L Options History — July 2017

Name: L Options Analytics - July 2017
Creator: Options Analysis Suite

In July 2017, L traded between $46.75 and $48.69. ATM implied volatility averaged 15.0%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.4% (HV 20d: 10.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.75.

Notable Days

2017-07-28: Highest Volume — 353 contracts
2017-07-26: Largest IV spike — 153.9% change
2017-07-26: Highest IV Rank — 73.9%
2017-07-26: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.54	$46.75	$48.69	$47.40	$48.69
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	15.0%	10.5%	29.8%	13.4%	10.5%
Expected Move	4.5%	3.0%	8.5%	3.8%	3.0%
HV 20d	10.6%	9.2%	12.2%	11.5%	9.8%
HV 60d	11.4%	10.4%	12.1%	11.9%	10.5%
IV Rank	18.1%	5.2%	73.9%	7.3%	5.2%
IV Percentile	34.0%	2.8%	96.4%	19.8%	2.8%
Term Structure	-0.8%	-4.6%	4.9%	4.9%	-0.9%
VWIV	14.0%	10.2%	24.5%	10.6%	10.4%
Skew 25d	8.5%	-1.4%	64.0%	-1.1%	64.0%
Skew 10d	12.7%	-34.4%	76.3%	-0.7%	71.1%
Call IV 25d	13.0%	9.0%	26.1%	11.5%	26.1%
Put IV 25d	21.6%	10.4%	90.0%	10.4%	90.0%
Bid-Ask Spread %	46.09	10.63	100.83	23.79	60.25
Gamma HHI	0.78	0.62	0.87	0.73	0.87
Net GEX	73.2K	53.4K	164.3K	95.0K	164.3K
Net DEX	-1.1M	-1.6M	-920.9K	-1.1M	-1.6M
Net VEX	-5.4K	-5.9K	-4.6K	-5.9K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.26	1.32	0.30	0.99
Total Volume	137.35	69	353	185	265
Total OI	1,088.15	831	1,213	1,126	1,213

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
2017-07-03	$47.40	$45.00	13.4%	3.8%	11.5%	7.3%	10.6%	-1.1%	4.9%	95.0K	-1.1M	-5.9K	0.30	23.79	142	43	914	212
2017-07-05	$47.01	$45.00	13.8%	4.0%	11.6%	8.0%	13.7%	-1.4%	-1.1%	68.7K	-970.4K	-5.9K	0.30	90.78	142	43	936	212
2017-07-06	$46.75	$45.00	12.2%	5.0%	11.7%	5.2%	15.0%	8.2%	-0.6%	61.3K	-927.5K	-5.6K	0.35	22.56	124	43	936	212
2017-07-07	$47.22	$45.00	12.1%	5.0%	12.2%	5.2%	14.4%	8.0%	-1.1%	66.0K	-1.0M	-5.6K	0.38	34.20	112	43	940	212
2017-07-10	$47.23	$45.00	14.9%	4.9%	11.1%	9.9%	16.0%	6.2%	-2.4%	66.0K	-1.1M	-5.7K	0.65	48.37	66	43	940	212
2017-07-11	$46.94	$45.00	13.6%	5.3%	11.1%	7.6%	15.4%	8.5%	-2.2%	60.1K	-962.3K	-5.4K	0.65	12.99	66	43	941	212
2017-07-12	$46.79	$45.00	15.5%	4.4%	11.1%	10.8%	14.0%	6.6%	1.8%	57.0K	-931.9K	-5.3K	1.02	56.08	56	57	941	212
2017-07-13	$46.91	$45.00	18.4%	5.3%	11.1%	33.3%	10.7%	7.9%	-2.0%	56.0K	-920.9K	-5.6K	0.88	99.70	65	57	944	243
2017-07-14	$47.03	$45.00	18.4%	5.3%	10.8%	33.5%	10.2%	8.2%	-2.3%	53.4K	-922.6K	-5.5K	0.88	50.96	65	57	939	243
2017-07-17	$47.13	$45.00	21.3%	6.1%	10.8%	43.6%	11.1%	10.3%	-4.6%	56.5K	-978.1K	-5.6K	1.19	17.09	48	57	939	243
2017-07-18	$47.22	$45.00	19.2%	5.5%	10.8%	36.1%	11.1%	8.5%	-1.8%	56.0K	-958.3K	-5.4K	0.97	10.63	62	60	937	243
2017-07-19	$47.89	$45.00	12.7%	3.6%	11.4%	12.9%	15.7%	2.6%	-1.6%	75.2K	-1.3M	-5.5K	1.15	15.54	52	60	951	246
2017-07-20	$47.81	$45.00	12.0%	3.4%	10.2%	10.5%	15.3%	4.1%	-0.3%	71.7K	-1.3M	-5.5K	1.10	17.44	52	57	955	246
2017-07-21	$47.88	$45.00	11.8%	3.4%	9.4%	9.9%	14.5%	3.2%	-1.1%	73.6K	-1.3M	-5.4K	1.32	30.19	41	54	951	251
2017-07-24	$48.05	$45.00	13.1%	3.7%	9.2%	14.3%	12.2%	11.1%	4.6%	73.6K	-1.2M	-5.3K	1.21	49.56	39	47	586	246
2017-07-25	$48.45	$45.00	11.7%	3.4%	9.2%	9.5%	14.5%	4.2%	-0.8%	87.4K	-1.4M	-4.9K	0.35	89.09	51	18	585	246
2017-07-26	$48.10	$45.00	29.8%	8.5%	9.7%	73.9%	24.5%	2.3%	-1.2%	56.0K	-1.1M	-5.4K	0.30	100.83	60	18	585	246
2017-07-27	$48.03	$45.00	12.4%	3.5%	9.5%	11.8%	14.1%	5.1%	-1.0%	77.2K	-1.2M	-5.2K	0.26	59.84	68	18	595	246
2017-07-28	$48.29	$45.00	13.0%	3.7%	9.5%	14.2%	16.0%	3.9%	-2.9%	89.5K	-1.4M	-5.0K	0.83	31.95	193	160	606	246
2017-07-31	$48.69	$45.00	10.5%	3.0%	9.8%	5.2%	10.4%	64.0%	-0.9%	164.3K	-1.6M	-4.6K	0.99	60.25	133	132	802	411