L Options History — July 2016

Name: L Options Analytics - July 2016
Creator: Options Analysis Suite

In July 2016, L traded between $40.04 and $41.50. ATM implied volatility averaged 20.1%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.1% (HV 20d: 23.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 4.53.

Notable Days

2016-07-01: Highest Volume — 443 contracts
2016-07-12: Largest IV spike — 311.8% change
2016-07-12: Highest IV Rank — 40.5%
2016-07-07: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.01	$40.04	$41.50	$40.97	$41.41
Max Pain	$37.25	$35.00	$40.00	$40.00	$35.00
ATM IV	20.1%	10.5%	68.6%	10.5%	16.0%
Expected Move	5.1%	3.0%	13.0%	3.0%	4.6%
HV 20d	23.2%	12.2%	25.7%	24.1%	12.2%
HV 60d	17.3%	16.4%	18.2%	17.6%	16.4%
IV Rank	6.7%	0.0%	40.5%	0.0%	3.8%
IV Percentile	35.0%	0.0%	99.2%	0.0%	23.0%
Term Structure	-0.7%	-27.9%	5.5%	5.4%	0.2%
VWIV	17.7%	10.4%	44.5%	10.4%	18.0%
Skew 25d	1.8%	-38.3%	21.5%	-25.1%	-4.8%
Skew 10d	19.2%	-16.6%	48.4%	-12.5%	-4.0%
Call IV 25d	18.9%	11.8%	56.2%	43.6%	22.1%
Put IV 25d	20.7%	14.6%	36.9%	18.4%	17.3%
Bid-Ask Spread %	108.54	83.54	125.62	111.76	83.54
Gamma HHI	0.59	0.51	0.71	0.61	0.57
Net GEX	83.8K	68.6K	98.7K	77.1K	98.7K
Net DEX	-1.4M	-1.6M	-892.7K	-1.3M	-1.6M
Net VEX	-7.2K	-7.6K	-6.9K	-7.2K	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.53	0.48	13.50	10.97	0.62
Total Volume	233.1	89	443	443	147
Total OI	1,327	1,264	1,407	1,264	1,407

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
2016-07-01	$40.97	$40.00	10.5%	3.0%	24.1%	0.0%	10.4%	-25.1%	5.4%	77.1K	-1.3M	-7.2K	10.97	111.76	37	406	734	530
2016-07-05	$40.04	$40.00	24.4%	5.0%	25.5%	9.7%	18.0%	2.9%	-0.9%	68.6K	-956.4K	-7.5K	13.50	107.23	30	405	735	530
2016-07-06	$40.10	$40.00	16.3%	4.7%	25.5%	4.0%	16.5%	21.5%	-0.5%	69.7K	-892.7K	-7.3K	12.17	99.24	30	365	737	533
2016-07-07	$40.16	$40.00	20.4%	13.0%	25.3%	6.9%	44.5%	-3.8%	-27.9%	69.4K	-992.9K	-7.4K	8.67	122.09	42	364	737	537
2016-07-08	$40.80	$40.00	37.9%	4.3%	25.6%	19.1%	15.3%	14.9%	0.7%	89.1K	-1.3M	-7.3K	8.88	100.98	41	364	761	537
2016-07-11	$40.67	$40.00	16.7%	4.6%	25.5%	4.3%	16.1%	2.7%	0.1%	83.6K	-1.3M	-7.1K	8.67	106.34	42	364	761	537
2016-07-12	$41.21	$40.00	68.6%	7.8%	25.7%	40.5%	31.7%	10.8%	-13.6%	71.1K	-1.4M	-7.5K	8.67	125.62	42	364	764	537
2016-07-13	$41.21	$40.00	17.2%	4.9%	25.5%	4.6%	18.4%	1.7%	-2.4%	68.6K	-1.4M	-7.6K	6.91	112.94	54	373	764	537
2016-07-14	$41.50	$40.00	14.2%	4.1%	25.6%	2.6%	13.1%	4.8%	4.6%	82.2K	-1.6M	-7.1K	0.76	109.54	51	39	779	546
2016-07-15	$41.36	$35.00	15.1%	4.3%	25.6%	3.2%	13.1%	10.1%	4.2%	86.6K	-1.6M	-7.2K	1.20	115.76	44	53	799	547
2016-07-18	$41.25	$35.00	19.8%	5.7%	25.5%	6.5%	20.9%	12.8%	-3.7%	83.9K	-1.5M	-7.3K	1.34	115.50	38	51	774	557
2016-07-19	$41.19	$35.00	17.4%	5.0%	25.6%	4.8%	17.4%	8.7%	-0.4%	84.6K	-1.4M	-7.4K	1.34	112.43	38	51	784	557
2016-07-20	$41.21	$35.00	14.4%	4.1%	25.4%	2.7%	14.2%	1.2%	2.7%	85.7K	-1.5M	-7.3K	1.34	102.67	38	51	784	557
2016-07-21	$41.06	$35.00	15.6%	4.5%	25.5%	3.5%	14.3%	4.2%	3.3%	85.8K	-1.4M	-7.3K	1.34	110.21	38	51	784	557
2016-07-22	$41.28	$35.00	14.0%	4.0%	25.0%	2.4%	12.1%	-0.2%	4.9%	95.6K	-1.5M	-7.1K	1.34	109.74	38	51	784	557
2016-07-25	$41.12	$35.00	13.4%	3.8%	21.2%	2.0%	12.1%	2.9%	5.5%	87.9K	-1.5M	-7.0K	1.34	104.56	38	51	784	557
2016-07-26	$41.30	$35.00	14.9%	4.3%	17.8%	3.1%	14.0%	-38.3%	3.6%	95.2K	-1.5M	-6.9K	0.49	113.00	104	51	784	557
2016-07-27	$41.20	$35.00	15.3%	4.4%	17.3%	3.4%	13.9%	0.9%	3.1%	97.1K	-1.5M	-7.1K	0.48	99.77	107	51	850	557
2016-07-28	$41.24	$35.00	20.4%	5.8%	15.4%	6.9%	20.3%	7.4%	-2.9%	95.3K	-1.5M	-7.1K	0.48	107.92	107	51	850	557
2016-07-29	$41.41	$35.00	16.0%	4.6%	12.2%	3.8%	18.0%	-4.8%	0.2%	98.7K	-1.6M	-6.9K	0.62	83.54	91	56	850	557