L Options History — January 2017

In January 2017, L traded between $45.67 and $47.15. ATM implied volatility averaged 19.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 9.1% (HV 20d: 10.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.72.

Notable Days

2017-01-05: Highest Volume — 225 contracts
2017-01-09: Largest IV spike — 119.5% change
2017-01-17: Highest IV Rank — 19.4%
2017-01-17: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.45	$45.67	$47.15	$47.15	$46.48
Max Pain	$47.00	$45.00	$50.00	$45.00	$45.00
ATM IV	19.8%	13.0%	37.1%	13.0%	19.5%
Expected Move	5.6%	3.7%	10.6%	3.7%	5.6%
HV 20d	10.7%	8.2%	12.9%	11.2%	12.9%
HV 60d	15.2%	12.0%	16.0%	15.8%	12.0%
IV Rank	7.4%	2.8%	19.4%	2.8%	7.2%
IV Percentile	60.0%	7.9%	98.0%	7.9%	71.8%
Term Structure	-1.5%	-16.7%	4.0%	-0.0%	0.4%
VWIV	18.9%	13.0%	35.2%	13.0%	20.3%
Skew 25d	5.4%	-4.6%	17.2%	-1.0%	5.8%
Skew 10d	16.5%	-1.6%	43.4%	-1.6%	43.4%
Call IV 25d	15.3%	12.2%	25.5%	13.8%	16.1%
Put IV 25d	20.6%	12.8%	32.2%	12.8%	21.8%
Bid-Ask Spread %	103.22	92.96	117.08	105.56	104.97
Gamma HHI	0.88	0.85	0.92	0.87	0.92
Net GEX	163.8K	137.7K	185.1K	145.4K	175.8K
Net DEX	-3.8M	-4.2M	-3.4M	-4.2M	-3.8M
Net VEX	-9.1K	-9.9K	-8.2K	-9.2K	-8.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.64	2.61	2.15	0.65
Total Volume	176.65	99	225	224	124
Total OI	1,550.15	1,525	1,593	1,542	1,585

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
2017-01-03	$47.15	$45.00	13.0%	3.7%	11.2%	2.8%	13.0%	-1.0%	-0.0%	145.4K	-4.2M	-9.2K	2.15	105.56	71	153	1,241	301
2017-01-04	$46.94	$45.00	18.1%	5.2%	11.4%	6.3%	16.7%	-4.6%	-11.2%	137.7K	-3.9M	-9.8K	2.15	105.96	71	153	1,230	301
2017-01-05	$46.53	$50.00	16.6%	5.3%	10.2%	5.2%	17.6%	2.2%	-0.1%	151.6K	-3.8M	-9.9K	2.17	93.48	71	154	1,230	300
2017-01-06	$46.81	$50.00	14.3%	5.5%	9.8%	3.6%	17.8%	9.1%	-1.1%	158.5K	-3.9M	-9.6K	2.61	99.47	59	154	1,230	302
2017-01-09	$46.37	$50.00	31.4%	5.9%	9.6%	15.5%	19.2%	9.8%	-2.7%	159.7K	-3.7M	-9.6K	2.61	100.71	59	154	1,230	303
2017-01-10	$46.53	$50.00	20.8%	5.5%	9.2%	8.1%	18.4%	11.7%	-1.2%	165.2K	-3.8M	-9.4K	2.61	99.36	59	154	1,230	303
2017-01-11	$46.39	$50.00	20.2%	5.8%	9.1%	7.7%	18.9%	6.7%	-0.8%	153.5K	-3.7M	-9.6K	2.61	92.96	59	154	1,230	303
2017-01-12	$46.17	$50.00	19.4%	5.6%	8.8%	7.2%	19.4%	6.1%	-0.2%	163.0K	-3.6M	-9.7K	2.61	105.66	59	154	1,230	303
2017-01-13	$46.16	$50.00	20.9%	6.0%	8.2%	8.2%	19.8%	6.7%	-2.3%	164.0K	-3.6M	-9.4K	2.61	101.36	59	154	1,230	303
2017-01-17	$45.68	$50.00	37.1%	10.6%	8.6%	19.4%	35.2%	4.3%	-16.7%	176.7K	-3.4M	-9.1K	2.17	117.08	71	154	1,230	303
2017-01-18	$46.23	$45.00	21.9%	6.3%	9.9%	8.9%	21.6%	17.2%	-3.7%	180.1K	-3.7M	-9.1K	0.96	102.99	81	78	1,243	303
2017-01-19	$45.67	$45.00	20.7%	5.9%	10.6%	8.1%	20.3%	4.9%	-2.5%	180.7K	-3.4M	-9.5K	1.46	103.31	70	102	1,255	323
2017-01-20	$45.98	$45.00	18.4%	5.3%	10.8%	6.4%	18.1%	4.3%	-0.9%	185.1K	-3.6M	-9.1K	1.85	101.46	66	122	1,257	336
2017-01-23	$45.96	$45.00	16.7%	4.8%	10.4%	5.3%	17.0%	4.1%	2.0%	182.4K	-3.5M	-9.0K	1.56	104.70	50	78	1,206	319
2017-01-24	$46.74	$45.00	18.6%	5.3%	12.3%	6.6%	18.1%	4.2%	-0.5%	166.5K	-3.9M	-8.5K	0.98	102.61	50	49	1,206	349
2017-01-25	$47.10	$45.00	17.3%	4.9%	12.6%	5.7%	16.5%	5.6%	3.6%	151.8K	-4.1M	-8.2K	0.74	103.10	66	49	1,206	349
2017-01-26	$47.09	$45.00	17.5%	5.0%	12.6%	5.8%	16.6%	6.2%	4.0%	145.1K	-4.1M	-8.4K	0.64	103.47	77	49	1,222	349
2017-01-27	$46.65	$45.00	15.9%	4.6%	12.8%	4.7%	16.4%	3.3%	2.9%	149.5K	-4.2M	-8.2K	0.67	104.59	73	49	1,233	349
2017-01-30	$46.34	$45.00	17.6%	5.0%	12.9%	5.9%	17.8%	1.4%	1.3%	183.5K	-3.7M	-8.5K	0.65	111.65	75	49	1,231	349
2017-01-31	$46.48	$45.00	19.5%	5.6%	12.9%	7.2%	20.3%	5.8%	0.4%	175.8K	-3.8M	-8.5K	0.65	104.97	75	49	1,236	349