L Options History — July 2008

In July 2008, L traded between $41.90 and $47.23. ATM implied volatility averaged 32.7%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.7% (HV 20d: 25.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2008-07-02: Highest Volume — 1,226 contracts
  • 2008-07-24: Largest IV spike — 22.4% change
  • 2008-07-15: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.46$41.90$47.23$47.23$44.56
Max Pain$46.36$45.00$55.00$55.00$45.00
ATM IV32.7%25.3%38.3%34.6%25.3%
Expected Move9.5%7.3%11.0%9.9%7.3%
HV 20d25.1%21.4%31.7%23.5%31.7%
Term Structure-1.2%-5.2%3.0%-1.9%1.8%
VWIV32.1%23.6%39.6%23.6%25.4%
Skew 25d6.4%-1.8%14.1%7.1%0.2%
Skew 10d11.8%-4.5%20.5%6.9%0.9%
Call IV 25d30.0%21.1%38.0%27.0%22.8%
Put IV 25d36.3%23.0%44.4%34.1%23.0%
Bid-Ask Spread %27.9014.1445.4923.7939.45
Gamma HHI0.250.200.430.240.25
Net GEX-150.1K-279.7K-70.3K-191.6K-232.3K
Net DEX11.6M-491.5K28.5M1.2M2.9M
Net VEX-219.0K-274.7K-141.8K-274.7K-194.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.064.314.310.06
Total Volume365.5521,2261,21152
Total OI34,420.13623,96137,06235,39332,790

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$47.23$55.0034.6%9.9%0.0%0.0%23.6%7.1%-1.9%-191.6K1.2M-274.7K4.3123.7922898318,13317,260
2008-07-02$46.42$55.0032.4%9.3%0.0%0.0%33.4%-1.4%3.0%-110.7K1.8M-273.0K1.3245.4952869818,31517,223
2008-07-03$45.96$55.0032.0%9.2%0.0%0.0%30.5%-1.8%1.4%-154.6K6.4M-270.1K0.1829.371683118,75817,759
2008-07-07$45.23$45.0032.8%10.2%0.0%0.0%35.3%6.0%-3.7%-129.4K9.4M-262.5K1.6938.558314018,84317,784
2008-07-08$46.63$45.0030.2%10.2%0.0%0.0%33.5%7.9%-0.6%-123.5K6.1M-263.9K0.1441.983354818,91517,810
2008-07-09$45.63$45.0031.7%9.8%0.0%0.0%33.5%4.6%-3.7%-121.9K7.7M-256.3K0.8642.0826222518,95617,797
2008-07-10$45.98$45.0037.0%10.6%0.0%0.0%37.4%7.9%-2.8%-136.0K8.8M-253.5K0.4738.641587519,00117,832
2008-07-11$45.36$45.0037.8%10.8%0.0%0.0%39.6%7.3%-3.7%-128.9K11.4M-253.7K2.2320.4513830819,11317,863
2008-07-14$44.78$45.0038.0%10.9%0.0%0.0%37.8%5.7%-0.1%-258.4K28.5M-141.8K2.0321.8029599,98013,981
2008-07-15$43.77$45.0038.3%11.0%23.5%0.0%32.8%5.0%-2.1%-96.6K17.1M-230.8K2.5721.404411319,08217,889
2008-07-16$43.35$45.0037.9%10.9%22.7%0.0%0.0%7.6%-3.8%-96.3K21.4M-222.1K0.3523.751465119,06317,883
2008-07-17$43.02$45.0034.3%9.8%22.0%0.0%36.0%11.9%-3.0%-131.4K22.9M-210.1K0.1942.002675219,04617,912
2008-07-18$42.94$45.0031.3%9.0%21.4%0.0%34.5%14.1%-1.7%-114.8K26.2M-202.2K0.4937.271356619,15617,906
2008-07-21$43.50$45.0029.8%8.5%22.1%0.0%31.3%10.1%1.5%-160.2K9.5M-205.4K0.5717.1122913117,74314,640
2008-07-22$44.11$45.0028.5%8.2%22.6%0.0%28.5%12.3%0.3%-178.6K8.8M-198.8K2.9517.5911233017,80314,662
2008-07-23$43.42$45.0030.3%8.7%22.7%0.0%30.3%8.3%-1.4%-152.2K11.1M-192.9K0.7317.06564117,85614,838
2008-07-24$41.90$45.0037.1%10.6%25.0%0.0%33.7%5.8%-5.2%-88.9K16.3M-170.2K3.7316.484014917,89814,879
2008-07-25$41.92$45.0037.6%10.8%24.3%0.0%32.9%5.5%-3.6%-70.3K18.1M-169.9K0.8116.7626821717,90814,958
2008-07-28$42.55$45.0030.5%8.8%25.4%0.0%31.0%2.9%-0.3%-118.3K13.2M-176.9K0.5221.1949825717,97314,473
2008-07-29$44.45$45.0026.0%7.5%30.6%0.0%26.0%9.7%2.1%-228.6K6.0M-192.7K0.4627.361516918,17914,607
2008-07-30$45.42$45.0026.7%7.6%31.6%0.0%26.4%3.2%0.5%-279.7K-491.5K-202.3K0.2214.14581318,17814,598
2008-07-31$44.56$45.0025.3%7.3%31.7%0.0%25.4%0.2%1.8%-232.3K2.9M-194.6K0.0639.4549318,19214,598