L Options History — January 2019

In January 2019, L traded between $44.65 and $48.01. ATM implied volatility averaged 23.7%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.7% (HV 20d: 20.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.19.

Notable Days

2019-01-30: Highest Volume — 237 contracts
2019-01-30: Largest IV spike — 86.2% change
2019-01-03: Highest IV Rank — 67.1%
2019-01-02: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.70	$44.65	$48.01	$45.03	$47.81
Max Pain	$45.24	$45.00	$50.00	$45.00	$50.00
ATM IV	23.7%	12.8%	28.7%	28.6%	17.5%
Expected Move	6.8%	3.7%	8.2%	8.2%	5.5%
HV 20d	20.0%	13.3%	24.0%	23.7%	13.3%
HV 60d	23.6%	22.2%	25.4%	25.3%	22.2%
IV Rank	45.3%	0.4%	67.1%	66.7%	19.5%
IV Percentile	73.3%	0.8%	92.9%	92.9%	45.2%
Term Structure	-0.8%	-3.0%	7.9%	-1.2%	-0.4%
VWIV	21.9%	11.0%	27.8%	27.4%	12.5%
Skew 25d	4.8%	-6.1%	13.3%	3.6%	4.1%
Skew 10d	4.3%	-14.8%	21.0%	5.3%	15.4%
Call IV 25d	19.9%	12.1%	24.8%	21.9%	18.4%
Put IV 25d	24.7%	13.3%	31.6%	25.5%	22.6%
Bid-Ask Spread %	87.55	72.82	114.27	72.82	79.37
Gamma HHI	0.70	0.66	0.75	0.68	0.67
Net GEX	-245.8K	-328.2K	-148.7K	-156.1K	-280.7K
Net DEX	5.1M	4.4M	5.8M	5.6M	4.7M
Net VEX	-16.2K	-17.0K	-15.4K	-16.3K	-16.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.00	4.00	0.18	0.03
Total Volume	71.667	0	237	0	115
Total OI	2,821.762	2,719	2,995	2,727	2,995

Daily Data (21 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
2019-01-02	$45.03	$45.00	28.6%	8.2%	23.7%	66.7%	0.0%	3.6%	-1.2%	-156.1K	5.6M	-16.3K	0.00	72.82	0	0	706	2,021
2019-01-03	$44.65	$45.00	28.7%	7.9%	21.8%	67.1%	27.4%	6.8%	-1.9%	-148.7K	5.8M	-15.4K	0.18	85.94	11	2	706	2,022
2019-01-04	$45.68	$45.00	27.0%	7.6%	23.6%	61.0%	25.8%	6.9%	-1.4%	-187.1K	5.7M	-15.4K	0.64	81.22	42	27	706	2,023
2019-01-07	$46.14	$45.00	27.2%	7.6%	23.9%	61.7%	26.8%	6.6%	-1.6%	-202.1K	5.2M	-17.0K	1.50	81.36	10	15	724	2,042
2019-01-08	$45.76	$45.00	26.4%	7.5%	24.0%	58.8%	26.0%	7.4%	-1.3%	-179.0K	5.4M	-16.6K	2.45	80.26	11	27	721	2,040
2019-01-09	$46.09	$45.00	25.9%	7.4%	21.9%	56.8%	25.0%	7.3%	-1.8%	-205.5K	5.4M	-16.0K	2.83	86.05	12	34	722	2,055
2019-01-10	$46.41	$45.00	24.7%	7.1%	21.8%	48.2%	24.2%	6.0%	-1.4%	-215.5K	5.2M	-16.5K	2.05	84.71	21	43	723	2,055
2019-01-11	$46.50	$45.00	24.5%	7.0%	21.7%	47.5%	27.8%	5.6%	-1.6%	-244.5K	5.3M	-15.6K	1.07	89.38	87	93	722	2,117
2019-01-14	$46.69	$45.00	24.9%	7.1%	21.7%	48.9%	0.0%	3.3%	-2.1%	-254.3K	5.1M	-16.8K	0.20	90.57	5	1	777	2,117
2019-01-15	$46.62	$45.00	24.6%	7.1%	21.3%	47.9%	0.0%	5.1%	-1.7%	-240.4K	5.1M	-16.5K	0.10	85.82	10	1	777	2,116
2019-01-16	$46.76	$45.00	24.5%	7.0%	21.2%	47.5%	19.2%	4.3%	-1.5%	-250.0K	4.9M	-16.5K	0.40	84.76	10	4	782	2,115
2019-01-17	$46.74	$45.00	23.7%	6.8%	21.2%	44.3%	23.1%	2.8%	-1.6%	-249.2K	4.9M	-16.3K	1.60	84.26	10	16	782	2,117
2019-01-18	$47.44	$45.00	22.8%	6.5%	21.5%	40.4%	22.8%	3.8%	0.2%	-294.1K	4.6M	-16.6K	3.64	83.30	11	40	782	2,129
2019-01-22	$46.81	$45.00	25.2%	7.2%	22.0%	50.4%	25.3%	12.6%	-2.7%	-265.9K	5.4M	-15.9K	4.00	84.36	3	12	640	2,079
2019-01-23	$47.11	$45.00	25.2%	7.2%	21.2%	50.2%	25.3%	4.0%	-2.4%	-282.5K	5.3M	-15.4K	1.71	82.10	7	12	643	2,079
2019-01-24	$47.33	$45.00	25.4%	7.3%	17.6%	51.0%	25.4%	4.1%	-2.5%	-300.2K	5.2M	-16.3K	1.05	90.22	19	20	643	2,079
2019-01-25	$47.75	$45.00	16.8%	4.8%	14.3%	16.4%	13.1%	-6.1%	-1.2%	-328.2K	4.8M	-16.7K	0.39	98.01	51	20	655	2,096
2019-01-28	$47.56	$45.00	12.8%	3.7%	14.3%	0.4%	11.0%	2.2%	7.3%	-318.7K	5.1M	-15.4K	0.00	106.35	231	0	647	2,116
2019-01-29	$47.75	$45.00	14.6%	4.2%	14.3%	7.7%	11.0%	13.3%	7.9%	-274.1K	4.8M	-16.9K	0.00	93.48	234	1	877	2,116
2019-01-30	$48.01	$45.00	27.2%	7.8%	13.7%	58.2%	21.7%	-2.5%	-3.0%	-285.8K	4.4M	-16.8K	0.01	114.27	234	3	877	2,116
2019-01-31	$47.81	$50.00	17.5%	5.5%	13.3%	19.5%	12.5%	4.1%	-0.4%	-280.7K	4.7M	-16.4K	0.03	79.37	112	3	877	2,118