L Options History — October 2008

In October 2008, L traded between $25.65 and $38.45. ATM implied volatility averaged 88.6%. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 40.0% (HV 20d: 128.6%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 2.07.

Notable Days

  • 2008-10-27: Highest Volume — 3,162 contracts
  • 2008-10-09: Largest IV spike — 46.1% change
  • 2008-10-09: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.60$25.65$38.45$38.45$33.20
Max Pain$36.09$30.00$40.00$40.00$30.00
ATM IV88.6%60.5%138.7%60.5%70.8%
Expected Move23.1%17.3%29.4%17.3%20.3%
HV 20d128.6%78.5%163.2%78.5%163.2%
HV 60d80.6%50.2%105.7%50.2%105.7%
Term Structure-6.2%-17.9%2.4%-9.0%-2.6%
VWIV80.4%64.4%95.4%64.4%68.2%
Skew 25d18.4%10.4%28.7%12.9%21.0%
Skew 10d34.7%12.7%52.2%22.8%45.9%
Call IV 25d71.5%55.7%88.5%55.7%64.6%
Put IV 25d89.9%68.7%112.1%68.7%85.7%
Bid-Ask Spread %54.0428.9985.2843.5669.10
Gamma HHI0.260.190.330.330.30
Net GEX104.5K11.2K248.1K248.1K123.3K
Net DEX3.8M-5.6M12.2M-5.6M-1.8M
Net VEX-90.8K-114.2K-63.6K-114.2K-87.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0710.901.121.01
Total Volume894933,162197422
Total OI25,136.8722,87129,35122,87125,966

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$38.45$40.0060.5%17.3%78.5%0.0%64.4%12.9%-9.0%248.1K-5.6M-114.2K1.1243.569310415,8267,045
2008-10-02$34.85$40.0077.8%22.3%85.1%0.0%84.0%10.4%-17.9%187.0K74.4K-103.1K5.1128.999448015,9137,141
2008-10-03$35.82$40.0072.4%20.7%85.7%0.0%66.4%16.2%-10.0%194.2K-2.1M-109.6K0.9440.77484515,9537,378
2008-10-06$34.48$40.0089.7%20.2%85.3%0.0%71.4%18.0%-11.7%160.1K676.6K-101.2K0.3543.872007115,9387,372
2008-10-07$33.07$40.0092.7%20.0%84.9%0.0%78.0%15.8%-3.8%155.6K876.5K-100.1K0.4852.0222210616,0417,377
2008-10-08$27.27$40.0093.0%24.8%106.3%0.0%85.9%12.9%-2.9%104.0K7.7M-69.7K1.0885.281,1741,27016,1127,445
2008-10-09$26.57$40.00136.0%29.4%106.2%0.0%85.6%17.7%-10.7%92.3K10.0M-73.2K2.2879.724931,12517,1298,586
2008-10-10$26.10$40.00138.7%28.2%105.3%0.0%95.4%23.6%-5.6%38.6K12.2M-69.6K0.8463.261,3961,17417,1039,505
2008-10-13$32.27$40.00103.9%25.1%133.2%0.0%82.3%24.3%-7.0%70.7K7.1M-99.8K0.4045.5266326617,21710,386
2008-10-14$33.87$35.0095.5%21.1%134.4%0.0%78.1%11.4%-4.3%110.6K4.6M-103.6K0.7053.0229520617,40210,485
2008-10-15$30.30$35.00115.3%25.7%138.4%0.0%94.3%21.6%-8.2%88.0K6.9M-94.8K10.9055.751131,23217,51610,536
2008-10-16$32.59$35.0076.6%22.0%139.5%0.0%85.4%18.4%-4.5%78.8K8.2M-97.8K3.1254.6614745817,54511,537
2008-10-17$31.41$35.0083.6%24.0%139.2%0.0%83.1%17.2%-3.5%98.2K6.4M-101.5K0.7952.8123518517,59611,755
2008-10-20$34.59$35.0074.2%21.3%144.5%0.0%73.6%15.3%-8.3%155.7K-1.5M-105.3K0.4554.821888515,0148,376
2008-10-21$33.01$35.0069.2%19.8%145.1%0.0%78.9%12.7%2.4%122.2K-605.8K-100.6K1.7056.3414123915,1058,416
2008-10-22$30.05$35.0077.6%22.2%147.8%0.0%79.4%13.0%-3.4%78.8K4.7M-84.4K3.1071.9426582215,0528,419
2008-10-23$31.84$35.0082.7%23.7%148.9%0.0%71.0%26.1%-4.8%77.6K3.6M-89.0K0.5659.0931017415,1328,942
2008-10-24$31.31$35.0088.9%25.5%148.5%0.0%90.2%24.9%-7.0%81.7K4.3M-88.2K2.6356.307118715,3768,877
2008-10-27$25.65$35.0096.7%27.7%154.8%0.0%91.4%19.3%-6.3%18.6K9.3M-63.6K8.9143.193192,84315,4348,990
2008-10-28$29.06$30.0076.7%22.0%160.2%0.0%87.6%28.7%-4.4%11.2K6.6M-70.6K0.6841.5445931415,5949,064
2008-10-29$28.75$30.0082.6%23.7%160.2%0.0%79.7%17.0%-5.5%23.0K4.8M-72.5K0.4945.6667632915,7809,232
2008-10-30$32.23$30.0082.3%23.6%163.2%0.0%75.1%24.7%-3.9%85.2K147.4K-87.1K0.0745.647715216,1789,362
2008-10-31$33.20$30.0070.8%20.3%163.2%0.0%68.2%21.0%-2.6%123.3K-1.8M-87.7K1.0169.1021021216,5909,376