L Options History — December 2018

In December 2018, L traded between $42.76 and $48.39. ATM implied volatility averaged 26.7%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.7% (HV 20d: 22.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 4.47.

Notable Days

2018-12-07: Highest Volume — 408 contracts
2018-12-04: Largest IV spike — 69.1% change
2018-12-10: Highest IV Rank — 76.1%
2018-12-27: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.35	$42.76	$48.39	$48.39	$45.41
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	26.7%	15.1%	31.1%	15.1%	27.1%
Expected Move	7.4%	4.3%	8.9%	4.3%	7.8%
HV 20d	22.1%	20.3%	27.0%	27.0%	23.9%
HV 60d	23.7%	22.6%	25.2%	22.6%	25.2%
IV Rank	59.9%	17.0%	76.1%	17.0%	61.4%
IV Percentile	90.3%	36.9%	98.4%	36.9%	91.3%
Term Structure	-0.2%	-2.0%	9.1%	-0.6%	2.0%
VWIV	28.8%	22.4%	42.5%	33.2%	27.3%
Skew 25d	6.6%	2.2%	12.5%	2.7%	6.4%
Skew 10d	10.9%	3.2%	20.7%	5.7%	8.6%
Call IV 25d	22.5%	18.4%	31.4%	18.4%	19.4%
Put IV 25d	29.1%	21.1%	36.2%	21.1%	25.8%
Bid-Ask Spread %	86.23	65.09	104.15	65.09	91.37
Gamma HHI	0.53	0.36	0.69	0.44	0.69
Net GEX	-154.1K	-255.8K	69.6K	69.6K	-160.2K
Net DEX	5.6M	2.1M	6.9M	2.1M	5.7M
Net VEX	-17.9K	-26.0K	-11.0K	-26.0K	-15.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.47	0.00	50.00	0.00	0.72
Total Volume	145.9	0	408	209	0
Total OI	3,911.2	2,556	4,452	4,452	2,727

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
2018-12-03	$48.39	$45.00	15.1%	4.3%	27.0%	17.0%	33.2%	2.7%	-0.6%	69.6K	2.1M	-26.0K	0.00	65.09	208	1	1,797	2,655
2018-12-04	$47.01	$45.00	25.5%	7.3%	22.1%	55.5%	38.9%	2.9%	-1.4%	-86.9K	4.5M	-23.2K	0.01	78.02	212	3	1,640	2,656
2018-12-05	$46.98	$45.00	25.5%	7.3%	21.6%	55.3%	42.5%	2.2%	0.4%	-160.6K	5.0M	-22.1K	0.01	80.11	220	3	1,640	2,656
2018-12-06	$46.87	$45.00	27.4%	7.0%	21.2%	62.3%	22.7%	5.0%	-1.1%	-109.7K	4.9M	-22.5K	0.10	83.04	179	18	1,649	2,655
2018-12-07	$46.54	$45.00	29.5%	7.1%	21.1%	70.2%	22.9%	5.8%	-1.6%	-81.8K	4.4M	-23.3K	0.04	84.06	391	17	1,677	2,652
2018-12-10	$45.27	$45.00	31.1%	7.2%	22.4%	76.1%	24.4%	5.8%	-0.6%	-160.2K	5.8M	-18.8K	0.05	82.80	98	5	1,677	2,646
2018-12-11	$44.95	$45.00	30.1%	7.2%	21.9%	72.2%	24.2%	6.3%	-0.6%	-175.8K	6.0M	-17.5K	0.14	83.23	98	14	1,678	2,648
2018-12-12	$45.30	$45.00	24.5%	7.0%	22.3%	51.7%	22.4%	6.3%	-0.6%	-189.4K	5.8M	-18.4K	0.14	77.87	102	14	1,678	2,642
2018-12-13	$45.47	$45.00	24.5%	7.0%	21.5%	51.8%	22.9%	6.5%	-0.7%	-218.4K	5.8M	-17.8K	0.36	78.37	101	36	1,684	2,640
2018-12-14	$45.02	$45.00	24.7%	7.1%	21.4%	52.6%	25.9%	5.5%	-0.6%	-196.7K	5.9M	-17.1K	0.25	78.72	118	30	1,689	2,640
2018-12-17	$44.84	$45.00	26.0%	7.4%	20.7%	57.2%	29.6%	6.4%	-1.8%	-205.0K	6.0M	-16.8K	0.00	78.04	0	21	1,696	2,632
2018-12-18	$45.09	$45.00	26.2%	7.5%	20.9%	58.0%	26.5%	11.7%	-1.2%	-211.0K	6.1M	-16.1K	18.50	91.08	2	37	1,696	2,630
2018-12-19	$44.89	$45.00	27.1%	7.8%	20.7%	61.2%	26.6%	11.3%	-0.6%	-198.0K	6.0M	-16.3K	50.00	96.64	2	100	1,696	2,651
2018-12-20	$44.58	$45.00	26.4%	7.6%	20.7%	58.5%	32.9%	8.9%	-1.1%	-255.8K	6.4M	-16.0K	4.00	95.06	13	52	1,696	2,676
2018-12-21	$43.99	$45.00	26.3%	7.6%	20.9%	58.5%	28.8%	5.3%	-1.3%	-158.6K	6.9M	-13.9K	3.09	93.55	22	68	1,706	2,691
2018-12-24	$42.76	$45.00	28.7%	8.2%	20.3%	67.2%	31.2%	3.1%	9.1%	-124.1K	6.8M	-11.0K	0.19	96.06	140	26	494	2,064
2018-12-26	$44.20	$45.00	30.8%	8.8%	24.4%	75.0%	34.1%	12.5%	-0.8%	-153.1K	6.2M	-14.3K	2.41	92.57	29	70	526	2,065
2018-12-27	$44.69	$45.00	30.9%	8.9%	23.1%	75.2%	31.0%	12.2%	-2.0%	-148.3K	6.1M	-13.9K	0.42	94.69	189	79	532	2,024
2018-12-28	$44.76	$45.00	27.0%	7.8%	23.0%	61.0%	27.3%	5.5%	0.1%	-158.0K	5.4M	-17.6K	0.72	104.15	116	84	700	2,023
2018-12-31	$45.41	$45.00	27.1%	7.8%	23.9%	61.4%	0.0%	6.4%	2.0%	-160.2K	5.7M	-15.9K	0.00	91.37	0	0	706	2,021