L Options History — December 2013

In December 2013, L traded between $46.44 and $48.24. ATM implied volatility averaged 15.6%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 12.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2013-12-20: Highest Volume — 172 contracts
2013-12-19: Largest IV drop — 33.6% change
2013-12-18: Highest IV Rank — 42.4%
2013-12-18: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.28	$46.44	$48.24	$47.35	$48.24
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	15.6%	10.3%	20.0%	16.2%	11.2%
Expected Move	4.3%	3.0%	5.7%	4.7%	3.2%
HV 20d	12.4%	10.4%	14.1%	11.0%	13.9%
HV 60d	14.7%	14.1%	15.3%	14.5%	14.3%
IV Rank	28.3%	11.9%	42.4%	30.4%	14.6%
IV Percentile	63.8%	14.3%	96.0%	80.6%	18.7%
Term Structure	2.9%	-5.2%	6.5%	5.9%	5.7%
VWIV	14.5%	10.5%	19.3%	10.5%	14.2%
Skew 25d	5.3%	0.9%	8.5%	8.3%	3.4%
Skew 10d	12.1%	-0.4%	39.8%	10.6%	3.5%
Call IV 25d	11.4%	8.4%	14.3%	10.9%	10.6%
Put IV 25d	16.7%	12.3%	20.7%	19.1%	14.0%
Bid-Ask Spread %	95.68	26.47	111.63	26.47	50.56
Gamma HHI	0.76	0.68	0.83	0.80	0.83
Net GEX	177.5K	128.0K	237.3K	203.7K	222.7K
Net DEX	-2.2M	-2.7M	-1.7M	-2.2M	-2.5M
Net VEX	-12.2K	-13.3K	-11.2K	-12.7K	-12.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.00	5.80	0.20	0.31
Total Volume	48.524	0	172	114	42
Total OI	2,205.476	1,597	2,485	2,288	1,700

Daily Data (21 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
2013-12-02	$47.35	$45.00	16.2%	4.7%	11.0%	30.4%	10.5%	8.3%	5.9%	203.7K	-2.2M	-12.7K	0.20	26.47	95	19	1,644	644
2013-12-03	$47.03	$45.00	18.2%	5.2%	11.2%	36.5%	0.0%	7.3%	2.0%	190.6K	-2.2M	-13.3K	0.75	100.70	4	3	1,723	654
2013-12-04	$46.76	$45.00	18.4%	5.3%	11.3%	37.2%	19.3%	5.2%	-0.0%	151.9K	-1.9M	-12.7K	5.80	98.73	5	29	1,727	654
2013-12-05	$46.51	$45.00	18.7%	5.4%	11.1%	38.2%	12.3%	5.3%	-1.5%	143.2K	-1.7M	-12.2K	0.15	92.20	13	2	1,727	652
2013-12-06	$47.29	$45.00	18.3%	5.2%	12.1%	36.8%	0.0%	7.3%	0.4%	207.5K	-2.3M	-13.1K	0.00	95.03	7	0	1,737	654
2013-12-09	$47.57	$45.00	15.0%	3.3%	10.4%	26.5%	0.0%	4.4%	2.6%	215.1K	-2.6M	-12.2K	0.00	94.46	82	0	1,744	654
2013-12-10	$47.41	$45.00	19.2%	4.3%	10.4%	39.8%	12.6%	8.3%	6.2%	205.1K	-2.7M	-13.0K	0.00	100.25	115	0	1,824	654
2013-12-11	$46.56	$45.00	18.9%	4.6%	11.6%	39.0%	0.0%	7.4%	1.0%	148.7K	-1.9M	-12.4K	2.00	102.50	1	2	1,788	654
2013-12-12	$46.61	$45.00	14.4%	4.1%	11.4%	24.6%	12.3%	5.0%	6.1%	134.7K	-1.8M	-12.4K	0.00	98.24	25	0	1,788	653
2013-12-13	$46.56	$45.00	17.0%	4.9%	11.4%	32.7%	17.7%	5.7%	2.1%	139.5K	-1.8M	-12.5K	0.30	102.17	71	21	1,793	653
2013-12-16	$46.78	$45.00	16.8%	4.8%	11.6%	32.2%	0.0%	5.4%	2.6%	132.9K	-2.0M	-12.0K	0.00	103.63	22	0	1,802	663
2013-12-17	$46.44	$45.00	17.3%	4.9%	11.8%	33.7%	17.2%	4.3%	0.7%	128.0K	-2.0M	-11.8K	0.00	99.25	7	0	1,821	663
2013-12-18	$47.40	$45.00	20.0%	5.7%	14.1%	42.4%	0.0%	8.5%	-5.2%	154.9K	-2.5M	-11.8K	1.21	102.66	38	46	1,822	663
2013-12-19	$47.27	$45.00	13.3%	3.8%	14.1%	21.2%	0.0%	5.2%	6.3%	141.0K	-2.3M	-11.3K	0.00	103.41	0	0	1,720	694
2013-12-20	$47.62	$45.00	10.3%	3.0%	13.7%	11.9%	0.0%	7.7%	6.5%	159.5K	-2.5M	-11.2K	0.02	97.71	169	3	1,720	694
2013-12-23	$47.77	$45.00	12.1%	3.5%	13.7%	17.5%	14.2%	1.9%	5.5%	185.2K	-2.1M	-11.6K	0.05	107.55	97	5	1,251	346
2013-12-24	$48.00	$45.00	14.0%	4.0%	13.8%	23.4%	0.0%	3.6%	4.3%	223.4K	-2.4M	-11.9K	0.05	108.81	19	1	1,327	345
2013-12-26	$48.03	$45.00	12.4%	3.6%	13.7%	18.3%	0.0%	3.4%	4.4%	237.3K	-2.4M	-11.3K	0.78	106.63	9	7	1,327	351
2013-12-27	$47.67	$45.00	12.9%	3.7%	13.7%	19.9%	0.0%	0.9%	1.7%	195.0K	-2.3M	-12.2K	0.00	111.63	0	60	1,329	356
2013-12-30	$47.96	$45.00	12.3%	3.5%	13.8%	18.2%	0.0%	2.8%	4.1%	208.2K	-2.3M	-11.9K	0.00	106.69	0	0	1,329	371
2013-12-31	$48.24	$45.00	11.2%	3.2%	13.9%	14.6%	0.0%	3.4%	5.7%	222.7K	-2.5M	-12.1K	0.31	50.56	32	10	1,329	371