L Options History — May 2015 In May 2015, L traded between $40.03 and $41.71. ATM implied volatility averaged 16.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.4% (HV 20d: 11.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.55.
Notable Days 2015-05-07 : Highest Volume — 273 contracts2015-05-12 : Largest IV spike — 52.9% change2015-05-12 : Highest IV Rank — 41.3%2015-05-01 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $40.92 $40.03 $41.71 $41.71 $40.14 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 16.0% 13.5% 27.1% 16.4% 15.8% Expected Move 4.4% 4.1% 4.7% 4.7% 4.5% HV 20d 11.6% 9.9% 13.0% 12.8% 10.7% HV 60d 15.0% 14.5% 15.4% 15.4% 14.5% IV Rank 17.6% 11.6% 41.3% 18.0% 17.8% IV Percentile 38.0% 17.5% 91.3% 50.8% 42.9% Term Structure 0.4% -0.9% 2.7% 2.7% -0.9% VWIV 15.4% 14.0% 16.5% 16.4% 16.2% Skew 25d 4.9% -3.2% 26.5% 2.1% -1.1% Skew 10d 15.6% -2.6% 89.6% 5.7% -0.7% Call IV 25d 14.2% 10.6% 20.7% 17.4% 20.7% Put IV 25d 19.1% 15.0% 43.6% 19.5% 19.5% Bid-Ask Spread % 101.70 90.78 114.42 102.76 109.54 Gamma HHI 0.57 0.45 0.74 0.63 0.53 Net GEX 45.7K -63.9K 83.8K 82.6K 54.9K Net DEX -546.4K -1.2M -7.4K -1.2M -7.4K Net VEX -9.2K -12.4K -6.6K -12.4K -6.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.55 0.61 3.46 1.29 0.88 Total Volume 140 7 273 133 173 Total OI 2,123.45 1,901 2,332 2,292 1,907
Daily Data (20 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 2015-05-01 $41.71 $40.00 16.4% 4.7% 12.8% 18.0% 16.4% 2.1% 2.7% 82.6K -1.2M -12.4K 1.29 102.76 58 75 1,434 858 2015-05-04 $41.67 $40.00 15.1% 4.5% 12.4% 15.1% 0.0% 5.1% 0.9% 83.8K -1.2M -11.6K 2.78 114.42 18 50 1,438 856 2015-05-05 $41.27 $40.00 13.5% 4.5% 12.8% 11.6% 15.4% -3.2% 0.2% 57.5K -1.0M -11.4K 3.46 98.03 35 121 1,445 877 2015-05-06 $41.05 $40.00 16.1% 4.5% 12.8% 17.4% 15.5% 4.1% 0.2% 31.6K -774.1K -10.7K 2.76 90.78 45 124 1,442 877 2015-05-07 $41.25 $40.00 17.9% 4.6% 13.0% 21.3% 16.1% 5.1% 0.2% 51.5K -943.9K -11.3K 0.96 97.08 139 134 1,452 880 2015-05-08 $41.42 $40.00 14.8% 4.5% 12.8% 14.5% 0.0% 5.0% 0.9% 49.4K -856.1K -10.5K 0.00 97.72 0 7 1,350 888 2015-05-11 $41.15 $40.00 17.7% 4.5% 12.6% 20.9% 14.0% 4.5% 0.4% 25.3K -686.3K -9.8K 0.00 95.37 0 10 1,350 893 2015-05-12 $40.97 $40.00 27.1% 4.4% 12.7% 41.3% 15.9% 14.0% 1.1% -957 -569.5K -10.3K 2.18 105.20 62 135 1,351 895 2015-05-13 $40.56 $40.00 15.0% 4.3% 10.8% 14.9% 15.0% 4.6% 1.0% -63.9K -264.0K -9.3K 2.33 101.24 58 135 1,353 895 2015-05-14 $40.87 $40.00 15.5% 4.4% 11.3% 16.0% 15.5% 16.1% 0.4% -4.9K -426.6K -8.9K 2.33 101.41 58 135 1,350 895 2015-05-15 $40.66 $40.00 15.0% 4.3% 11.2% 15.8% 14.9% 1.7% 0.5% 51.1K -476.5K -8.5K 2.33 100.57 58 135 1,350 895 2015-05-18 $41.05 $40.00 14.9% 4.3% 11.8% 15.7% 14.9% 1.8% 0.3% 57.7K -390.8K -8.5K 0.61 105.20 23 14 1,289 673 2015-05-19 $41.10 $40.00 15.8% 4.5% 10.4% 17.6% 15.8% 1.6% -0.2% 69.3K -488.9K -8.5K 0.71 113.87 17 12 1,300 663 2015-05-20 $41.18 $40.00 14.9% 4.3% 10.3% 15.8% 15.1% 1.8% 0.1% 71.6K -507.6K -8.3K 1.17 101.94 60 70 1,289 656 2015-05-21 $41.05 $40.00 14.7% 4.2% 9.9% 15.3% 15.2% 3.6% 0.3% 67.6K -482.0K -8.4K 0.73 99.02 88 64 1,286 660 2015-05-22 $40.71 $40.00 14.3% 4.1% 10.2% 14.2% 14.3% 0.4% 0.4% 60.8K -405.1K -8.0K 1.28 105.13 88 113 1,308 658 2015-05-26 $40.03 $40.00 14.8% 4.3% 11.6% 15.5% 15.1% 1.2% 0.1% 58.3K -60.0K -7.1K 0.68 101.87 88 60 1,308 616 2015-05-27 $40.26 $40.00 14.8% 4.2% 10.7% 15.4% 15.1% 2.8% -0.2% 55.0K -55.4K -6.8K 0.67 92.61 103 69 1,308 623 2015-05-28 $40.35 $40.00 15.5% 4.4% 10.8% 17.1% 16.5% 26.5% -0.5% 54.8K -42.1K -6.6K 0.80 100.24 92 74 1,284 617 2015-05-29 $40.14 $40.00 15.8% 4.5% 10.7% 17.8% 16.2% -1.1% -0.9% 54.9K -7.4K -6.6K 0.88 109.54 92 81 1,285 622
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