L Options History — September 2015

In September 2015, L traded between $35.49 and $36.61. ATM implied volatility averaged 24.4%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.1% (HV 20d: 19.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.35.

Notable Days

2015-09-18: Highest Volume — 363 contracts
2015-09-04: Largest IV drop — 21.9% change
2015-09-03: Highest IV Rank — 75.6%
2015-09-02: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.05	$35.49	$36.61	$35.67	$36.16
Max Pain	$35.48	$35.00	$40.00	$40.00	$35.00
ATM IV	24.4%	18.7%	37.4%	28.5%	19.4%
Expected Move	6.7%	5.4%	9.2%	8.2%	5.6%
HV 20d	19.4%	15.9%	21.6%	20.9%	15.9%
HV 60d	17.0%	16.7%	17.3%	17.0%	17.3%
IV Rank	41.3%	26.3%	75.6%	52.1%	28.1%
IV Percentile	84.5%	66.7%	99.2%	94.8%	72.6%
Term Structure	-0.6%	-3.8%	5.2%	-3.8%	4.6%
VWIV	23.0%	18.3%	35.1%	28.9%	19.8%
Skew 25d	9.1%	0.2%	20.4%	7.9%	0.9%
Skew 10d	24.3%	0.7%	61.0%	12.4%	39.8%
Call IV 25d	19.8%	16.1%	26.0%	22.1%	21.1%
Put IV 25d	29.0%	22.0%	44.9%	30.0%	22.0%
Bid-Ask Spread %	102.30	86.82	118.33	86.82	105.95
Gamma HHI	0.71	0.60	0.78	0.74	0.76
Net GEX	-46.0K	-72.5K	-19.3K	-59.8K	-46.6K
Net DEX	1.2M	425.9K	1.9M	1.9M	568.2K
Net VEX	-4.7K	-5.8K	-3.6K	-5.2K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.00	0.82	0.18	0.72
Total Volume	258.762	22	363	227	267
Total OI	1,905.571	919	2,528	2,407	1,019

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
2015-09-01	$35.67	$40.00	28.5%	8.2%	20.9%	52.1%	28.9%	7.9%	-3.8%	-59.8K	1.9M	-5.2K	0.18	86.82	193	34	1,417	990
2015-09-02	$36.00	$40.00	32.0%	9.2%	21.1%	61.2%	32.6%	16.6%	-3.3%	-39.3K	1.6M	-5.8K	0.17	90.44	201	34	1,419	986
2015-09-03	$36.49	$35.00	37.4%	7.0%	21.5%	75.6%	20.1%	8.5%	2.2%	-39.6K	1.6M	-5.6K	0.16	99.76	209	34	1,420	986
2015-09-04	$36.19	$35.00	29.2%	7.3%	21.6%	54.0%	21.3%	8.9%	-2.4%	-54.3K	1.6M	-5.6K	0.16	100.24	260	42	1,428	986
2015-09-08	$36.61	$35.00	27.2%	7.2%	19.4%	48.7%	0.0%	8.4%	-2.2%	-47.3K	1.6M	-5.2K	0.16	101.19	32	5	1,516	992
2015-09-09	$36.07	$35.00	23.7%	6.8%	19.8%	39.5%	23.8%	0.2%	-0.8%	-59.9K	1.6M	-5.3K	0.16	94.64	295	47	1,511	997
2015-09-10	$36.22	$35.00	25.7%	7.4%	20.0%	44.6%	22.0%	14.1%	-2.9%	-65.7K	1.6M	-5.3K	0.17	110.86	272	47	1,509	997
2015-09-11	$36.20	$35.00	24.2%	6.9%	20.0%	40.7%	24.8%	18.9%	-1.4%	-68.1K	1.6M	-4.7K	0.19	102.33	296	56	1,506	997
2015-09-14	$36.04	$35.00	24.9%	7.2%	19.7%	42.7%	23.0%	6.1%	-3.0%	-72.5K	1.5M	-5.0K	0.19	109.08	289	56	1,522	1,001
2015-09-15	$36.37	$35.00	23.1%	6.6%	20.2%	37.7%	35.1%	5.6%	-0.8%	-61.0K	1.4M	-4.7K	0.00	104.17	22	0	1,520	1,001
2015-09-16	$36.56	$35.00	21.9%	6.3%	20.4%	34.6%	18.3%	5.2%	0.9%	-51.8K	1.3M	-4.8K	0.31	107.83	267	84	1,527	1,001
2015-09-17	$36.23	$35.00	21.9%	6.3%	20.4%	34.7%	20.3%	4.9%	-0.3%	-33.8K	1.1M	-4.9K	0.31	112.79	267	84	1,528	973
2015-09-18	$35.77	$35.00	22.3%	6.4%	20.1%	35.7%	20.9%	17.4%	-1.1%	-19.3K	1.3M	-4.3K	0.34	97.48	270	93	1,528	973
2015-09-21	$36.24	$35.00	21.9%	6.3%	20.0%	34.8%	20.5%	6.1%	0.2%	-19.7K	425.9K	-4.3K	0.43	97.68	150	64	459	460
2015-09-22	$35.75	$35.00	22.8%	6.5%	19.0%	37.1%	22.3%	3.7%	-1.1%	-21.4K	585.6K	-3.6K	0.43	97.90	150	64	459	460
2015-09-23	$35.66	$35.00	22.4%	6.4%	18.0%	35.9%	22.3%	3.1%	-1.1%	-36.4K	585.0K	-4.4K	0.82	97.59	150	123	459	520
2015-09-24	$35.74	$35.00	18.7%	5.4%	18.0%	26.3%	18.7%	19.2%	5.2%	-42.4K	594.1K	-4.4K	0.50	103.63	150	75	459	520
2015-09-25	$35.99	$35.00	20.1%	5.7%	16.4%	29.8%	20.1%	13.5%	-0.3%	-37.9K	533.3K	-4.3K	0.55	118.33	150	83	459	522
2015-09-28	$35.49	$35.00	21.7%	6.2%	17.1%	34.1%	21.8%	1.7%	0.8%	-42.5K	698.0K	-3.7K	0.62	106.78	150	93	459	531
2015-09-29	$35.66	$35.00	23.6%	6.8%	17.2%	39.1%	23.6%	20.4%	-2.0%	-46.1K	702.3K	-3.9K	0.68	102.73	164	112	459	541
2015-09-30	$36.16	$35.00	19.4%	5.6%	15.9%	28.1%	19.8%	0.9%	4.6%	-46.6K	568.2K	-4.1K	0.72	105.95	155	112	466	553