L Options History — December 2008

In December 2008, L traded between $23.48 and $29.12. ATM implied volatility averaged 77.7%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 38.7% (HV 20d: 116.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2008-12-01: Highest Volume — 973 contracts
  • 2008-12-30: Largest IV drop — 24.4% change
  • 2008-12-23: Highest IV Rank — 42.5%
  • 2008-12-01: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.94$23.48$29.12$23.48$28.25
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV77.7%48.8%102.8%102.8%48.8%
Expected Move22.2%14.0%29.5%29.5%14.0%
HV 20d116.4%66.2%136.3%128.2%66.2%
HV 60d129.1%125.3%131.3%127.7%125.6%
IV Rank38.0%26.7%42.5%39.0%26.7%
IV Percentile55.7%48.1%58.8%57.1%48.1%
Term Structure-1.8%-12.7%7.5%-12.7%7.5%
VWIV76.5%48.6%102.5%102.5%48.6%
Skew 25d14.5%3.5%22.7%3.5%17.8%
Skew 10d37.5%17.4%59.4%41.0%38.7%
Call IV 25d69.7%43.8%97.4%97.4%43.8%
Put IV 25d84.3%61.6%105.6%100.9%61.6%
Bid-Ask Spread %22.1912.6831.3029.7121.68
Gamma HHI0.220.150.300.150.20
Net GEX82.5K6.7K168.1K6.7K98.4K
Net DEX1.7M-2.5M7.0M7.0M-186.8K
Net VEX-48.0K-56.9K-35.3K-49.7K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.012.631.751.40
Total Volume359.455130973973271
Total OI24,313.63619,68827,05425,19420,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$23.48$30.00102.8%29.5%128.2%0.0%102.5%3.5%-12.7%6.7K7.0M-49.7K1.7529.7135461916,3318,863
2008-12-02$25.50$30.0094.9%27.2%133.0%0.0%86.8%18.0%-1.3%8.2K5.7M-54.4K0.5131.3036018216,5349,089
2008-12-03$26.58$30.0096.0%27.5%134.2%0.0%96.2%22.7%-4.3%29.3K3.6M-56.8K0.9230.54978916,6678,962
2008-12-04$25.10$30.0093.8%26.9%134.7%0.0%93.9%15.6%-5.9%7.4K5.3M-52.8K0.0124.13704416,7428,917
2008-12-05$25.98$30.0092.3%26.3%132.4%0.0%87.4%18.9%-7.7%44.0K3.7M-54.4K0.5919.961418317,3498,877
2008-12-08$28.05$30.0082.0%22.2%135.0%0.0%76.3%18.4%-10.1%91.4K73.8K-56.9K0.3119.292377317,4158,867
2008-12-09$26.83$30.0091.9%25.1%135.5%0.0%87.2%16.6%-7.8%70.5K1.7M-54.6K0.9323.881029517,5468,876
2008-12-10$28.00$30.0076.2%22.1%136.3%0.0%79.4%17.4%-3.5%100.9K-94.3K-55.8K0.6723.5120914017,5908,881
2008-12-11$27.05$30.0086.1%24.7%134.1%0.0%83.0%11.1%-3.7%77.9K957.9K-53.8K0.4427.6227512217,7308,920
2008-12-12$27.42$30.0085.2%24.4%129.7%0.0%76.4%18.2%-4.8%79.0K1.2M-52.6K0.0822.943853017,8339,006
2008-12-15$26.78$30.0085.1%24.4%129.1%0.0%78.1%14.6%-1.1%114.6K426.7K-47.3K0.6615.3519112618,0268,932
2008-12-16$29.12$30.0073.5%21.1%129.7%0.0%73.2%16.5%-0.9%168.1K-2.5M-52.7K0.3128.431675117,8849,036
2008-12-17$28.45$30.0071.7%20.5%130.1%0.0%73.8%15.2%-0.0%155.6K-1.7M-51.4K1.0616.2510611217,9279,042
2008-12-18$27.39$30.0078.0%22.4%125.3%0.0%73.0%9.2%-1.4%100.4K-120.3K-48.9K0.8318.1620116617,9709,066
2008-12-19$27.98$30.0063.9%18.3%107.3%39.0%71.7%12.8%5.4%121.2K-412.5K-47.2K1.9318.8315830517,9349,120
2008-12-22$26.71$30.0067.8%19.4%103.9%42.2%65.0%11.5%1.5%107.8K2.1M-41.8K1.2020.0716619913,2866,504
2008-12-23$26.85$30.0068.2%19.6%92.5%42.5%66.5%11.3%-1.4%99.7K1.4M-40.7K0.2827.722045813,3076,381
2008-12-24$26.35$30.0066.6%19.1%92.8%41.2%74.5%10.6%2.3%91.6K2.2M-39.0K2.6322.0510226813,3566,421
2008-12-26$26.76$30.0066.0%18.9%89.6%40.7%71.6%15.0%5.2%80.5K2.1M-38.2K0.6915.9918412713,3216,635
2008-12-29$26.31$30.0068.1%19.5%89.8%42.5%63.1%9.8%-1.1%80.3K2.8M-35.7K0.1212.681161413,2096,662
2008-12-30$27.77$30.0051.5%14.8%71.6%28.9%54.1%15.0%5.8%82.1K1.1M-35.3K0.0618.132971813,2206,666
2008-12-31$28.25$30.0048.8%14.0%66.2%26.7%48.6%17.8%7.5%98.4K-186.8K-35.3K1.4021.6811315813,3946,606