L Options History — April 2009

In April 2009, L traded between $22.29 and $25.53. ATM implied volatility averaged 54.5%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 3.7% (HV 20d: 58.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-04-17: Highest Volume — 2,153 contracts
  • 2009-04-20: Largest IV spike — 15.9% change
  • 2009-04-20: Highest IV Rank — 35.7%
  • 2009-04-07: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.23$22.29$25.53$22.59$24.89
Max Pain$23.57$22.50$25.00$22.50$25.00
ATM IV54.5%47.0%59.8%57.9%56.9%
Expected Move16.0%13.5%17.8%16.6%16.3%
HV 20d58.2%51.1%65.6%65.6%62.7%
HV 60d65.1%63.0%67.3%65.8%63.6%
IV Rank31.3%25.3%35.7%34.1%33.3%
IV Percentile41.0%30.9%50.7%45.1%46.5%
Term Structure-2.4%-8.4%6.0%5.7%-8.4%
VWIV55.1%45.9%62.5%58.1%57.0%
Skew 25d14.9%4.7%23.5%16.0%13.4%
Skew 10d23.2%8.2%40.6%8.7%8.2%
Call IV 25d45.4%35.4%53.5%50.3%43.3%
Put IV 25d60.3%54.1%67.8%66.3%56.7%
Bid-Ask Spread %35.3421.6958.3324.8432.29
Gamma HHI0.390.260.740.270.37
Net GEX106.5K33.9K367.7K50.2K65.2K
Net DEX-3.8M-8.6M-588.3K-688.7K-3.5M
Net VEX-58.5K-62.5K-54.3K-60.2K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.042.310.390.84
Total Volume493.857822,153932247
Total OI16,891.33314,54719,15917,37715,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$22.59$22.5057.9%16.6%65.6%34.1%58.1%16.0%5.7%50.2K-688.7K-60.2K0.3924.846692638,8968,481
2009-04-02$23.05$22.5056.1%16.1%56.6%32.7%55.9%4.7%3.8%55.0K-1.8M-62.1K0.0926.25276269,0468,711
2009-04-03$23.49$22.5051.3%17.8%56.2%28.7%56.8%11.7%-4.7%82.2K-2.8M-62.5K0.2730.604111139,2278,720
2009-04-06$22.90$22.5056.1%17.5%57.5%32.7%53.6%15.1%-1.9%59.5K-1.6M-60.5K0.1325.74281379,1268,760
2009-04-07$22.29$22.5052.9%17.8%55.1%30.1%62.5%18.2%-3.7%33.9K-588.3K-59.9K1.5721.692123329,1768,784
2009-04-08$22.73$22.5055.7%15.9%51.1%32.4%53.6%18.9%0.1%45.3K-973.3K-60.1K0.6323.081751109,2928,924
2009-04-09$24.55$22.5049.9%14.3%52.1%27.6%50.6%14.0%3.4%145.5K-5.9M-60.0K0.3947.484481749,3218,990
2009-04-13$25.53$22.5055.3%15.8%52.7%32.0%54.5%11.4%-3.4%164.4K-8.5M-61.5K1.0636.394474749,5319,061
2009-04-14$24.22$22.5051.5%14.8%57.1%28.9%52.3%8.0%-3.8%190.6K-6.4M-59.0K0.7441.594533379,7559,078
2009-04-15$25.21$22.5047.0%13.5%53.5%25.3%45.9%8.5%6.0%251.3K-8.3M-59.8K0.3939.113181239,9219,238
2009-04-16$25.15$22.5051.4%14.7%52.5%28.8%52.1%8.4%0.5%243.4K-8.1M-56.2K0.0458.337939,3258,839
2009-04-17$25.18$22.5051.6%14.8%52.3%29.0%51.2%11.2%-1.1%367.7K-8.6M-55.1K0.4349.451,5056489,3828,840
2009-04-20$23.61$25.0059.8%17.1%57.7%35.7%56.2%18.0%-5.0%54.2K-1.7M-54.3K0.1943.85470877,6016,946
2009-04-21$25.32$25.0054.6%15.6%61.6%31.4%55.0%23.5%-1.8%73.1K-3.7M-58.2K0.6142.203031847,8107,011
2009-04-22$24.02$25.0053.7%15.4%63.3%30.7%54.5%18.2%-3.5%61.4K-2.4M-58.2K0.7333.761451067,9847,192
2009-04-23$24.86$25.0056.2%16.1%64.1%32.7%57.8%18.5%-4.0%56.8K-2.7M-57.8K0.7935.47118937,8087,237
2009-04-24$25.02$25.0056.1%16.1%64.1%32.7%57.2%22.7%-8.0%57.0K-3.4M-58.1K1.2134.731011227,8577,310
2009-04-27$24.52$25.0056.6%16.2%62.9%33.1%58.6%16.4%-5.0%56.4K-2.8M-56.9K0.5532.2575417,9137,376
2009-04-28$24.29$25.0057.4%16.4%61.3%33.7%57.2%16.8%-8.2%55.9K-2.3M-56.6K2.3138.5235817,9617,389
2009-04-29$25.35$25.0056.2%16.1%62.3%32.8%55.6%19.9%-7.1%68.1K-4.0M-56.7K1.7424.59911587,9707,445
2009-04-30$24.89$25.0056.9%16.3%62.7%33.3%57.0%13.4%-8.4%65.2K-3.5M-55.5K0.8432.291341138,0207,464