L Options History — April 2017

In April 2017, L traded between $45.80 and $47.51. ATM implied volatility averaged 16.3%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.2% (HV 20d: 10.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2017-04-28: Highest Volume — 343 contracts
2017-04-26: Largest IV spike — 93.2% change
2017-04-28: Highest IV Rank — 22.6%
2017-04-28: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.80	$45.80	$47.51	$46.71	$46.64
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	16.3%	10.6%	22.5%	10.6%	22.5%
Expected Move	4.7%	3.0%	6.5%	3.0%	6.5%
HV 20d	10.1%	8.6%	12.7%	8.6%	12.7%
HV 60d	10.3%	9.5%	10.8%	10.6%	10.8%
IV Rank	10.5%	1.1%	22.6%	1.1%	22.6%
IV Percentile	48.2%	1.6%	92.5%	1.6%	92.5%
Term Structure	-2.1%	-57.4%	13.5%	2.1%	-57.4%
VWIV	17.0%	11.1%	55.3%	11.2%	55.3%
Skew 25d	2.5%	-53.2%	29.6%	-0.8%	-53.2%
Skew 10d	14.5%	-19.6%	104.3%	0.1%	-19.6%
Call IV 25d	17.0%	9.9%	75.5%	12.9%	75.5%
Put IV 25d	19.6%	11.7%	45.7%	12.2%	22.4%
Bid-Ask Spread %	95.75	39.20	124.97	106.86	56.69
Gamma HHI	0.54	0.50	0.62	0.52	0.59
Net GEX	56.9K	46.5K	68.8K	54.2K	68.8K
Net DEX	-958.9K	-1.1M	-683.0K	-913.5K	-1.1M
Net VEX	-4.2K	-4.6K	-3.7K	-4.6K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.49	1.28	0.49	0.49
Total Volume	123.579	86	343	109	343
Total OI	641.842	627	719	629	719

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
2017-04-03	$46.71	$45.00	10.6%	3.0%	8.6%	1.1%	11.2%	-0.8%	2.1%	54.2K	-913.5K	-4.6K	0.49	106.86	73	36	481	148
2017-04-04	$47.07	$45.00	11.2%	3.2%	9.0%	1.5%	12.0%	-0.0%	1.9%	58.1K	-979.5K	-4.4K	0.49	105.69	73	36	481	146
2017-04-05	$47.03	$45.00	14.5%	4.2%	9.0%	3.8%	23.4%	-9.8%	-4.5%	63.6K	-1.0M	-4.6K	0.72	85.69	50	36	481	146
2017-04-06	$47.27	$45.00	14.9%	4.4%	9.1%	4.1%	11.2%	7.5%	3.2%	58.4K	-1.0M	-4.4K	0.63	105.22	57	36	486	146
2017-04-07	$47.19	$45.00	13.5%	4.0%	9.1%	3.1%	11.3%	4.4%	2.9%	58.7K	-1.1M	-4.2K	0.60	103.54	57	34	486	146
2017-04-10	$47.41	$45.00	14.6%	4.5%	9.3%	3.8%	11.1%	7.0%	4.3%	56.7K	-1.1M	-4.3K	0.60	102.96	57	34	486	146
2017-04-11	$47.14	$45.00	16.6%	4.3%	9.5%	5.2%	11.2%	6.6%	3.7%	58.9K	-1.0M	-4.2K	0.64	103.68	53	34	486	146
2017-04-12	$46.68	$45.00	17.8%	5.1%	9.7%	14.8%	12.5%	7.4%	-0.7%	57.3K	-1.0M	-4.4K	0.64	114.09	53	34	487	146
2017-04-13	$46.27	$45.00	15.5%	4.4%	10.0%	10.8%	14.2%	5.3%	2.4%	55.7K	-820.6K	-4.2K	0.64	104.34	53	34	487	146
2017-04-17	$46.27	$45.00	16.6%	4.7%	10.0%	12.6%	13.6%	3.7%	1.6%	53.8K	-833.5K	-4.2K	0.64	100.89	53	34	487	146
2017-04-18	$46.21	$45.00	19.4%	5.5%	9.9%	17.3%	18.4%	29.6%	13.5%	46.5K	-683.0K	-4.0K	1.28	124.97	54	69	487	154
2017-04-19	$45.80	$45.00	15.9%	4.6%	9.4%	11.5%	16.4%	5.0%	2.2%	53.9K	-700.7K	-4.1K	1.25	110.37	57	71	488	157
2017-04-20	$46.13	$45.00	19.2%	5.5%	9.7%	17.1%	18.8%	14.6%	-2.9%	52.8K	-743.7K	-4.1K	1.25	108.89	57	71	496	163
2017-04-21	$46.06	$45.00	18.7%	5.4%	9.7%	16.3%	17.8%	13.6%	-2.4%	50.7K	-763.8K	-4.2K	1.20	110.14	55	66	496	163
2017-04-24	$47.04	$45.00	18.0%	5.2%	12.1%	15.1%	15.7%	5.7%	-6.8%	59.0K	-984.8K	-3.9K	1.25	72.20	53	66	468	164
2017-04-25	$47.36	$45.00	11.5%	3.3%	12.2%	4.0%	14.9%	-4.1%	0.3%	55.0K	-1.1M	-3.7K	1.20	92.26	55	66	468	164
2017-04-26	$47.51	$45.00	22.1%	6.3%	11.7%	22.0%	17.7%	2.0%	-4.1%	57.5K	-1.1M	-3.8K	0.75	71.60	88	66	465	164
2017-04-27	$47.39	$45.00	16.2%	4.7%	11.8%	12.0%	16.8%	3.6%	1.7%	60.8K	-1.1M	-3.8K	0.56	39.20	118	66	505	164
2017-04-28	$46.64	$45.00	22.5%	6.5%	12.7%	22.6%	55.3%	-53.2%	-57.4%	68.8K	-1.1M	-4.3K	0.49	56.69	230	113	555	164