L Options History — November 2014

In November 2014, L traded between $41.64 and $43.76. ATM implied volatility averaged 17.8%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.2% (HV 20d: 13.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2014-11-04: Highest Volume — 296 contracts
2014-11-19: Largest IV spike — 98.3% change
2014-11-12: Highest IV Rank — 48.2%
2014-11-26: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.95	$41.64	$43.76	$43.05	$41.64
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	17.8%	8.7%	30.3%	21.2%	30.2%
Expected Move	4.0%	3.1%	5.5%	3.3%	5.3%
HV 20d	13.6%	10.1%	20.0%	20.0%	12.0%
HV 60d	14.3%	14.1%	14.7%	14.2%	14.7%
IV Rank	21.1%	1.3%	48.2%	28.5%	48.1%
IV Percentile	51.7%	0.8%	96.0%	82.5%	95.6%
Term Structure	0.3%	-10.6%	6.2%	-4.0%	-10.6%
VWIV	14.5%	11.9%	21.2%	12.3%	14.9%
Skew 25d	3.8%	-4.4%	33.6%	9.5%	-3.2%
Skew 10d	10.7%	-6.0%	44.5%	11.0%	5.1%
Call IV 25d	14.5%	9.3%	21.4%	19.4%	21.4%
Put IV 25d	18.3%	10.9%	54.0%	28.9%	18.2%
Bid-Ask Spread %	103.19	90.10	113.92	104.52	112.22
Gamma HHI	0.59	0.50	0.99	0.56	0.50
Net GEX	78.4K	-7.3K	173.9K	73.5K	-7.3K
Net DEX	89.9K	-698.7K	962.9K	26.7K	962.9K
Net VEX	-11.4K	-13.6K	-9.0K	-11.2K	-9.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	4.00	0.27	0.03
Total Volume	158.316	10	296	279	41
Total OI	2,302.947	2,176	2,393	2,185	2,177

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
2014-11-03	$43.05	$45.00	21.2%	3.3%	20.0%	28.5%	12.3%	9.5%	-4.0%	73.5K	26.7K	-11.2K	0.27	104.52	219	60	1,266	919
2014-11-04	$43.13	$45.00	13.8%	4.2%	18.9%	12.4%	14.4%	4.0%	6.2%	76.3K	143.9K	-10.5K	0.25	106.62	236	60	1,265	927
2014-11-05	$43.76	$45.00	12.0%	3.6%	19.1%	8.5%	12.7%	8.9%	5.5%	160.1K	-698.7K	-12.4K	0.43	97.47	138	60	1,386	927
2014-11-06	$43.43	$45.00	10.2%	3.9%	17.5%	4.5%	13.4%	3.0%	4.8%	128.2K	-566.4K	-13.6K	0.52	90.10	115	60	1,444	927
2014-11-07	$43.48	$45.00	8.7%	3.6%	16.9%	1.3%	12.5%	-3.1%	-0.9%	124.8K	-619.4K	-13.0K	0.45	98.57	131	59	1,444	927
2014-11-10	$43.41	$45.00	15.5%	3.8%	16.8%	16.1%	13.6%	-2.3%	-0.2%	127.3K	-367.5K	-13.0K	0.44	99.86	131	58	1,431	925
2014-11-11	$43.45	$45.00	26.1%	3.4%	15.6%	39.2%	11.9%	33.6%	-1.7%	173.9K	-686.0K	-9.0K	0.38	113.06	140	53	1,382	899
2014-11-12	$43.28	$45.00	30.3%	3.7%	12.3%	48.2%	13.5%	-1.3%	1.6%	111.8K	137.2K	-12.2K	0.38	110.28	140	53	1,421	929
2014-11-13	$42.97	$45.00	14.5%	4.2%	12.7%	13.8%	15.7%	-4.4%	-2.0%	78.6K	-24.9K	-12.4K	0.38	98.48	139	53	1,431	929
2014-11-14	$42.78	$45.00	10.2%	3.1%	12.3%	4.5%	16.4%	-1.1%	2.7%	57.2K	589.2K	-10.6K	0.00	113.92	20	0	1,431	929
2014-11-17	$42.59	$45.00	19.0%	4.2%	12.3%	23.7%	15.2%	2.7%	-2.6%	49.9K	311.9K	-12.4K	0.37	99.95	138	51	1,432	929
2014-11-18	$42.64	$45.00	10.9%	4.0%	10.8%	6.1%	14.3%	5.8%	4.4%	36.6K	545.9K	-10.8K	0.42	93.46	141	59	1,432	929
2014-11-19	$42.64	$45.00	21.7%	4.1%	10.5%	29.6%	17.2%	0.2%	3.1%	69.8K	188.6K	-12.2K	0.30	107.20	20	6	1,442	938
2014-11-20	$42.73	$45.00	15.4%	3.7%	10.3%	15.7%	13.0%	5.8%	-0.8%	43.8K	515.4K	-10.8K	0.42	102.27	142	60	1,457	936
2014-11-21	$42.89	$45.00	19.0%	3.6%	10.1%	23.7%	12.6%	1.1%	4.1%	71.8K	4.2K	-12.2K	0.42	100.88	155	65	1,441	936
2014-11-24	$43.06	$45.00	12.6%	3.5%	10.2%	9.7%	14.5%	1.9%	-0.6%	57.5K	259.9K	-10.4K	0.00	98.61	20	0	1,310	895
2014-11-25	$42.65	$45.00	18.4%	4.7%	10.1%	22.3%	15.5%	9.3%	4.9%	14.5K	302.9K	-9.8K	0.22	107.00	143	32	1,292	895
2014-11-26	$42.42	$45.00	28.5%	5.5%	10.2%	44.4%	21.2%	2.6%	-8.2%	41.2K	683.1K	-10.7K	4.00	106.10	2	8	1,282	894
2014-11-28	$41.64	$45.00	30.2%	5.3%	12.0%	48.1%	14.9%	-3.2%	-10.6%	-7.3K	962.9K	-9.5K	0.03	112.22	40	1	1,283	894