L Options History — August 2008 In August 2008, L traded between $40.94 and $44.37. ATM implied volatility averaged 25.2%. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 6.2% (HV 20d: 31.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.55.
Notable Days 2008-08-20 : Highest Volume — 1,635 contracts2008-08-12 : Largest IV spike — 39.9% change2008-08-13 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.63 $40.94 $44.37 $44.37 $43.43 Max Pain $49.52 $45.00 $50.00 $45.00 $45.00 ATM IV 25.2% 16.0% 30.4% 24.2% 24.0% Expected Move 7.7% 6.7% 8.7% 6.9% 6.9% HV 20d 31.4% 27.6% 33.4% 31.6% 28.3% HV 60d 28.1% 27.7% 28.3% 27.7% 28.0% Term Structure 1.3% -0.6% 3.2% 3.1% 1.1% VWIV 26.6% 21.1% 30.0% 29.7% 21.1% Skew 25d 3.4% -1.8% 8.2% -1.8% 4.9% Skew 10d 1.8% -5.6% 14.3% -1.8% 10.2% Call IV 25d 25.3% 21.9% 28.4% 23.1% 22.3% Put IV 25d 28.7% 21.3% 31.9% 21.3% 27.2% Bid-Ask Spread % 24.69 10.37 42.66 14.23 18.63 Gamma HHI 0.22 0.18 0.31 0.25 0.27 Net GEX 30.4K -217.9K 167.7K -217.9K 167.7K Net DEX 13.6M -12.7M 20.8M 5.5M -12.7M Net VEX -144.1K -190.7K -118.8K -190.7K -133.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.55 0.00 38.00 0.20 0.56 Total Volume 299.333 14 1,635 84 14 Total OI 32,767.571 27,608 33,800 32,826 27,608
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 2008-08-01 $44.37 $45.00 24.2% 6.9% 31.6% 0.0% 0.0% -1.8% 3.1% -217.9K 5.5M -190.7K 0.20 14.23 70 14 18,226 14,600 2008-08-04 $43.20 $50.00 26.7% 7.9% 32.5% 0.0% 29.7% 3.2% 0.1% -125.0K 10.5M -171.4K 0.38 33.48 13 5 18,205 14,607 2008-08-05 $43.98 $50.00 24.8% 7.6% 31.1% 0.0% 26.5% 5.0% 1.6% -168.6K 10.5M -164.6K 0.16 41.12 318 51 18,200 14,612 2008-08-06 $44.29 $50.00 22.2% 7.4% 30.4% 0.0% 26.0% 5.3% 1.5% -89.2K 7.5M -171.2K 0.00 25.13 152 0 18,487 14,662 2008-08-07 $42.69 $50.00 16.0% 7.7% 32.7% 0.0% 0.0% 2.6% 1.7% 14.3K 14.6M -156.1K 38.00 42.66 2 76 18,639 14,662 2008-08-08 $43.50 $50.00 17.6% 7.5% 33.4% 0.0% 29.2% 4.4% 1.7% -26.3K 12.5M -161.6K 0.76 42.54 153 116 18,639 14,705 2008-08-11 $43.23 $50.00 18.8% 7.7% 33.2% 0.0% 0.0% 3.7% 1.3% 11.3K 14.3M -155.2K 0.01 39.10 725 10 18,754 14,741 2008-08-12 $42.61 $50.00 26.3% 7.2% 32.6% 0.0% 26.3% 4.3% 2.4% 26.4K 16.0M -146.8K 0.12 39.73 166 20 18,924 14,746 2008-08-13 $42.26 $50.00 30.4% 8.7% 32.6% 0.0% 30.0% 1.4% 0.9% 42.7K 17.3M -144.7K 0.13 33.56 95 12 19,064 14,736 2008-08-14 $42.60 $50.00 25.8% 7.4% 32.6% 0.0% 25.9% 3.8% 2.5% 50.6K 17.4M -140.7K 1.69 24.54 131 222 19,029 14,718 2008-08-15 $42.38 $50.00 28.6% 8.2% 32.7% 0.0% 28.6% 3.7% 3.2% 69.8K 17.5M -137.7K 1.79 14.64 114 204 19,064 14,519 2008-08-18 $41.57 $50.00 28.9% 8.3% 32.9% 0.0% 27.6% 5.6% -0.6% 79.2K 17.9M -128.2K 0.40 25.60 168 68 17,851 14,020 2008-08-19 $40.94 $50.00 28.5% 8.2% 32.6% 0.0% 27.6% 8.2% 0.4% 81.2K 20.2M -121.3K 0.24 25.01 450 106 17,960 14,062 2008-08-20 $41.21 $50.00 27.3% 7.8% 32.5% 0.0% 24.7% -0.5% 1.1% 82.3K 20.8M -118.8K 0.45 16.09 1,125 510 17,923 14,107 2008-08-21 $40.98 $50.00 28.4% 8.1% 30.1% 0.0% 28.4% -0.3% 0.1% 81.6K 19.8M -124.4K 2.10 14.45 20 42 18,287 14,617 2008-08-22 $42.08 $50.00 27.8% 8.0% 31.7% 0.0% 27.5% 4.3% -0.1% 94.8K 17.5M -129.4K 3.08 15.12 78 240 18,289 14,624 2008-08-25 $41.35 $50.00 27.6% 7.9% 31.8% 0.0% 26.5% -0.1% 1.5% 109.3K 18.2M -125.9K 1.25 10.37 59 74 18,306 14,636 2008-08-26 $41.89 $50.00 28.7% 8.2% 27.6% 0.0% 25.8% 2.3% 0.9% 97.5K 18.1M -126.2K 0.16 14.09 165 26 18,335 14,676 2008-08-27 $43.00 $50.00 23.2% 6.7% 28.1% 0.0% 23.5% 6.3% 1.9% 129.3K 13.4M -136.8K 1.98 11.06 41 81 18,443 14,681 2008-08-28 $43.73 $50.00 23.6% 6.8% 28.3% 0.0% 23.6% 6.0% 1.1% 127.7K 9.7M -140.4K 0.04 17.41 337 13 18,421 14,734 2008-08-29 $43.43 $45.00 24.0% 6.9% 28.3% 0.0% 21.1% 4.9% 1.1% 167.7K -12.7M -133.9K 0.56 18.63 9 5 18,225 9,383
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