8%	13.2%	1.4%	-0.9%	191.9K	-2.5M	-12.1K	0.27	93.21	11	3	1,460	611
2013-11-20	$47.58	$45.00	15.0%	4.3%	11.4%	26.7%	0.0%	1.5%	-0.9%	178.9K	-2.4M	-12.0K	0.09	93.73	43	4	1,464	611
2013-11-21	$48.14	$45.00	13.2%	3.8%	12.2%	21.0%	0.0%	4.4%	0.5%	226.9K	-2.8M	-11.5K	0.00	94.61	55	0	1,504	615
2013-11-22	$48.24	$45.00	12.7%	3.6%	12.0%	19.3%	13.0%	5.2%	0.2%	247.7K	-2.9M	-11.6K	0.03	79.75	74	2	1,545	615
2013-11-25	$48.05	$45.00	11.5%	3.3%	12.1%	15.6%	13.3%	4.4%	0.0%	217.3K	-2.8M	-11.8K	0.01	90.32	330	2	1,488	615
2013-11-26	$47.85	$45.00	11.7%	3.3%	11.6%	16.0%	0.0%	4.1%	-1.2%	229.5K	-2.8M	-13.7K	0.01	69.02	84	1	1,593	617
2013-11-27	$47.50	$45.00	18.9%	5.4%	11.7%	38.9%	0.0%	0.6%	0.4%	220.8K	-2.5M	-13.5K	0.26	46.89	27	7	1,643	618
2013-11-29	$47.35	$45.00	15.5%	4.4%	11.0%	28.1%	0.0%	1.7%	5.2%	207.3K	-2.3M	-12.8K	0.00	88.76	0	20	1,644	624