L Options History — February 2014

In February 2014, L traded between $43.26 and $45.18. ATM implied volatility averaged 14.2%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 11.0% (HV 20d: 25.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2014-02-10: Highest Volume — 834 contracts
2014-02-13: Largest IV spike — 57.1% change
2014-02-07: Highest IV Rank — 41.6%
2014-02-05: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.86	$43.26	$45.18	$43.41	$43.48
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	14.2%	9.7%	19.8%	15.9%	13.7%
Expected Move	4.2%	3.0%	5.4%	4.6%	3.9%
HV 20d	25.2%	20.2%	28.1%	20.2%	23.1%
HV 60d	18.1%	16.0%	18.9%	16.0%	18.7%
IV Rank	24.1%	9.9%	41.6%	29.4%	22.5%
IV Percentile	48.6%	8.3%	95.2%	72.2%	40.9%
Term Structure	0.8%	-2.9%	6.1%	-2.1%	-1.2%
VWIV	16.1%	12.0%	28.7%	28.7%	14.0%
Skew 25d	12.9%	-1.3%	37.7%	5.0%	9.2%
Skew 10d	16.7%	-2.5%	53.7%	5.4%	8.1%
Call IV 25d	15.3%	9.9%	20.9%	19.1%	14.2%
Put IV 25d	28.1%	18.7%	55.1%	24.1%	23.4%
Bid-Ask Spread %	94.66	84.89	108.44	97.53	98.76
Gamma HHI	0.38	0.33	0.45	0.33	0.45
Net GEX	60.7K	10.7K	106.6K	38.2K	74.8K
Net DEX	520.0K	-812.2K	1.4M	384.4K	542.1K
Net VEX	-11.7K	-13.4K	-8.5K	-8.5K	-12.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	1.99	0.21	0.18
Total Volume	132.105	8	834	92	13
Total OI	2,681.158	2,017	3,011	2,017	2,859

Daily Data (19 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
2014-02-03	$43.41	$45.00	15.9%	4.6%	20.2%	29.4%	28.7%	5.0%	-2.1%	38.2K	384.4K	-8.5K	0.21	97.53	76	16	1,363	654
2014-02-04	$44.52	$45.00	17.3%	5.0%	22.8%	33.8%	17.3%	37.7%	-1.5%	70.2K	-185.6K	-9.7K	0.52	95.29	31	16	1,398	672
2014-02-05	$44.53	$45.00	18.8%	5.4%	22.8%	38.6%	0.0%	-1.3%	-2.5%	72.6K	-239.6K	-9.7K	0.64	92.49	83	53	1,400	672
2014-02-06	$44.74	$45.00	18.8%	5.4%	22.9%	38.4%	18.9%	34.8%	-2.9%	85.6K	-364.5K	-10.2K	0.47	95.71	15	7	1,475	721
2014-02-07	$45.18	$45.00	19.8%	4.7%	23.3%	41.6%	16.8%	7.7%	-0.5%	106.6K	-812.2K	-11.1K	1.99	85.38	154	307	1,486	716
2014-02-10	$43.26	$45.00	13.3%	4.4%	27.5%	21.3%	15.6%	4.1%	0.9%	10.7K	1.4M	-9.3K	0.51	88.29	552	282	1,603	1,004
2014-02-11	$43.85	$45.00	9.9%	4.1%	28.1%	10.4%	14.5%	4.6%	1.2%	60.7K	545.7K	-13.4K	0.43	84.92	167	71	1,906	1,075
2014-02-12	$43.85	$45.00	9.7%	4.3%	27.8%	9.9%	15.2%	5.1%	0.9%	41.6K	807.4K	-13.4K	0.03	90.74	157	4	1,794	1,137
2014-02-13	$43.99	$45.00	15.3%	4.4%	27.4%	27.4%	15.3%	24.8%	0.9%	50.7K	712.8K	-13.0K	0.05	91.35	44	2	1,819	1,137
2014-02-14	$44.03	$45.00	14.0%	4.0%	27.5%	23.4%	0.0%	26.5%	1.5%	70.3K	584.9K	-12.9K	0.00	100.85	23	0	1,849	1,137
2014-02-18	$43.93	$45.00	15.5%	4.4%	27.2%	28.0%	15.8%	5.3%	0.4%	64.3K	561.2K	-13.2K	0.08	84.89	37	3	1,872	1,137
2014-02-19	$43.35	$45.00	13.4%	3.8%	27.4%	21.5%	13.7%	5.6%	2.1%	55.9K	932.4K	-12.7K	0.26	96.24	50	13	1,872	1,139
2014-02-20	$43.67	$45.00	14.2%	4.1%	27.6%	24.0%	0.0%	8.5%	3.5%	67.9K	581.4K	-13.1K	0.05	102.17	22	1	1,837	1,125
2014-02-21	$43.50	$45.00	12.1%	3.5%	26.3%	17.4%	12.0%	5.0%	2.0%	44.4K	1.2M	-11.8K	1.46	96.34	13	19	1,835	1,125
2014-02-24	$43.58	$45.00	12.0%	3.4%	24.3%	17.1%	12.5%	9.2%	3.0%	67.8K	535.8K	-12.4K	0.06	88.88	48	3	1,710	1,022
2014-02-25	$43.44	$45.00	12.2%	3.5%	24.3%	17.6%	0.0%	10.1%	3.5%	64.0K	909.7K	-11.3K	0.50	108.44	20	10	1,728	1,024
2014-02-26	$43.49	$45.00	10.4%	3.0%	24.2%	12.2%	0.0%	12.0%	6.1%	40.6K	968.4K	-11.5K	0.03	104.98	185	5	1,743	1,034
2014-02-27	$43.56	$45.00	14.3%	4.1%	24.1%	24.3%	15.2%	30.6%	-0.4%	65.8K	820.3K	-12.4K	0.00	95.26	8	0	1,823	1,039
2014-02-28	$43.48	$45.00	13.7%	3.9%	23.1%	22.5%	14.0%	9.2%	-1.2%	74.8K	542.1K	-12.9K	0.18	98.76	11	2	1,831	1,028