L Options History — April 2014

In April 2014, L traded between $43.44 and $44.88. ATM implied volatility averaged 16.7%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.6% (HV 20d: 13.1%). 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 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2014-04-28: Highest Volume — 1,178 contracts
2014-04-16: Largest IV spike — 80.4% change
2014-04-09: Highest IV Rank — 63.8%
2014-04-16: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.12	$43.44	$44.88	$44.35	$43.97
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	16.7%	11.0%	27.3%	14.4%	12.6%
Expected Move	4.7%	3.2%	7.5%	4.1%	3.6%
HV 20d	13.1%	12.1%	13.8%	13.4%	12.1%
HV 60d	18.2%	15.9%	19.0%	18.7%	15.9%
IV Rank	26.9%	5.7%	63.8%	23.7%	11.1%
IV Percentile	61.3%	5.6%	99.6%	50.8%	19.0%
Term Structure	0.4%	-5.3%	6.5%	1.2%	3.5%
VWIV	15.6%	8.9%	20.8%	14.9%	12.3%
Skew 25d	20.7%	0.4%	54.0%	49.4%	5.9%
Skew 10d	25.2%	-14.6%	75.5%	60.3%	-14.6%
Call IV 25d	15.9%	10.4%	22.6%	15.3%	12.2%
Put IV 25d	36.6%	15.8%	70.4%	64.7%	18.1%
Bid-Ask Spread %	105.11	93.35	121.23	104.56	107.01
Gamma HHI	0.61	0.53	0.69	0.58	0.55
Net GEX	191.4K	129.0K	251.6K	173.6K	204.9K
Net DEX	-1.5M	-2.3M	-965.7K	-1.6M	-1.6M
Net VEX	-15.0K	-16.8K	-12.4K	-15.8K	-16.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	5.00	0.45	5.00
Total Volume	82	1	1,178	55	24
Total OI	2,469.571	2,253	3,124	2,315	3,124

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
2014-04-01	$44.35	$45.00	14.4%	4.1%	13.4%	23.7%	14.9%	49.4%	1.2%	173.6K	-1.6M	-15.8K	0.45	104.56	38	17	1,575	740
2014-04-02	$44.65	$45.00	14.0%	4.0%	13.5%	21.8%	14.0%	54.0%	2.5%	204.9K	-1.9M	-16.1K	0.15	101.13	53	8	1,607	744
2014-04-03	$44.88	$45.00	13.1%	3.7%	13.4%	18.8%	0.0%	43.5%	3.4%	251.6K	-2.3M	-16.6K	0.50	102.89	12	6	1,660	752
2014-04-04	$44.70	$45.00	14.1%	4.9%	12.4%	20.6%	0.0%	10.6%	-1.2%	246.5K	-2.2M	-16.5K	0.00	102.19	22	0	1,672	758
2014-04-07	$44.15	$45.00	17.4%	4.7%	12.7%	31.4%	0.0%	10.8%	-0.5%	211.1K	-1.8M	-16.2K	0.00	98.28	52	0	1,676	758
2014-04-08	$44.52	$45.00	15.2%	4.9%	12.9%	24.3%	17.0%	7.8%	-1.1%	241.8K	-2.0M	-16.4K	0.42	94.97	19	8	1,713	758
2014-04-09	$44.54	$45.00	27.3%	4.8%	12.7%	63.8%	0.0%	7.2%	-1.6%	239.9K	-1.9M	-16.1K	0.67	93.35	3	2	1,723	766
2014-04-10	$43.92	$45.00	16.2%	4.6%	13.4%	23.7%	0.0%	5.6%	-0.6%	208.7K	-1.5M	-15.5K	0.00	99.05	10	0	1,721	764
2014-04-11	$43.44	$45.00	15.8%	4.5%	13.6%	22.4%	0.0%	8.3%	1.2%	155.2K	-1.1M	-15.3K	2.00	102.32	3	6	1,716	764
2014-04-14	$43.72	$45.00	21.7%	6.2%	13.8%	42.5%	0.0%	37.9%	-4.6%	159.2K	-988.2K	-14.1K	0.00	100.95	41	0	1,719	767
2014-04-15	$43.78	$45.00	14.6%	4.2%	13.8%	18.1%	0.0%	40.3%	0.4%	165.3K	-1.1M	-14.5K	0.00	106.61	1	0	1,729	767
2014-04-16	$44.07	$45.00	26.3%	7.5%	13.8%	58.6%	20.8%	40.1%	-5.3%	158.9K	-1.6M	-15.5K	0.59	113.99	17	10	1,705	767
2014-04-17	$43.95	$45.00	13.7%	3.9%	13.8%	14.9%	0.0%	36.3%	1.8%	202.1K	-1.2M	-14.5K	0.00	105.82	43	0	1,717	767
2014-04-21	$43.84	$45.00	15.5%	4.5%	13.5%	21.4%	0.0%	1.1%	-0.0%	164.6K	-1.4M	-13.2K	0.00	107.38	12	0	1,539	718
2014-04-22	$43.79	$45.00	20.8%	6.0%	12.4%	39.5%	0.0%	4.6%	0.0%	129.0K	-1.2M	-13.4K	0.30	114.90	20	6	1,535	718
2014-04-23	$43.83	$45.00	20.2%	5.8%	12.5%	37.5%	18.8%	39.9%	-1.1%	157.5K	-1.2M	-12.4K	0.00	109.51	51	0	1,548	724
2014-04-24	$44.44	$45.00	13.1%	3.8%	12.7%	13.1%	8.9%	18.2%	6.5%	185.0K	-1.8M	-14.1K	2.50	121.23	4	10	1,598	724
2014-04-25	$44.14	$45.00	18.4%	5.3%	13.0%	31.4%	18.4%	0.4%	-2.9%	170.3K	-1.5M	-14.1K	0.33	100.50	30	10	1,602	734
2014-04-28	$43.76	$45.00	11.0%	3.2%	13.1%	5.7%	12.3%	3.9%	4.8%	166.2K	-965.7K	-12.6K	1.36	107.98	499	679	1,630	744
2014-04-29	$44.10	$45.00	15.1%	4.3%	12.3%	19.8%	0.0%	8.8%	2.9%	223.8K	-1.6M	-15.8K	0.20	112.72	5	1	2,053	1,065
2014-04-30	$43.97	$45.00	12.6%	3.6%	12.1%	11.1%	0.0%	5.9%	3.5%	204.9K	-1.6M	-16.8K	5.00	107.01	4	20	2,058	1,066