L Options History — December 2017

In December 2017, L traded between $49.46 and $50.66. ATM implied volatility averaged 12.5%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.0% (HV 20d: 8.5%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2017-12-04: Highest Volume — 976 contracts
2017-12-11: Largest IV spike — 19.7% change
2017-12-11: Highest IV Rank — 23.7%
2017-12-04: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.96	$49.46	$50.66	$50.45	$50.08
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	12.5%	11.5%	14.3%	12.8%	11.7%
Expected Move	3.6%	3.3%	4.0%	3.7%	3.4%
HV 20d	8.5%	7.2%	9.2%	7.2%	8.4%
HV 60d	9.9%	9.5%	10.2%	10.2%	10.1%
IV Rank	17.7%	14.2%	23.7%	18.6%	15.1%
IV Percentile	29.3%	20.2%	46.8%	31.3%	20.2%
Term Structure	2.7%	0.7%	5.9%	1.0%	3.2%
VWIV	12.5%	11.5%	13.8%	12.8%	11.7%
Skew 25d	3.3%	-16.4%	46.4%	1.7%	25.5%
Skew 10d	5.5%	-25.9%	74.2%	4.4%	42.6%
Call IV 25d	12.2%	9.1%	29.7%	12.9%	11.6%
Put IV 25d	15.5%	11.0%	56.5%	14.6%	37.0%
Bid-Ask Spread %	24.10	7.15	82.22	9.89	16.13
Gamma HHI	0.75	0.47	0.99	0.97	0.55
Net GEX	2.5M	110.1K	7.3M	3.6M	155.9K
Net DEX	-6.7M	-18.9M	1.0M	-17.7M	-1.5M
Net VEX	-15.5K	-29.3K	-9.2K	-29.3K	-9.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.15	2.23	0.31	0.81
Total Volume	362.95	113	976	623	179
Total OI	4,203.5	1,242	7,025	7,025	1,318

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
2017-12-01	$50.45	$50.00	12.8%	3.7%	7.2%	18.6%	12.8%	1.7%	1.0%	3.6M	-17.7M	-29.3K	0.31	9.89	477	146	6,396	629
2017-12-04	$50.66	$50.00	13.2%	4.0%	7.3%	19.9%	13.8%	3.8%	1.7%	3.7M	-18.9M	-25.4K	0.17	35.55	836	140	6,238	685
2017-12-05	$50.14	$50.00	12.7%	3.8%	8.3%	18.4%	13.3%	1.9%	2.2%	4.1M	-13.6M	-25.5K	0.76	23.57	269	204	5,918	695
2017-12-06	$49.94	$50.00	12.3%	3.8%	8.2%	17.1%	13.1%	1.3%	1.9%	4.2M	-11.3M	-24.9K	0.40	38.25	277	112	5,821	823
2017-12-07	$49.99	$50.00	12.6%	3.5%	8.2%	18.1%	12.0%	46.4%	0.7%	4.4M	-11.0M	-23.6K	0.31	70.44	326	100	5,766	840
2017-12-08	$49.81	$50.00	11.9%	3.6%	8.2%	15.8%	12.7%	1.1%	2.2%	4.7M	-9.2M	-22.4K	0.29	23.75	359	105	5,765	845
2017-12-11	$50.04	$50.00	14.3%	3.7%	8.3%	23.7%	13.0%	1.4%	2.3%	5.4M	-12.1M	-19.6K	0.44	25.35	209	91	5,845	855
2017-12-12	$50.34	$50.00	13.6%	3.7%	8.1%	21.2%	12.9%	2.4%	2.3%	5.9M	-16.7M	-17.1K	0.15	39.19	590	91	5,827	861
2017-12-13	$49.89	$50.00	12.5%	3.6%	8.7%	17.8%	12.5%	-16.4%	5.9%	7.3M	-8.6M	-16.0K	0.29	82.22	377	109	5,441	860
2017-12-14	$49.46	$50.00	12.4%	3.6%	9.2%	17.5%	12.4%	0.1%	2.7%	4.5M	-2.8M	-12.4K	0.35	8.84	304	107	5,292	884
2017-12-15	$49.71	$50.00	13.1%	3.7%	8.5%	19.6%	13.1%	0.7%	1.8%	110.1K	1.0M	-9.5K	0.15	28.76	662	97	5,270	901
2017-12-18	$49.99	$50.00	12.2%	3.5%	8.7%	16.8%	12.2%	0.7%	3.6%	113.4K	-1.3M	-9.4K	0.99	7.15	79	78	918	324
2017-12-19	$49.65	$50.00	13.2%	3.8%	9.0%	20.0%	13.2%	-1.0%	3.2%	115.3K	-1.2M	-9.3K	2.23	15.23	35	78	946	324
2017-12-20	$49.54	$50.00	11.9%	3.4%	9.0%	15.8%	11.9%	0.6%	3.1%	121.9K	-1.2M	-9.3K	2.08	10.76	38	79	947	324
2017-12-21	$49.76	$50.00	11.5%	3.3%	9.1%	14.2%	11.5%	0.2%	2.8%	126.4K	-1.3M	-9.3K	1.27	9.68	63	80	951	325
2017-12-22	$49.68	$50.00	12.1%	3.5%	9.2%	16.3%	12.1%	-0.1%	3.4%	136.2K	-1.3M	-9.4K	1.51	7.97	53	80	977	325
2017-12-26	$49.90	$50.00	11.7%	3.4%	9.0%	15.0%	11.7%	-4.9%	3.2%	144.2K	-1.4M	-9.2K	1.29	10.47	62	80	978	325
2017-12-27	$49.99	$50.00	12.2%	3.5%	8.5%	16.7%	12.2%	0.7%	2.8%	147.2K	-1.5M	-9.2K	1.23	8.79	65	80	989	325
2017-12-28	$50.14	$50.00	12.2%	3.5%	8.4%	16.6%	12.2%	0.9%	3.1%	153.1K	-1.6M	-9.4K	1.29	9.92	62	80	992	325
2017-12-29	$50.08	$50.00	11.7%	3.4%	8.4%	15.1%	11.7%	25.5%	3.2%	155.9K	-1.5M	-9.2K	0.81	16.13	99	80	993	325