L Options History — February 2018

In February 2018, L traded between $46.18 and $51.55. ATM implied volatility averaged 21.9%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.4% (HV 20d: 25.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2018-02-16: Highest Volume — 1,471 contracts
2018-02-08: Largest IV spike — 40.9% change
2018-02-06: Highest IV Rank — 86.2%
2018-02-09: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.17	$46.18	$51.55	$51.55	$49.42
Max Pain	$49.21	$45.00	$50.00	$45.00	$50.00
ATM IV	21.9%	17.3%	31.3%	19.0%	18.8%
Expected Move	6.0%	4.9%	8.9%	4.9%	5.4%
HV 20d	25.2%	13.3%	28.7%	13.3%	28.4%
HV 60d	16.6%	10.2%	18.7%	10.2%	18.7%
IV Rank	52.4%	36.0%	86.2%	42.1%	41.5%
IV Percentile	89.1%	78.2%	99.6%	87.3%	83.3%
Term Structure	-1.6%	-8.3%	0.4%	-0.4%	-0.8%
VWIV	20.4%	15.5%	27.6%	15.5%	18.8%
Skew 25d	6.3%	-0.1%	24.7%	2.6%	-0.1%
Skew 10d	12.4%	0.4%	50.7%	7.9%	0.4%
Call IV 25d	18.9%	13.7%	26.5%	15.7%	18.0%
Put IV 25d	25.2%	17.4%	38.6%	18.3%	17.9%
Bid-Ask Spread %	58.28	13.05	97.61	41.31	29.09
Gamma HHI	0.55	0.42	0.72	0.63	0.57
Net GEX	509.2K	197.2K	1.0M	624.9K	425.1K
Net DEX	-3.1M	-7.8M	-919.9K	-4.4M	-2.1M
Net VEX	-18.8K	-24.1K	-13.3K	-20.2K	-19.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.14	3.19	0.65	0.86
Total Volume	529.579	206	1,471	225	279
Total OI	4,680.053	3,967	6,162	4,014	3,967

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
2018-02-01	$51.55	$45.00	19.0%	4.9%	13.3%	42.1%	15.5%	2.6%	-0.4%	624.9K	-4.4M	-20.2K	0.65	41.31	136	89	3,685	329
2018-02-02	$50.88	$45.00	21.4%	5.1%	14.2%	50.7%	17.5%	2.3%	-0.7%	535.8K	-3.5M	-18.2K	0.51	49.40	136	70	3,704	339
2018-02-05	$48.49	$45.00	24.9%	5.8%	22.2%	63.4%	19.8%	6.8%	-3.4%	289.8K	-1.7M	-14.6K	1.05	97.61	147	154	3,754	338
2018-02-06	$47.79	$50.00	31.3%	6.0%	22.7%	86.2%	21.7%	4.1%	-3.2%	197.2K	-919.9K	-13.3K	0.22	77.73	516	116	3,738	409
2018-02-07	$48.05	$50.00	20.4%	5.8%	22.4%	47.0%	20.5%	3.2%	-1.4%	290.6K	-1.5M	-15.8K	0.14	36.86	694	100	4,057	420
2018-02-08	$46.18	$50.00	28.7%	8.2%	25.8%	76.8%	26.6%	5.7%	-5.4%	251.2K	-1.1M	-14.5K	0.19	72.90	743	140	4,471	417
2018-02-09	$46.70	$50.00	31.1%	8.9%	26.2%	85.5%	27.6%	6.5%	-8.3%	373.5K	-1.9M	-17.5K	0.60	79.34	285	170	5,027	435
2018-02-12	$47.49	$50.00	27.6%	7.9%	25.3%	72.8%	24.2%	5.0%	-1.4%	427.1K	-1.8M	-15.8K	0.40	57.42	391	158	5,128	518
2018-02-13	$48.16	$50.00	23.9%	6.9%	26.2%	59.8%	24.7%	6.7%	-2.9%	591.3K	-3.2M	-20.9K	0.65	74.79	238	154	5,283	520
2018-02-14	$48.87	$50.00	19.3%	5.5%	26.9%	43.3%	19.9%	3.4%	-0.3%	873.0K	-3.4M	-19.7K	1.61	62.28	197	318	5,400	521
2018-02-15	$49.80	$50.00	20.0%	5.7%	28.0%	45.6%	20.4%	2.1%	-1.0%	1.0M	-5.5M	-24.1K	1.66	74.13	219	364	5,402	713
2018-02-16	$50.15	$50.00	18.1%	5.2%	28.2%	38.7%	18.0%	8.5%	-0.1%	584.0K	-7.8M	-22.0K	0.32	69.00	1,113	358	5,413	749
2018-02-20	$49.96	$50.00	19.8%	5.7%	28.0%	44.9%	19.8%	8.2%	-1.1%	496.8K	-3.1M	-20.4K	1.26	34.66	256	322	3,308	711
2018-02-21	$49.79	$50.00	19.5%	5.6%	28.0%	44.1%	19.6%	9.4%	-1.2%	534.8K	-3.6M	-21.9K	1.20	57.98	269	322	3,381	708
2018-02-22	$49.63	$50.00	18.9%	5.4%	27.9%	41.9%	19.4%	8.6%	-0.1%	500.7K	-2.9M	-20.5K	3.19	55.68	101	322	3,343	708
2018-02-23	$50.36	$50.00	17.3%	5.0%	28.6%	36.0%	17.3%	9.1%	0.4%	573.3K	-3.6M	-19.9K	0.51	54.25	223	113	3,341	708
2018-02-26	$50.68	$50.00	18.3%	5.2%	28.6%	39.5%	18.3%	24.7%	-0.3%	568.9K	-4.0M	-19.1K	0.49	69.79	282	139	3,291	712
2018-02-27	$50.27	$50.00	17.3%	5.0%	28.7%	36.0%	17.3%	2.2%	0.1%	514.9K	-3.5M	-19.6K	0.49	13.05	288	140	3,238	735
2018-02-28	$49.42	$50.00	18.8%	5.4%	28.4%	41.5%	18.8%	-0.1%	-0.8%	425.1K	-2.1M	-19.2K	0.86	29.09	150	129	3,230	737