L Options History — November 2015

In November 2015, L traded between $36.97 and $38.00. ATM implied volatility averaged 17.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.8% (HV 20d: 17.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.09.

Notable Days

2015-11-20: Highest Volume — 347 contracts
2015-11-10: Largest IV spike — 137.0% change
2015-11-10: Highest IV Rank — 89.8%
2015-11-10: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.60	$36.97	$38.00	$37.55	$37.89
Max Pain	$39.25	$35.00	$40.00	$35.00	$40.00
ATM IV	17.1%	11.5%	42.1%	22.9%	17.9%
Expected Move	4.7%	3.3%	7.6%	6.6%	5.1%
HV 20d	17.9%	16.5%	19.1%	17.2%	16.5%
HV 60d	18.9%	17.3%	19.9%	19.9%	17.3%
IV Rank	18.8%	0.0%	89.8%	38.2%	18.8%
IV Percentile	35.3%	0.0%	99.6%	83.7%	63.5%
Term Structure	2.6%	-13.3%	9.0%	-5.9%	3.9%
VWIV	17.7%	11.5%	32.8%	23.0%	16.4%
Skew 25d	4.3%	-3.7%	15.3%	5.1%	3.5%
Skew 10d	9.3%	-0.3%	35.9%	5.1%	5.1%
Call IV 25d	15.2%	10.1%	20.0%	20.0%	16.4%
Put IV 25d	19.5%	12.6%	27.5%	25.0%	19.9%
Bid-Ask Spread %	95.64	78.78	105.60	82.94	105.60
Gamma HHI	0.49	0.45	0.52	0.45	0.51
Net GEX	1.1K	-13.7K	13.7K	-996	13.7K
Net DEX	-2.7K	-130.3K	70.9K	-27.0K	-29.3K
Net VEX	-3.7K	-4.4K	-3.1K	-4.4K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.09	0.04	28.00	0.41	0.04
Total Volume	206.5	0	347	281	26
Total OI	1,256.35	1,187	1,356	1,236	1,187

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
2015-11-02	$37.55	$35.00	22.9%	6.6%	17.2%	38.2%	23.0%	5.1%	-5.9%	-996	-27.0K	-4.4K	0.41	82.94	199	82	696	540
2015-11-03	$37.30	$35.00	15.8%	4.5%	17.5%	19.0%	17.7%	-0.0%	0.2%	-4.9K	-30.6K	-3.7K	0.55	78.78	159	87	698	540
2015-11-04	$37.00	$35.00	19.5%	5.6%	17.6%	29.0%	14.7%	-3.7%	-13.3%	-12.6K	62.4K	-3.7K	0.77	94.80	148	114	688	540
2015-11-05	$37.24	$40.00	13.2%	4.8%	17.6%	12.1%	15.4%	1.2%	9.0%	-13.7K	70.9K	-3.8K	0.70	92.09	157	110	689	550
2015-11-06	$37.80	$40.00	14.1%	3.9%	17.7%	14.4%	17.4%	11.0%	7.7%	-599	50.4K	-3.6K	0.20	101.26	10	2	697	550
2015-11-09	$37.63	$40.00	17.8%	4.2%	17.9%	24.4%	0.0%	3.1%	0.6%	-2.9K	25.1K	-3.8K	0.00	92.89	0	2	701	548
2015-11-10	$37.82	$40.00	42.1%	7.6%	17.5%	89.8%	32.8%	7.2%	2.2%	-717	38.6K	-3.6K	0.63	105.14	171	107	702	548
2015-11-11	$37.86	$40.00	13.7%	3.9%	16.6%	9.8%	12.5%	-2.8%	-0.2%	3.1K	-3.9K	-3.7K	0.63	95.23	171	107	702	548
2015-11-12	$37.04	$40.00	18.3%	5.2%	18.5%	22.8%	14.7%	0.5%	4.6%	-8.5K	10.6K	-4.0K	0.73	90.37	169	123	714	548
2015-11-13	$36.97	$40.00	19.2%	5.5%	18.4%	25.3%	15.5%	8.4%	3.0%	-8.9K	37.2K	-3.8K	0.79	96.64	190	151	712	548
2015-11-16	$37.57	$40.00	20.6%	5.9%	19.1%	29.3%	27.0%	15.3%	7.3%	653	33.4K	-4.2K	28.00	96.86	1	28	741	576
2015-11-17	$37.57	$40.00	13.6%	3.9%	18.9%	7.5%	17.6%	9.9%	7.5%	-671	25.3K	-3.8K	0.95	95.44	149	141	743	563
2015-11-18	$38.00	$40.00	16.2%	4.6%	19.0%	15.0%	18.4%	8.4%	1.4%	10.2K	-119.6K	-3.9K	0.74	91.10	190	141	780	563
2015-11-19	$37.84	$40.00	11.9%	3.4%	18.9%	0.0%	12.9%	2.5%	6.5%	8.1K	-111.5K	-3.5K	0.71	98.84	198	141	788	563
2015-11-20	$37.88	$40.00	11.9%	3.4%	18.9%	0.0%	14.0%	2.0%	5.8%	10.5K	-130.3K	-3.5K	0.68	100.24	206	141	793	563
2015-11-23	$37.76	$40.00	11.5%	3.3%	19.0%	0.0%	11.5%	0.6%	0.4%	10.3K	19.7K	-3.7K	0.09	99.03	23	2	737	487
2015-11-24	$37.86	$40.00	13.7%	3.9%	18.0%	6.3%	0.0%	2.4%	3.6%	6.1K	-10.0K	-3.3K	0.00	99.37	0	0	714	485
2015-11-25	$37.77	$40.00	14.2%	4.1%	16.8%	8.1%	19.8%	9.9%	4.6%	9.5K	23.9K	-3.6K	0.47	97.90	165	77	711	485
2015-11-27	$37.72	$40.00	13.7%	3.9%	16.8%	6.5%	16.4%	1.8%	3.3%	5.0K	11.2K	-3.1K	0.47	98.34	165	77	714	475
2015-11-30	$37.89	$40.00	17.9%	5.1%	16.5%	18.8%	0.0%	3.5%	3.9%	13.7K	-29.3K	-3.4K	0.04	105.60	25	1	711	476