L Options History — February 2017

In February 2017, L traded between $46.21 and $47.41. ATM implied volatility averaged 16.8%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 6.3% (HV 20d: 10.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2017-02-03: Highest Volume — 752 contracts
2017-02-22: Largest IV spike — 135.1% change
2017-02-22: Highest IV Rank — 13.5%
2017-02-22: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.78	$46.21	$47.41	$46.28	$46.94
Max Pain	$40.26	$40.00	$45.00	$45.00	$40.00
ATM IV	16.8%	12.2%	28.6%	20.0%	16.7%
Expected Move	4.6%	3.5%	8.2%	5.7%	4.8%
HV 20d	10.5%	6.9%	12.6%	12.6%	6.9%
HV 60d	10.9%	10.5%	12.1%	12.1%	10.5%
IV Rank	5.4%	2.2%	13.5%	7.5%	5.3%
IV Percentile	40.7%	5.2%	94.8%	74.6%	50.4%
Term Structure	3.1%	-16.6%	16.9%	1.8%	11.2%
VWIV	15.7%	9.7%	28.9%	20.8%	16.6%
Skew 25d	5.4%	-3.4%	16.7%	5.4%	8.4%
Skew 10d	15.3%	-4.5%	47.5%	9.0%	10.8%
Call IV 25d	12.7%	9.1%	20.0%	17.0%	11.7%
Put IV 25d	18.1%	12.4%	30.6%	22.4%	20.2%
Bid-Ask Spread %	103.10	77.33	128.45	107.14	125.13
Gamma HHI	0.75	0.44	0.92	0.89	0.71
Net GEX	130.4K	81.5K	175.6K	167.1K	158.5K
Net DEX	-4.2M	-4.7M	-3.5M	-3.8M	-4.5M
Net VEX	-7.6K	-9.9K	-6.0K	-8.7K	-6.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.17	1.14	0.62	0.29
Total Volume	460.421	96	752	128	235
Total OI	2,004	1,585	2,284	1,585	1,787

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
2017-02-01	$46.28	$45.00	20.0%	5.7%	12.6%	7.5%	20.8%	5.4%	1.8%	167.1K	-3.8M	-8.7K	0.62	107.14	79	49	1,236	349
2017-02-02	$46.21	$40.00	18.6%	5.4%	12.5%	6.6%	17.0%	16.7%	1.8%	175.6K	-3.7M	-8.6K	0.69	97.95	74	51	1,242	349
2017-02-03	$46.61	$40.00	21.7%	5.2%	12.6%	8.7%	18.8%	7.6%	1.9%	163.2K	-4.1M	-8.0K	1.14	98.68	352	400	1,243	354
2017-02-06	$46.45	$40.00	21.6%	4.2%	12.4%	8.6%	16.6%	-3.0%	4.2%	81.5K	-3.5M	-9.9K	0.89	77.33	346	309	1,578	688
2017-02-07	$46.38	$40.00	17.4%	3.9%	12.0%	5.8%	13.7%	4.3%	5.3%	85.7K	-4.0M	-8.8K	0.84	89.28	368	309	1,591	693
2017-02-08	$46.24	$40.00	16.5%	4.7%	12.0%	5.1%	16.3%	15.3%	-0.9%	95.8K	-3.7M	-9.1K	0.71	86.31	385	275	1,591	693
2017-02-09	$46.21	$40.00	15.6%	4.5%	11.9%	4.5%	15.3%	6.4%	1.3%	87.6K	-3.7M	-8.7K	0.72	97.42	380	275	1,580	693
2017-02-10	$46.51	$40.00	14.5%	4.2%	12.0%	3.8%	12.0%	2.5%	2.5%	118.8K	-4.0M	-7.9K	0.71	101.08	389	275	1,581	692
2017-02-13	$46.84	$40.00	13.0%	3.7%	12.2%	2.8%	11.1%	5.4%	5.8%	131.2K	-4.3M	-7.3K	0.75	102.97	368	275	1,581	692
2017-02-14	$46.99	$40.00	15.5%	4.4%	11.5%	4.5%	17.9%	4.1%	16.9%	89.2K	-4.1M	-8.0K	0.76	128.45	364	275	1,576	692
2017-02-15	$47.22	$40.00	13.6%	3.9%	10.9%	3.1%	10.9%	6.4%	6.6%	138.4K	-4.6M	-6.8K	0.75	105.27	369	275	1,575	692
2017-02-16	$47.05	$40.00	14.6%	4.2%	9.9%	3.8%	9.7%	6.3%	4.4%	120.4K	-4.5M	-6.5K	0.75	99.46	369	275	1,566	692
2017-02-17	$46.96	$40.00	14.9%	4.3%	9.8%	4.0%	16.4%	-2.9%	2.1%	160.3K	-4.5M	-6.4K	0.84	91.83	329	275	1,566	692
2017-02-21	$47.17	$40.00	12.2%	3.5%	9.8%	2.2%	13.3%	3.3%	10.6%	136.9K	-4.5M	-6.0K	0.85	108.94	52	44	1,271	451
2017-02-22	$47.13	$40.00	28.6%	8.2%	8.0%	13.5%	28.9%	-3.4%	-16.6%	132.6K	-4.1M	-7.0K	0.42	125.73	111	47	1,271	451
2017-02-23	$47.41	$40.00	15.2%	4.4%	7.8%	4.3%	12.9%	9.5%	-0.6%	140.0K	-4.5M	-7.1K	0.39	95.51	116	45	1,341	453
2017-02-24	$47.23	$40.00	15.1%	4.3%	7.9%	4.2%	14.8%	9.4%	4.7%	144.0K	-4.5M	-7.0K	0.17	114.00	259	45	1,335	452
2017-02-27	$47.03	$40.00	14.8%	4.2%	7.3%	4.0%	16.1%	0.5%	-4.9%	150.4K	-4.7M	-6.3K	0.17	106.37	259	45	1,335	452
2017-02-28	$46.94	$40.00	16.7%	4.8%	6.9%	5.3%	16.6%	8.4%	11.2%	158.5K	-4.5M	-6.5K	0.29	125.13	182	53	1,335	452