L Options History — September 2014

In September 2014, L traded between $41.66 and $43.60. ATM implied volatility averaged 18.0%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 8.8% (HV 20d: 9.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.32.

Notable Days

2014-09-18: Highest Volume — 155 contracts
2014-09-04: Largest IV spike — 84.9% change
2014-09-29: Highest IV Rank — 41.4%
2014-09-24: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.64	$41.66	$43.60	$43.60	$41.66
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	18.0%	9.7%	27.1%	9.7%	22.0%
Expected Move	4.1%	2.9%	5.2%	2.9%	4.4%
HV 20d	9.2%	8.1%	11.3%	9.0%	11.3%
HV 60d	10.4%	10.1%	11.0%	10.1%	10.9%
IV Rank	21.6%	3.5%	41.4%	3.5%	30.3%
IV Percentile	66.5%	4.4%	94.4%	4.4%	88.9%
Term Structure	-2.8%	-17.3%	6.4%	1.6%	-11.9%
VWIV	15.2%	11.9%	17.2%	11.9%	14.9%
Skew 25d	2.0%	-7.1%	15.2%	15.2%	-7.1%
Skew 10d	6.6%	0.7%	14.4%	14.4%	7.2%
Call IV 25d	14.0%	7.9%	24.0%	7.9%	23.0%
Put IV 25d	16.0%	11.2%	23.1%	23.1%	15.8%
Bid-Ask Spread %	101.56	95.29	110.83	101.63	105.58
Gamma HHI	0.66	0.48	0.95	0.95	0.48
Net GEX	489.5K	-25.3K	2.0M	2.0M	-1.7K
Net DEX	-349.0K	-4.7M	937.9K	-4.7M	741.1K
Net VEX	-13.9K	-27.4K	-10.1K	-27.4K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.00	2.14	0.04	0.08
Total Volume	39.238	0	155	24	27
Total OI	6,012.238	1,627	8,240	8,186	1,754

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
2014-09-02	$43.60	$45.00	9.7%	2.9%	9.0%	3.5%	11.9%	15.2%	1.6%	2.0M	-4.7M	-27.4K	0.04	101.63	23	1	7,075	1,111
2014-09-03	$43.54	$45.00	9.8%	3.8%	8.9%	3.6%	0.0%	4.1%	1.5%	1.6M	-2.1M	-19.4K	1.10	102.36	20	22	7,085	1,108
2014-09-04	$43.36	$45.00	18.1%	3.6%	9.1%	21.7%	0.0%	8.5%	1.3%	1.7M	-3.9M	-24.5K	0.00	104.18	0	0	7,075	1,096
2014-09-05	$43.45	$45.00	12.9%	4.0%	8.1%	10.4%	0.0%	0.6%	0.7%	1.6M	-2.2M	-20.3K	0.00	98.11	10	0	7,075	1,096
2014-09-08	$43.12	$45.00	12.8%	3.9%	8.3%	10.3%	13.5%	2.4%	6.4%	764.7K	-584.7K	-15.0K	0.04	95.29	26	1	7,075	1,096
2014-09-09	$42.82	$45.00	15.3%	3.7%	8.8%	15.7%	16.1%	2.2%	2.3%	613.1K	-441.2K	-14.0K	0.51	101.75	75	38	7,064	1,097
2014-09-10	$42.82	$45.00	17.8%	3.3%	8.5%	21.0%	15.5%	1.7%	3.5%	611.6K	-152.8K	-13.9K	0.00	104.39	0	31	6,991	1,135
2014-09-11	$42.60	$45.00	14.0%	3.4%	8.7%	12.9%	0.0%	0.0%	2.0%	398.3K	197.4K	-13.2K	1.00	100.68	5	5	6,991	1,151
2014-09-12	$42.41	$45.00	20.7%	4.6%	8.8%	27.4%	0.0%	4.3%	-13.9%	9.3K	607.1K	-11.2K	0.00	102.07	9	0	6,996	1,151
2014-09-15	$42.43	$45.00	19.1%	4.9%	8.7%	24.0%	0.0%	2.5%	-4.5%	-25.3K	779.6K	-10.7K	0.00	98.33	10	0	6,967	1,151
2014-09-16	$42.43	$45.00	16.4%	4.7%	8.7%	18.0%	0.0%	8.5%	1.3%	-21.6K	726.6K	-10.7K	0.00	99.23	59	0	6,977	1,151
2014-09-17	$42.42	$45.00	23.7%	4.4%	8.7%	33.8%	15.6%	-2.2%	-17.3%	94.1K	488.4K	-11.4K	0.14	110.83	42	6	7,022	1,151
2014-09-18	$43.02	$45.00	21.1%	3.9%	9.4%	28.1%	17.2%	8.3%	6.2%	1.0M	-1.0M	-13.1K	0.08	101.83	143	12	7,018	1,152
2014-09-19	$42.89	$45.00	17.5%	4.0%	8.6%	20.4%	16.0%	1.8%	4.8%	25.0K	259.7K	-11.6K	0.07	95.34	42	3	7,088	1,152
2014-09-22	$42.52	$45.00	15.6%	4.0%	9.1%	16.4%	14.0%	-1.8%	4.1%	4.4K	383.4K	-11.2K	0.13	101.13	24	3	838	789
2014-09-23	$42.05	$45.00	24.2%	4.1%	8.6%	35.0%	15.0%	-5.5%	-14.8%	7.6K	559.2K	-11.0K	0.04	102.14	114	4	851	791
2014-09-24	$42.38	$45.00	25.1%	5.2%	9.2%	36.9%	16.8%	3.0%	-6.4%	6.0K	663.1K	-10.7K	2.14	100.99	7	15	915	795
2014-09-25	$41.79	$45.00	19.5%	4.7%	10.2%	24.7%	0.0%	-4.3%	-8.9%	5.7K	628.6K	-11.0K	0.00	100.96	21	0	915	810
2014-09-26	$42.25	$45.00	16.1%	4.5%	11.2%	17.4%	15.8%	5.6%	-2.5%	-15.1K	757.3K	-10.3K	0.00	101.30	0	12	935	810
2014-09-29	$41.98	$45.00	27.1%	3.5%	11.1%	41.4%	14.9%	-6.8%	-14.4%	-13.5K	937.9K	-10.1K	0.08	104.60	13	1	935	822
2014-09-30	$41.66	$45.00	22.0%	4.4%	11.3%	30.3%	0.0%	-7.1%	-11.9%	-1.7K	741.1K	-10.4K	0.00	105.58	0	27	932	822