L Options History — January 2016

In January 2016, L traded between $34.21 and $37.87. ATM implied volatility averaged 27.5%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.0% (HV 20d: 22.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.27.

Notable Days

2016-01-29: Highest Volume — 304 contracts
2016-01-12: Largest IV spike — 252.8% change
2016-01-12: Highest IV Rank — 100.0%
2016-01-12: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.71	$34.21	$37.87	$37.73	$36.35
Max Pain	$37.89	$35.00	$40.00	$40.00	$35.00
ATM IV	27.5%	19.0%	94.3%	23.6%	22.3%
Expected Move	6.8%	4.8%	14.4%	4.9%	6.4%
HV 20d	22.5%	20.4%	24.6%	23.9%	24.6%
HV 60d	20.3%	18.9%	21.8%	18.9%	21.2%
IV Rank	26.1%	9.7%	100.0%	35.3%	13.0%
IV Percentile	85.7%	69.0%	100.0%	88.1%	78.6%
Term Structure	0.4%	-15.9%	7.2%	-0.4%	6.1%
VWIV	23.0%	15.9%	36.3%	16.0%	19.9%
Skew 25d	3.5%	-0.5%	16.5%	-0.2%	6.0%
Skew 10d	8.2%	0.1%	37.9%	4.3%	9.9%
Call IV 25d	20.6%	15.4%	27.4%	19.0%	19.4%
Put IV 25d	24.1%	18.7%	34.8%	18.7%	25.4%
Bid-Ask Spread %	104.31	97.80	129.09	100.27	103.48
Gamma HHI	0.49	0.43	0.62	0.61	0.47
Net GEX	6.8K	-7.5K	21.8K	19.6K	2.1K
Net DEX	-72.1K	-449.2K	274.5K	-396.0K	-92.5K
Net VEX	-3.9K	-5.4K	-3.1K	-3.7K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.49	2.55	0.67	2.10
Total Volume	226.579	119	304	214	304
Total OI	894.368	729	1,125	729	1,125

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
2016-01-04	$37.73	$40.00	23.6%	4.9%	23.9%	35.3%	16.0%	-0.2%	-0.4%	19.6K	-396.0K	-3.7K	0.67	100.27	128	86	496	233
2016-01-05	$37.87	$40.00	19.0%	4.8%	22.4%	21.8%	16.5%	2.4%	1.8%	21.8K	-428.6K	-3.6K	0.49	97.80	176	86	501	233
2016-01-06	$36.99	$40.00	24.9%	5.0%	23.8%	39.2%	16.5%	0.2%	7.2%	18.7K	-449.2K	-4.2K	0.74	99.05	116	86	554	233
2016-01-07	$36.28	$40.00	20.1%	6.2%	24.5%	25.2%	15.9%	6.3%	0.4%	17.9K	-349.5K	-3.9K	0.81	99.63	106	86	578	233
2016-01-08	$35.91	$40.00	29.0%	5.9%	23.5%	51.2%	17.9%	5.7%	3.6%	19.9K	-223.9K	-3.6K	0.92	102.13	106	97	580	233
2016-01-11	$35.89	$40.00	26.7%	6.7%	22.7%	44.5%	21.1%	6.3%	-0.7%	13.6K	-217.9K	-3.8K	0.92	103.57	106	97	580	265
2016-01-12	$35.92	$40.00	94.3%	14.4%	21.4%	100.0%	31.6%	1.5%	-15.9%	12.9K	-142.4K	-3.1K	0.92	129.09	106	97	580	265
2016-01-13	$35.24	$40.00	19.5%	5.6%	22.3%	9.7%	25.5%	2.7%	5.4%	14.3K	-135.0K	-3.7K	0.91	109.89	109	99	580	265
2016-01-14	$35.79	$40.00	22.9%	6.6%	21.9%	13.8%	20.5%	16.5%	-1.1%	9.6K	-158.0K	-3.5K	0.93	99.32	113	105	583	267
2016-01-15	$35.46	$40.00	23.5%	6.7%	21.6%	14.5%	23.8%	3.4%	1.0%	2.6K	-8.2K	-3.6K	0.85	100.97	124	105	585	312
2016-01-19	$35.15	$40.00	24.1%	6.9%	20.7%	15.3%	27.3%	1.9%	5.1%	4.6K	64.1K	-3.7K	0.78	107.78	67	52	550	310
2016-01-20	$34.29	$35.00	26.3%	7.5%	22.0%	17.9%	26.8%	-0.5%	-2.1%	-1.5K	176.2K	-3.3K	1.30	100.93	70	91	551	315
2016-01-21	$34.45	$35.00	24.5%	7.0%	21.8%	15.8%	25.3%	0.2%	-0.1%	-3.3K	230.2K	-3.5K	1.02	100.02	91	93	556	342
2016-01-22	$35.00	$35.00	23.2%	6.6%	21.2%	14.1%	23.5%	1.4%	-0.4%	-788	111.3K	-3.8K	2.03	99.92	91	185	584	344
2016-01-25	$34.21	$35.00	22.7%	6.5%	20.4%	13.6%	24.1%	0.8%	-0.2%	-7.5K	199.4K	-4.0K	2.03	101.25	91	185	584	444
2016-01-26	$34.58	$35.00	25.2%	7.2%	21.2%	16.6%	25.8%	-0.1%	-0.6%	-7.2K	274.5K	-4.0K	2.03	103.26	91	185	584	444
2016-01-27	$35.47	$35.00	27.4%	7.8%	23.8%	19.2%	36.3%	6.4%	-2.8%	-2.6K	90.1K	-4.2K	2.55	119.53	77	196	584	444
2016-01-28	$35.99	$35.00	23.6%	6.8%	24.1%	14.6%	23.3%	5.1%	1.8%	-4.7K	86.1K	-4.7K	2.15	104.05	96	206	586	490
2016-01-29	$36.35	$35.00	22.3%	6.4%	24.6%	13.0%	19.9%	6.0%	6.1%	2.1K	-92.5K	-5.4K	2.10	103.48	98	206	612	513