L Options History — January 2014

In January 2014, L traded between $44.57 and $47.38. ATM implied volatility averaged 17.3%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.7% (HV 20d: 14.5%). 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 8 of 21 days. Put/call ratio averaged 1.16.

Notable Days

2014-01-23: Highest Volume — 270 contracts
2014-01-16: Largest IV drop — 41.8% change
2014-01-15: Highest IV Rank — 65.0%
2014-01-03: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.32	$44.57	$47.38	$47.38	$44.59
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	17.3%	13.4%	27.2%	17.7%	17.6%
Expected Move	4.8%	3.9%	5.5%	5.1%	5.0%
HV 20d	14.5%	11.3%	18.5%	15.2%	18.3%
HV 60d	13.3%	12.2%	15.1%	14.7%	15.1%
IV Rank	33.6%	21.6%	65.0%	35.2%	34.7%
IV Percentile	75.9%	40.1%	99.2%	87.7%	86.9%
Term Structure	0.6%	-2.8%	5.3%	4.4%	-2.0%
VWIV	15.0%	9.5%	17.8%	17.6%	16.8%
Skew 25d	5.6%	0.0%	26.0%	7.6%	0.4%
Skew 10d	16.0%	-0.0%	42.2%	11.3%	0.4%
Call IV 25d	14.4%	9.9%	18.3%	13.5%	18.3%
Put IV 25d	20.0%	16.1%	42.9%	21.2%	18.7%
Bid-Ask Spread %	97.41	86.85	108.47	102.42	98.59
Gamma HHI	0.61	0.35	0.82	0.82	0.35
Net GEX	131.4K	68.6K	178.2K	171.1K	72.7K
Net DEX	-1.3M	-2.3M	-268.1K	-1.7M	-268.1K
Net VEX	-9.8K	-11.2K	-8.4K	-11.2K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	10.00	0.01	0.65
Total Volume	45.333	2	270	90	33
Total OI	1,787.762	1,586	2,009	1,686	2,009

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
2014-01-02	$47.38	$45.00	17.7%	5.1%	15.2%	35.2%	0.0%	7.6%	4.4%	171.1K	-1.7M	-11.2K	0.01	102.42	89	1	1,315	371
2014-01-03	$47.26	$45.00	19.3%	5.5%	15.1%	40.1%	0.0%	7.0%	1.6%	170.0K	-1.7M	-11.1K	1.05	102.42	19	20	1,327	372
2014-01-06	$47.16	$45.00	15.9%	5.2%	15.0%	29.5%	0.0%	2.9%	0.2%	158.1K	-1.7M	-10.8K	0.07	86.85	30	2	1,340	377
2014-01-07	$47.00	$45.00	13.9%	5.1%	13.8%	23.2%	0.0%	2.6%	-0.3%	148.9K	-1.5M	-10.7K	0.00	87.86	62	0	1,356	378
2014-01-08	$46.76	$45.00	13.4%	5.0%	13.7%	21.6%	17.6%	8.0%	-0.1%	141.2K	-1.6M	-10.2K	0.25	91.16	8	2	1,407	378
2014-01-09	$46.81	$45.00	14.9%	5.1%	13.7%	26.2%	17.7%	3.9%	-0.7%	142.8K	-1.6M	-9.9K	0.18	92.09	11	2	1,407	380
2014-01-10	$46.86	$45.00	20.8%	5.1%	12.0%	44.9%	15.3%	2.1%	-0.3%	145.5K	-1.6M	-9.8K	0.04	94.13	24	1	1,397	380
2014-01-13	$46.33	$45.00	18.1%	4.9%	12.7%	36.4%	16.9%	0.2%	-0.7%	125.9K	-1.4M	-9.0K	0.05	88.56	20	1	1,414	379
2014-01-14	$46.66	$45.00	24.4%	4.6%	13.0%	56.2%	10.3%	4.5%	-0.1%	134.0K	-1.4M	-9.0K	0.00	95.67	31	0	1,430	380
2014-01-15	$47.19	$45.00	27.2%	3.9%	13.5%	65.0%	10.9%	2.3%	5.3%	145.8K	-1.7M	-8.4K	0.00	94.78	20	0	1,382	365
2014-01-16	$47.03	$45.00	15.8%	4.5%	13.3%	29.2%	16.4%	5.9%	0.5%	156.0K	-2.0M	-9.5K	0.02	103.98	60	1	1,386	365
2014-01-17	$47.33	$45.00	14.1%	4.0%	11.3%	23.6%	0.0%	3.0%	4.6%	178.2K	-2.3M	-10.3K	0.00	96.03	5	0	1,446	366
2014-01-21	$46.98	$45.00	13.7%	3.9%	11.5%	22.6%	0.0%	5.9%	4.7%	167.3K	-1.9M	-9.7K	0.50	102.69	6	3	1,252	334
2014-01-22	$47.20	$45.00	14.4%	4.1%	11.3%	24.6%	9.5%	7.1%	4.3%	175.0K	-2.1M	-9.5K	10.00	98.62	1	10	1,258	335
2014-01-23	$46.00	$45.00	16.1%	4.6%	14.4%	29.9%	16.1%	3.2%	-0.9%	134.8K	-1.3M	-8.8K	8.64	99.20	28	242	1,258	336
2014-01-24	$44.65	$45.00	17.6%	5.1%	17.2%	34.9%	17.8%	0.3%	-2.8%	76.0K	-473.7K	-9.2K	1.00	108.47	32	32	1,267	577
2014-01-27	$44.64	$45.00	16.8%	4.8%	17.2%	32.2%	16.8%	2.1%	-1.0%	68.6K	-300.1K	-9.4K	0.67	101.00	63	42	1,285	600
2014-01-28	$44.94	$45.00	16.4%	4.7%	17.5%	31.1%	0.0%	26.0%	-0.6%	80.3K	-465.6K	-10.3K	0.00	97.17	2	0	1,332	640
2014-01-29	$44.57	$45.00	16.7%	4.8%	17.2%	32.0%	0.0%	0.0%	-2.4%	73.6K	-380.9K	-9.7K	1.00	107.18	10	10	1,334	640
2014-01-30	$45.34	$45.00	17.2%	4.9%	18.5%	33.4%	0.0%	23.1%	-1.3%	93.1K	-704.6K	-10.3K	0.21	96.64	24	5	1,338	650
2014-01-31	$44.59	$45.00	17.6%	5.0%	18.3%	34.7%	0.0%	0.4%	-2.0%	72.7K	-268.1K	-9.8K	0.65	98.59	20	13	1,354	655