L Options History — April 2016

In April 2016, L traded between $37.50 and $40.32. ATM implied volatility averaged 25.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 8.6% (HV 20d: 17.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.10.

Notable Days

2016-04-19: Highest Volume — 904 contracts
2016-04-12: Largest IV spike — 475.3% change
2016-04-12: Highest IV Rank — 100.0%
2016-04-12: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.04	$37.50	$40.32	$38.57	$39.73
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	25.9%	13.8%	153.8%	21.3%	18.7%
Expected Move	5.3%	3.9%	8.2%	6.1%	5.4%
HV 20d	17.4%	14.3%	21.1%	20.3%	17.6%
HV 60d	20.4%	19.1%	22.0%	22.0%	19.1%
IV Rank	12.0%	1.6%	100.0%	11.8%	5.1%
IV Percentile	54.5%	7.5%	100.0%	63.5%	50.0%
Term Structure	-0.5%	-8.1%	7.6%	4.3%	-2.0%
VWIV	18.3%	14.9%	23.3%	18.2%	18.7%
Skew 25d	15.1%	0.2%	35.9%	6.5%	35.9%
Skew 10d	22.7%	0.8%	52.3%	5.7%	51.9%
Call IV 25d	17.9%	13.0%	22.2%	15.1%	19.6%
Put IV 25d	33.0%	16.2%	55.5%	21.6%	55.5%
Bid-Ask Spread %	99.71	84.09	117.30	103.45	84.09
Gamma HHI	0.81	0.59	0.97	0.64	0.95
Net GEX	209.7K	40.6K	452.2K	62.8K	452.2K
Net DEX	-1.7M	-4.3M	-291.4K	-639.6K	-3.3M
Net VEX	-8.4K	-13.7K	-5.4K	-6.1K	-13.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.10	1.97	1.97	0.69
Total Volume	274.524	169	904	187	320
Total OI	1,662.286	1,184	2,444	1,285	2,444

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
2016-04-01	$38.57	$35.00	21.3%	6.1%	20.3%	11.8%	18.2%	6.5%	4.3%	62.8K	-639.6K	-6.1K	1.97	103.45	63	124	751	534
2016-04-04	$37.94	$35.00	16.6%	4.9%	21.1%	6.2%	19.1%	4.6%	-1.3%	66.5K	-729.8K	-6.0K	1.94	97.76	64	124	751	534
2016-04-05	$37.68	$35.00	18.7%	4.3%	20.5%	8.7%	17.6%	3.9%	-0.3%	53.7K	-408.6K	-5.6K	1.55	97.30	76	118	758	534
2016-04-06	$37.64	$35.00	27.6%	5.4%	19.3%	19.5%	19.8%	1.8%	-2.0%	47.1K	-337.2K	-5.6K	1.55	100.39	76	118	752	532
2016-04-07	$37.50	$35.00	24.8%	5.2%	18.9%	16.1%	18.8%	2.0%	7.6%	40.6K	-291.4K	-5.4K	1.55	97.07	76	118	752	532
2016-04-08	$37.91	$35.00	21.4%	5.3%	19.1%	12.0%	18.6%	2.6%	-0.9%	56.8K	-452.1K	-5.6K	1.62	95.64	73	118	752	532
2016-04-11	$38.21	$35.00	26.7%	4.2%	16.0%	18.4%	16.9%	3.6%	1.2%	70.8K	-614.5K	-5.6K	1.87	98.75	63	118	762	532
2016-04-12	$38.64	$35.00	153.8%	8.2%	16.3%	100.0%	21.0%	29.5%	-2.0%	70.8K	-781.9K	-5.9K	1.84	113.08	75	138	766	532
2016-04-13	$39.42	$35.00	17.1%	4.9%	17.6%	4.0%	17.3%	27.1%	1.1%	109.7K	-1.2M	-6.1K	1.63	103.56	72	117	789	537
2016-04-14	$39.46	$35.00	18.6%	5.3%	17.5%	5.0%	18.6%	26.5%	-1.3%	123.0K	-1.2M	-6.3K	1.15	95.52	102	117	808	539
2016-04-15	$39.31	$35.00	17.0%	4.9%	16.2%	3.9%	17.1%	7.0%	-0.3%	122.5K	-1.2M	-6.4K	1.90	95.15	61	116	858	539
2016-04-18	$39.41	$35.00	19.2%	5.5%	14.3%	5.4%	19.4%	28.5%	-2.4%	124.6K	-1.1M	-6.2K	0.78	99.52	109	85	783	401
2016-04-19	$39.73	$35.00	16.8%	4.8%	14.6%	3.7%	16.8%	6.9%	-0.3%	164.1K	-1.4M	-6.7K	0.10	95.02	820	84	865	401
2016-04-20	$39.99	$35.00	17.0%	4.9%	14.6%	3.9%	17.0%	30.5%	-0.3%	359.1K	-3.1M	-11.6K	0.99	100.06	85	84	1,648	404
2016-04-21	$39.14	$35.00	13.8%	3.9%	15.8%	1.6%	14.9%	0.2%	0.6%	380.5K	-2.5M	-11.4K	0.35	103.04	237	84	1,686	404
2016-04-22	$39.86	$35.00	17.9%	5.1%	16.6%	4.5%	18.0%	30.2%	-2.3%	434.3K	-3.1M	-12.5K	0.32	105.09	261	84	1,876	404
2016-04-25	$39.67	$35.00	18.4%	5.3%	16.8%	4.9%	18.4%	32.6%	-0.2%	382.7K	-3.0M	-12.6K	0.33	98.85	261	85	1,901	404
2016-04-26	$40.08	$35.00	17.6%	5.1%	16.9%	4.3%	17.6%	32.1%	-0.4%	417.3K	-3.6M	-12.8K	0.33	94.48	252	84	1,901	406
2016-04-27	$40.32	$35.00	23.3%	6.7%	16.8%	8.3%	23.3%	3.1%	-8.1%	422.9K	-4.3M	-12.1K	0.33	117.30	252	84	1,895	407
2016-04-28	$39.68	$35.00	17.8%	5.1%	17.7%	4.5%	17.9%	1.1%	-1.7%	440.6K	-3.3M	-12.3K	0.30	98.87	283	84	1,895	407
2016-04-29	$39.73	$35.00	18.7%	5.4%	17.6%	5.1%	18.7%	35.9%	-2.0%	452.2K	-3.3M	-13.7K	0.69	84.09	189	131	2,037	407