L Options History — March 2009

In March 2009, L traded between $18.02 and $23.51. ATM implied volatility averaged 62.6%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 5.8% (HV 20d: 68.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-03-23: Highest Volume — 3,148 contracts
  • 2009-03-13: Largest IV spike — 14.7% change
  • 2009-03-02: Highest IV Rank — 47.8%
  • 2009-03-02: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.82$18.02$23.51$18.99$22.10
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV62.6%54.5%74.6%74.6%57.0%
Expected Move18.0%15.6%21.4%21.4%16.3%
HV 20d68.4%60.1%73.5%61.9%67.0%
HV 60d66.1%64.0%67.4%66.0%65.6%
IV Rank37.9%31.4%47.8%47.8%33.4%
IV Percentile52.3%40.1%74.0%74.0%42.8%
Term Structure-1.0%-7.4%4.8%-3.3%4.8%
VWIV61.9%54.0%73.7%72.5%54.8%
Skew 25d10.0%-2.0%17.0%5.9%5.7%
Skew 10d22.3%-19.2%50.7%7.6%-2.7%
Call IV 25d57.7%47.1%72.9%71.0%54.5%
Put IV 25d67.7%55.6%78.9%76.9%60.2%
Bid-Ask Spread %30.2716.0345.0327.4322.84
Gamma HHI0.270.210.340.260.25
Net GEX-17.1K-80.8K59.4K-72.9K37.7K
Net DEX2.5M-3.1M7.3M6.0M376.3K
Net VEX-44.0K-61.0K-29.1K-29.4K-57.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.162.810.800.77
Total Volume790.4091343,148393448
Total OI16,738.04513,49519,96013,95617,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$18.99$22.5074.6%21.4%61.9%47.8%72.5%5.9%-3.3%-72.9K6.0M-29.4K0.8027.432181757,4866,470
2009-03-03$18.90$22.5069.7%20.0%60.1%43.7%69.9%6.3%-0.3%-79.3K6.1M-29.1K0.6229.173492177,5156,545
2009-03-04$19.82$22.5064.7%18.6%63.2%39.7%63.8%4.0%0.1%-74.4K5.5M-32.8K1.5119.723084657,8076,760
2009-03-05$18.25$22.5071.2%20.4%68.2%45.0%70.7%3.2%0.8%-71.7K6.8M-30.2K1.9016.033847308,0427,089
2009-03-06$18.13$22.5072.6%21.2%66.3%46.1%73.7%10.9%-7.1%-78.7K7.1M-32.0K0.9828.798157998,2877,572
2009-03-09$18.02$22.5073.4%20.5%64.3%46.7%62.8%15.2%-4.0%-80.8K7.3M-33.1K0.3120.764031248,9318,031
2009-03-10$19.28$22.5068.4%18.4%70.6%42.7%67.6%16.0%-0.9%-71.1K6.0M-36.5K0.1637.47345559,2738,025
2009-03-11$18.37$22.5067.5%21.3%67.0%42.0%73.4%15.4%-5.4%-80.2K6.7M-33.8K1.5019.771241869,1947,949
2009-03-12$19.72$22.5058.3%16.7%71.4%34.4%64.0%15.8%2.9%-73.3K5.6M-37.2K1.0739.722382549,2458,089
2009-03-13$20.32$22.5066.8%19.2%72.5%41.4%60.5%8.8%-6.2%-66.6K4.4M-39.0K0.5328.949114879,3198,080
2009-03-16$20.16$22.5057.4%16.5%72.3%33.7%57.0%13.1%3.6%-50.4K3.9M-41.1K0.6527.2185455510,0098,368
2009-03-17$21.65$22.5058.0%16.6%72.5%34.2%60.1%17.0%-3.2%-7.7K1.4M-44.6K0.4426.5473632310,7218,463
2009-03-18$22.45$22.5058.7%16.8%73.5%34.8%60.4%15.0%-3.0%21.4K-1.1M-48.3K0.3345.0330510211,0258,467
2009-03-19$22.87$22.5056.5%16.2%72.8%33.0%54.8%13.5%0.1%45.1K-3.1M-49.7K0.2433.4366116111,2438,544
2009-03-20$22.70$22.5060.8%17.4%72.0%36.5%57.2%12.6%-7.4%55.3K-2.8M-49.2K0.5737.1631418011,4488,512
2009-03-23$23.51$22.5055.9%16.0%71.7%32.5%54.0%13.8%-0.4%44.8K-1.8M-49.4K0.4531.052,1719776,9966,499
2009-03-24$22.69$22.5057.7%16.5%68.5%34.0%58.7%3.8%-1.5%44.9K-754.7K-58.6K1.9134.151072048,3277,430
2009-03-25$23.12$22.5057.6%16.5%67.2%33.9%57.9%12.7%1.5%55.4K-1.4M-60.6K0.4134.462521048,4027,574
2009-03-26$23.18$22.5055.7%16.0%67.2%32.4%57.5%11.2%2.0%59.4K-1.9M-61.0K1.3540.0257778,4757,674
2009-03-27$22.34$22.5054.5%15.6%67.5%31.4%54.5%1.3%1.9%44.5K-493.5K-58.8K2.8140.332757748,5027,724
2009-03-30$21.54$22.5059.6%17.1%66.8%35.5%56.5%-2.0%2.2%22.9K1.2M-56.8K1.1425.9977888,7078,323
2009-03-31$22.10$22.5057.0%16.3%67.0%33.4%54.8%5.7%4.8%37.7K376.3K-57.6K0.7722.842531958,7288,367