L Options History — September 2008

In September 2008, L traded between $36.87 and $43.39. ATM implied volatility averaged 40.9%. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.1% (HV 20d: 41.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2008-09-04: Highest Volume — 1,987 contracts
  • 2008-09-29: Largest IV spike — 35.5% change
  • 2008-09-29: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.93$36.87$43.39$43.02$39.49
Max Pain$42.14$40.00$45.00$45.00$40.00
ATM IV40.9%23.0%56.0%23.0%51.8%
Expected Move11.5%6.6%16.0%6.6%14.8%
HV 20d41.0%24.5%78.1%26.9%78.1%
HV 60d33.5%27.5%50.4%27.8%50.4%
Term Structure-1.3%-8.3%23.8%2.2%-1.8%
VWIV39.0%20.1%58.6%27.3%52.5%
Skew 25d8.6%1.7%18.6%3.7%18.6%
Skew 10d17.8%6.1%34.0%6.1%22.8%
Call IV 25d35.8%23.2%53.7%23.3%40.4%
Put IV 25d44.4%27.0%66.4%27.0%59.0%
Bid-Ask Spread %39.0010.51110.9516.2578.30
Gamma HHI0.300.220.400.250.34
Net GEX195.3K67.9K407.7K127.5K252.6K
Net DEX-7.0M-17.8M3.9M-9.7M-6.4M
Net VEX-124.5K-135.2K-110.9K-124.9K-110.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.055.490.361.35
Total Volume5411081,987202193
Total OI26,539.57121,92729,57327,58622,754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$43.02$45.0023.0%6.6%26.9%0.0%27.3%3.7%2.2%127.5K-9.7M-124.9K0.3616.251485418,2259,361
2008-09-03$42.68$45.0024.2%6.9%26.1%0.0%24.9%4.9%1.1%126.1K-8.0M-120.8K1.3619.9418825618,2929,283
2008-09-04$41.70$45.0032.0%9.2%27.0%0.0%32.8%4.9%-3.1%87.8K-4.3M-118.6K0.0521.001,88410318,2859,504
2008-09-05$42.29$45.0032.8%8.9%24.5%0.0%27.8%5.4%0.9%152.2K-6.2M-128.8K2.4027.775312719,3229,538
2008-09-08$43.39$45.0028.6%8.3%25.3%0.0%29.3%9.1%-0.3%160.4K-11.9M-134.5K0.9510.5144041618,7169,599
2008-09-09$41.33$45.0037.5%9.1%30.6%0.0%20.1%1.7%-0.7%130.5K-5.1M-122.5K2.3626.1914534218,8749,696
2008-09-10$41.55$45.0038.5%9.3%30.3%0.0%31.0%4.6%0.1%157.2K-4.9M-124.8K4.0422.7417972418,8979,585
2008-09-11$41.28$45.0035.2%10.1%30.3%0.0%34.7%6.2%-1.0%118.4K-3.0M-123.4K5.4918.2712267019,0039,855
2008-09-12$41.85$45.0035.4%10.1%30.6%0.0%34.2%5.0%-0.3%120.5K-4.7M-128.7K0.3518.4038713519,07010,194
2008-09-15$39.23$40.0042.2%12.1%38.1%0.0%40.6%9.0%-4.9%113.8K126.7K-126.5K0.9228.6213912819,37610,197
2008-09-16$40.02$40.0041.8%12.0%38.5%0.0%43.1%7.4%-4.0%97.2K-974.9K-122.2K0.4831.6137517919,3639,420
2008-09-17$37.81$40.0047.8%13.7%43.0%0.0%48.6%5.8%-8.3%67.9K3.9M-111.3K0.3145.3956817719,4189,316
2008-09-18$40.00$40.0046.0%13.2%47.9%0.0%47.2%7.7%-3.8%178.8K-3.0M-118.0K0.9339.3033931519,6819,308
2008-09-19$40.98$40.0042.0%12.0%48.8%0.0%37.8%6.9%-3.5%252.1K-8.8M-135.2K0.16110.952684319,7929,307
2008-09-22$40.05$40.0051.3%14.7%48.4%0.0%46.1%11.6%-7.3%275.0K-10.2M-122.6K0.1845.614137615,2196,708
2008-09-23$40.19$40.0048.9%14.0%48.1%0.0%45.9%12.1%-4.7%305.8K-10.9M-127.8K0.2857.171313715,5126,734
2008-09-24$40.66$40.0052.4%15.0%48.0%0.0%50.3%12.1%-5.3%321.0K-12.0M-129.6K0.1531.366049015,5406,761
2008-09-25$42.24$40.0050.5%14.5%49.1%0.0%43.7%15.7%-4.9%385.4K-16.1M-132.1K0.3242.4235711515,6716,801
2008-09-26$42.99$40.0041.3%11.8%49.1%0.0%41.8%16.2%-1.8%407.7K-17.8M-134.9K0.3244.11822615,6666,883
2008-09-29$36.87$40.0056.0%16.0%73.2%0.0%58.6%12.8%23.8%264.1K-7.2M-117.2K1.7582.9912121215,6976,908
2008-09-30$39.49$40.0051.8%14.8%78.1%0.0%52.5%18.6%-1.8%252.6K-6.4M-110.9K1.3578.308211115,7676,987