L Options History — February 2015

In February 2015, L traded between $39.16 and $42.50. ATM implied volatility averaged 16.4%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.1% (HV 20d: 19.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.60.

Notable Days

2015-02-03: Highest Volume — 465 contracts
2015-02-18: Largest IV spike — 26.5% change
2015-02-06: Highest IV Rank — 26.9%
2015-02-02: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.45	$39.16	$42.50	$39.16	$41.04
Max Pain	$42.63	$35.00	$45.00	$35.00	$40.00
ATM IV	16.4%	14.0%	20.5%	19.4%	15.7%
Expected Move	4.7%	4.0%	5.6%	5.6%	4.5%
HV 20d	19.5%	18.0%	21.6%	20.5%	18.1%
HV 60d	18.7%	17.6%	19.2%	17.6%	18.9%
IV Rank	18.1%	12.9%	26.9%	24.6%	16.5%
IV Percentile	47.0%	25.0%	75.4%	71.8%	43.3%
Term Structure	2.0%	-1.9%	6.4%	-1.1%	0.2%
VWIV	17.0%	13.2%	19.6%	19.6%	15.8%
Skew 25d	5.7%	-2.7%	39.7%	-1.2%	1.5%
Skew 10d	14.7%	-3.9%	71.5%	-3.9%	7.4%
Call IV 25d	14.5%	9.5%	21.1%	20.8%	14.3%
Put IV 25d	20.2%	15.7%	60.8%	19.6%	15.7%
Bid-Ask Spread %	92.31	78.60	99.63	99.63	94.99
Gamma HHI	0.51	0.49	0.56	0.56	0.54
Net GEX	-3.3K	-37.3K	23.9K	-23.8K	-37.3K
Net DEX	-510.6K	-1.1M	917.5K	917.5K	-392.2K
Net VEX	-8.2K	-9.2K	-7.1K	-7.5K	-9.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.32	1.67	0.32	0.64
Total Volume	278.316	15	465	96	391
Total OI	1,910.316	1,736	2,082	1,751	2,044

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
2015-02-02	$39.16	$35.00	19.4%	5.6%	20.5%	24.6%	19.6%	-1.2%	-1.1%	-23.8K	917.5K	-7.5K	0.32	99.63	73	23	1,027	724
2015-02-03	$40.27	$35.00	19.3%	5.5%	21.6%	24.3%	19.3%	39.7%	-1.6%	-20.8K	320.8K	-8.3K	0.79	96.37	260	205	1,029	752
2015-02-04	$40.37	$35.00	19.0%	5.4%	20.6%	23.7%	19.2%	0.1%	-1.3%	-5.9K	72.6K	-8.3K	0.61	96.80	114	69	1,017	719
2015-02-05	$40.71	$45.00	19.2%	5.2%	20.8%	24.1%	17.4%	8.0%	-1.0%	-2.4K	-61.3K	-8.2K	0.47	86.94	135	63	1,012	727
2015-02-06	$40.67	$45.00	20.5%	5.0%	20.2%	26.9%	18.1%	1.0%	-0.3%	-1.6K	-125.9K	-8.3K	0.82	78.60	206	168	1,036	727
2015-02-09	$41.25	$45.00	15.6%	5.0%	20.2%	16.3%	18.0%	-0.2%	0.2%	-10.5K	-555.3K	-8.3K	0.64	85.92	163	105	1,139	811
2015-02-10	$41.55	$45.00	17.8%	5.0%	19.9%	21.0%	16.8%	5.9%	0.0%	-19.8K	-684.6K	-8.1K	0.48	89.03	157	75	1,149	807
2015-02-11	$41.44	$45.00	17.7%	5.1%	19.9%	20.8%	14.8%	5.7%	-0.2%	-10.7K	-633.9K	-8.1K	0.60	88.33	126	75	1,129	798
2015-02-12	$41.92	$45.00	14.2%	4.1%	19.6%	13.3%	13.2%	7.1%	5.6%	-5.1K	-933.8K	-7.5K	0.53	91.75	132	70	1,118	798
2015-02-13	$42.35	$45.00	14.3%	4.1%	19.0%	13.5%	17.4%	7.4%	5.5%	15.5K	-918.6K	-7.3K	0.42	97.78	151	64	1,105	797
2015-02-17	$42.50	$45.00	14.1%	4.0%	18.7%	12.9%	17.9%	0.9%	6.2%	22.5K	-1.0M	-7.1K	0.49	90.81	270	133	1,100	797
2015-02-18	$42.13	$45.00	17.8%	5.1%	19.2%	21.0%	17.4%	-2.7%	-1.9%	4.2K	-957.9K	-8.3K	0.55	88.42	261	143	1,226	856
2015-02-19	$42.38	$45.00	14.2%	4.1%	19.1%	13.2%	18.9%	7.1%	6.1%	14.6K	-1.1M	-8.2K	0.36	96.58	11	4	1,210	849
2015-02-20	$42.35	$45.00	14.2%	4.1%	18.7%	13.2%	0.0%	7.2%	6.4%	13.1K	-1.0M	-8.2K	1.67	96.03	12	20	1,210	849
2015-02-23	$42.08	$45.00	14.0%	4.0%	18.5%	12.9%	16.1%	6.3%	5.2%	-7.4K	-407.4K	-7.9K	0.36	92.85	321	117	1,030	758
2015-02-24	$42.38	$45.00	15.1%	4.3%	18.5%	15.2%	14.5%	6.8%	3.7%	23.9K	-860.8K	-8.6K	0.43	94.07	279	119	1,131	758
2015-02-25	$41.75	$40.00	14.2%	4.1%	19.5%	13.2%	15.8%	5.9%	5.0%	18.1K	-856.0K	-9.2K	0.51	95.42	243	124	1,224	793
2015-02-26	$41.20	$40.00	16.1%	4.6%	18.0%	17.2%	16.3%	2.5%	0.9%	-29.4K	-480.5K	-9.1K	0.71	93.63	238	168	1,228	812
2015-02-27	$41.04	$40.00	15.7%	4.5%	18.1%	16.5%	15.8%	1.5%	0.2%	-37.3K	-392.2K	-9.2K	0.64	94.99	238	153	1,229	815