L Options History — February 2016

In February 2016, L traded between $35.57 and $37.44. ATM implied volatility averaged 27.4%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.9% (HV 20d: 23.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.26.

Notable Days

2016-02-08: Highest Volume — 704 contracts
2016-02-08: Largest IV spike — 129.9% change
2016-02-08: Highest IV Rank — 58.2%
2016-02-08: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.52	$35.57	$37.44	$37.00	$36.43
Max Pain	$35.50	$35.00	$40.00	$35.00	$40.00
ATM IV	27.4%	22.5%	59.7%	25.0%	23.5%
Expected Move	7.5%	6.5%	9.1%	7.2%	6.7%
HV 20d	23.4%	21.2%	25.6%	25.6%	21.2%
HV 60d	22.0%	21.1%	23.1%	21.4%	23.0%
IV Rank	19.2%	13.3%	58.2%	16.3%	14.5%
IV Percentile	86.9%	76.6%	99.6%	87.7%	76.6%
Term Structure	1.5%	-7.2%	16.4%	6.6%	6.0%
VWIV	25.6%	20.2%	31.0%	20.6%	22.4%
Skew 25d	2.6%	-4.1%	12.6%	12.6%	1.4%
Skew 10d	9.8%	-8.0%	40.2%	15.4%	30.7%
Call IV 25d	26.4%	18.7%	33.1%	18.7%	29.8%
Put IV 25d	29.0%	23.3%	38.0%	31.3%	31.3%
Bid-Ask Spread %	96.22	83.26	114.13	106.67	83.96
Gamma HHI	0.50	0.44	0.63	0.49	0.47
Net GEX	-8.2K	-78.7K	23.7K	5.4K	3.3K
Net DEX	-10.1K	-274.3K	378.8K	-196.1K	15.8K
Net VEX	-5.5K	-6.1K	-4.9K	-4.9K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.26	0.69	6.82	2.38	0.77
Total Volume	394.4	288	704	321	459
Total OI	1,286.4	1,145	1,616	1,145	1,256

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
2016-02-01	$37.00	$35.00	25.0%	7.2%	25.6%	16.3%	20.6%	12.6%	6.6%	5.4K	-196.1K	-4.9K	2.38	106.67	95	226	623	522
2016-02-02	$36.24	$35.00	22.5%	6.5%	25.6%	13.3%	20.2%	4.2%	4.7%	990	-77.9K	-5.3K	2.36	104.96	96	227	637	522
2016-02-03	$36.24	$35.00	22.5%	6.5%	25.6%	13.3%	22.1%	3.6%	2.0%	-3.4K	-79.1K	-5.4K	2.95	105.94	75	221	642	523
2016-02-04	$36.51	$35.00	23.8%	6.6%	24.5%	14.9%	22.9%	-0.5%	9.8%	497	-163.0K	-5.6K	1.84	92.01	120	221	645	528
2016-02-05	$36.26	$35.00	26.0%	7.4%	23.6%	17.5%	27.4%	5.2%	-2.4%	5.2K	-114.6K	-5.5K	4.65	91.45	83	386	659	528
2016-02-08	$36.34	$35.00	59.7%	9.1%	23.3%	58.2%	31.0%	4.3%	-7.2%	-47.7K	114.4K	-5.2K	6.82	114.13	90	614	671	720
2016-02-09	$36.41	$35.00	27.5%	8.5%	23.3%	19.4%	28.6%	-1.6%	-3.8%	-78.7K	287.2K	-6.1K	2.48	97.57	90	223	678	938
2016-02-10	$36.28	$35.00	28.7%	8.2%	23.4%	20.8%	26.3%	2.3%	-3.5%	-60.1K	183.4K	-6.0K	5.01	99.77	90	451	656	918
2016-02-11	$35.57	$35.00	28.9%	8.3%	23.4%	21.1%	29.2%	-2.4%	-2.6%	-41.0K	378.8K	-5.6K	2.69	95.19	90	242	639	668
2016-02-12	$35.84	$35.00	30.5%	8.7%	22.9%	23.0%	29.9%	-4.1%	-5.8%	-26.8K	297.8K	-5.3K	2.31	99.07	90	208	639	627
2016-02-16	$36.48	$35.00	28.1%	8.0%	23.5%	20.0%	28.0%	-2.1%	-3.0%	-18.9K	89.1K	-5.2K	1.84	96.75	113	208	639	623
2016-02-17	$37.41	$35.00	24.6%	7.1%	24.6%	15.8%	23.7%	4.1%	3.4%	3.5K	-169.5K	-5.3K	1.35	87.14	147	199	648	623
2016-02-18	$37.25	$35.00	23.6%	6.8%	22.5%	14.6%	24.3%	2.7%	3.8%	19.1K	-274.3K	-6.0K	1.88	105.11	106	199	707	626
2016-02-19	$36.90	$35.00	23.5%	6.7%	23.0%	14.5%	24.0%	5.9%	6.3%	20.3K	-186.3K	-5.8K	2.24	98.35	89	199	717	626
2016-02-22	$37.44	$35.00	24.2%	6.9%	22.9%	15.3%	23.0%	5.1%	16.4%	19.7K	-243.9K	-5.8K	0.69	92.67	263	182	670	532
2016-02-23	$36.54	$35.00	25.8%	7.4%	23.1%	17.3%	26.6%	1.5%	1.1%	23.7K	-153.4K	-6.0K	0.71	94.33	259	183	737	532
2016-02-24	$36.19	$35.00	27.3%	7.8%	23.4%	19.1%	27.2%	7.0%	-1.8%	-3.0K	47.0K	-5.4K	0.71	90.27	259	184	742	534
2016-02-25	$36.39	$35.00	25.9%	7.4%	21.8%	17.4%	25.8%	1.6%	-1.1%	-2.0K	7.0K	-5.4K	0.73	83.26	260	190	742	536
2016-02-26	$36.64	$40.00	25.9%	7.4%	21.3%	17.4%	28.0%	0.7%	0.8%	15.2K	36.5K	-5.6K	0.73	85.87	261	190	718	537
2016-02-29	$36.43	$40.00	23.5%	6.7%	21.2%	14.5%	22.4%	1.4%	6.0%	3.3K	15.8K	-5.4K	0.77	83.96	259	200	719	537