L Options History — September 2017

In September 2017, L traded between $45.11 and $47.87. ATM implied volatility averaged 15.7%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.2% (HV 20d: 15.9%). 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 15 of 20 days. Put/call ratio averaged 0.18.

Notable Days

2017-09-07: Highest Volume — 894 contracts
2017-09-05: Largest IV spike — 60.3% change
2017-09-11: Highest IV Rank — 58.6%
2017-09-07: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.14	$45.11	$47.87	$46.90	$47.83
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	15.7%	8.9%	24.9%	11.3%	11.8%
Expected Move	4.4%	2.6%	7.5%	3.2%	3.4%
HV 20d	15.9%	9.3%	18.0%	9.3%	15.7%
HV 60d	12.2%	10.4%	13.1%	10.4%	12.0%
IV Rank	26.8%	3.9%	58.6%	12.0%	13.5%
IV Percentile	49.0%	1.6%	93.7%	14.3%	17.5%
Term Structure	1.4%	-3.6%	7.9%	3.3%	1.7%
VWIV	15.4%	10.4%	20.9%	11.0%	12.7%
Skew 25d	4.0%	-4.2%	16.0%	0.5%	-2.9%
Skew 10d	5.0%	-1.4%	23.2%	-0.0%	0.6%
Call IV 25d	13.7%	9.5%	22.2%	10.9%	13.8%
Put IV 25d	17.6%	10.6%	38.2%	11.4%	10.8%
Bid-Ask Spread %	28.94	4.49	85.60	6.90	5.82
Gamma HHI	0.51	0.38	0.80	0.80	0.64
Net GEX	87.9K	2.0K	133.4K	20.3K	130.8K
Net DEX	-1.6M	-2.4M	-666.7K	-1.0M	-1.7M
Net VEX	-8.1K	-10.2K	-4.1K	-4.1K	-9.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.04	0.54	0.13	0.12
Total Volume	513.8	120	894	120	456
Total OI	1,442.75	947	1,902	947	1,425

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
2017-09-01	$46.90	$45.00	11.3%	3.2%	9.3%	12.0%	11.0%	0.5%	3.3%	20.3K	-1.0M	-4.1K	0.13	6.90	106	14	684	263
2017-09-05	$45.82	$45.00	18.2%	4.7%	11.9%	35.4%	16.1%	-0.4%	-1.3%	2.0K	-666.7K	-4.3K	0.54	9.61	112	61	685	263
2017-09-06	$46.17	$45.00	19.6%	4.8%	12.5%	40.4%	15.0%	1.1%	0.4%	11.4K	-814.7K	-4.3K	0.12	12.65	546	64	687	263
2017-09-07	$45.11	$45.00	20.6%	7.5%	14.4%	43.8%	20.9%	16.0%	-3.3%	51.2K	-762.3K	-7.3K	0.28	48.72	700	194	1,129	267
2017-09-08	$45.95	$45.00	19.5%	5.4%	16.5%	40.1%	18.0%	-0.1%	-0.2%	3.1K	-1.2M	-7.2K	0.04	18.46	473	17	1,289	447
2017-09-11	$46.69	$45.00	24.9%	5.5%	17.7%	58.6%	14.1%	8.5%	0.3%	48.2K	-1.7M	-7.5K	0.07	25.15	480	36	1,356	453
2017-09-12	$46.90	$45.00	21.0%	5.5%	17.8%	45.0%	17.1%	8.7%	-0.3%	74.7K	-2.0M	-7.2K	0.11	50.04	571	65	1,348	454
2017-09-13	$47.11	$45.00	18.6%	5.3%	17.9%	37.0%	16.2%	8.5%	0.5%	89.8K	-2.2M	-7.6K	0.13	53.51	503	65	1,408	484
2017-09-14	$47.23	$45.00	19.1%	5.5%	18.0%	38.5%	12.3%	8.8%	0.2%	98.4K	-2.3M	-7.7K	0.15	26.06	461	69	1,410	484
2017-09-15	$47.47	$45.00	18.7%	5.4%	17.1%	37.1%	17.1%	1.3%	1.3%	105.1K	-2.4M	-8.0K	0.16	19.19	498	78	1,416	486
2017-09-18	$47.48	$45.00	18.2%	5.2%	17.1%	35.5%	18.2%	1.3%	-3.6%	115.8K	-1.6M	-8.6K	0.26	39.76	462	119	1,008	177
2017-09-19	$47.67	$45.00	12.5%	3.6%	17.1%	16.1%	18.2%	2.7%	1.7%	124.5K	-1.8M	-10.0K	0.14	17.13	513	70	1,097	223
2017-09-20	$47.81	$45.00	12.8%	3.7%	17.0%	17.0%	14.6%	4.5%	1.8%	124.6K	-1.7M	-9.7K	0.21	85.60	419	90	1,097	243
2017-09-21	$47.70	$45.00	8.9%	2.6%	17.0%	3.9%	18.8%	7.1%	7.9%	121.0K	-1.7M	-9.7K	0.21	28.73	421	90	1,099	244
2017-09-22	$47.65	$45.00	9.2%	2.7%	16.8%	4.9%	17.4%	7.2%	7.7%	118.4K	-1.6M	-9.7K	0.20	63.12	441	90	1,103	244
2017-09-25	$47.78	$45.00	10.6%	3.0%	16.7%	9.5%	12.3%	10.2%	7.2%	129.5K	-1.7M	-9.6K	0.23	32.05	442	101	1,124	244
2017-09-26	$47.87	$45.00	12.5%	3.6%	15.9%	16.0%	10.4%	4.5%	1.3%	133.4K	-1.8M	-9.9K	0.14	4.49	437	63	1,127	284
2017-09-27	$47.85	$45.00	12.6%	3.6%	15.7%	16.4%	13.4%	-4.2%	0.9%	126.3K	-1.7M	-10.2K	0.15	16.01	416	63	1,128	286
2017-09-28	$47.76	$45.00	12.5%	3.6%	15.7%	16.0%	13.3%	-4.1%	0.9%	129.4K	-1.6M	-10.1K	0.15	15.72	407	63	1,140	286
2017-09-29	$47.83	$45.00	11.8%	3.4%	15.7%	13.5%	12.7%	-2.9%	1.7%	130.8K	-1.7M	-9.9K	0.12	5.82	407	49	1,139	286