L Options History — May 2009

In May 2009, L traded between $25.19 and $29.01. ATM implied volatility averaged 45.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 24.8% (HV 20d: 70.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2009-05-13: Highest Volume — 2,367 contracts
  • 2009-05-12: Largest IV spike — 29.4% change
  • 2009-05-13: Highest IV Rank — 38.4%
  • 2009-05-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.49$25.19$29.01$25.19$27.05
Max Pain$24.00$22.50$25.00$25.00$25.00
ATM IV45.7%31.7%63.1%53.9%31.7%
Expected Move12.4%9.1%15.5%15.5%9.1%
HV 20d70.5%62.5%76.0%62.5%69.9%
HV 60d65.9%63.7%67.7%63.7%65.0%
IV Rank24.2%12.8%38.4%30.9%12.8%
IV Percentile31.7%16.6%59.4%38.4%16.6%
Term Structure3.5%-4.5%14.4%-4.5%14.4%
VWIV43.4%27.2%53.7%53.7%35.8%
Skew 25d8.7%1.5%18.1%18.1%9.5%
Skew 10d14.5%-8.1%42.1%18.6%-0.1%
Call IV 25d37.8%24.2%45.1%39.7%31.7%
Put IV 25d46.5%40.4%57.9%57.9%41.2%
Bid-Ask Spread %23.9912.5734.2430.4723.16
Gamma HHI0.510.370.800.370.80
Net GEX122.3K66.7K181.8K66.7K156.8K
Net DEX-7.4M-12.7M-3.7M-3.7M-7.8M
Net VEX-60.5K-68.4K-51.9K-55.8K-64.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.037.260.821.51
Total Volume516702,367301289
Total OI17,26215,48918,77615,48918,329

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$25.19$25.0053.9%15.5%62.5%30.9%53.7%18.1%-4.5%66.7K-3.7M-55.8K0.8230.471651368,0027,487
2009-05-04$27.33$22.5061.1%13.0%68.1%36.8%44.2%8.8%8.9%81.6K-7.5M-54.0K0.4125.938193348,0407,583
2009-05-05$26.70$22.5050.3%13.4%67.9%28.0%43.9%5.7%3.8%112.9K-8.4M-55.4K1.2923.191842378,5737,505
2009-05-06$27.89$22.5040.8%11.5%67.8%20.2%43.2%6.7%3.0%121.4K-10.1M-55.3K0.3028.81294878,6667,624
2009-05-07$26.77$22.5050.4%13.1%70.2%28.0%48.6%5.5%4.3%124.7K-9.0M-54.9K1.8929.49541028,7667,572
2009-05-08$29.01$22.5037.6%11.1%70.6%17.6%42.9%12.3%4.3%128.2K-12.7M-51.9K1.1034.242592868,7917,640
2009-05-11$26.81$22.5045.9%13.6%76.0%24.3%49.5%5.4%5.1%120.5K-9.0M-53.9K0.5525.732561418,8457,756
2009-05-12$26.82$22.5059.4%14.2%73.2%35.4%47.0%5.0%1.5%118.3K-8.4M-54.0K0.7220.15120878,8017,842
2009-05-13$25.65$22.5063.1%13.7%74.0%38.4%48.6%2.9%2.8%117.0K-5.9M-53.7K0.5230.681,5538148,8007,888
2009-05-14$26.22$25.0046.6%13.4%74.3%24.9%43.4%7.2%3.2%121.0K-8.4M-66.5K0.0331.1488310,2618,515
2009-05-15$25.21$25.0044.7%12.8%75.8%23.4%47.3%4.4%3.4%181.8K-5.7M-65.9K2.9531.8211032410,2528,518
2009-05-18$26.88$25.0040.8%11.7%75.0%20.2%38.3%1.5%2.0%119.9K-7.5M-63.3K0.3323.156752229,1657,376
2009-05-19$26.49$25.0043.3%12.4%71.5%22.2%43.0%5.7%2.6%132.4K-7.5M-66.6K0.6015.986343809,7177,593
2009-05-20$26.06$25.0043.2%12.4%68.9%22.1%42.1%5.0%2.0%128.3K-6.6M-68.4K1.0223.8125826310,1537,873
2009-05-21$25.74$25.0044.1%12.6%68.1%22.9%44.1%17.6%-0.8%117.6K-5.0M-67.8K7.2612.572316710,2967,893
2009-05-22$25.76$25.0040.5%11.6%68.1%19.9%40.4%16.5%3.0%120.6K-5.7M-68.1K0.7516.82403010,2967,939
2009-05-26$26.53$25.0041.2%11.8%68.3%20.5%41.1%18.1%-1.4%135.8K-7.1M-64.8K0.0318.80175510,3077,967
2009-05-27$25.39$25.0041.6%11.9%70.3%20.8%43.9%6.6%-0.4%113.1K-5.4M-63.4K0.3217.4138112010,3287,972
2009-05-28$26.31$25.0033.1%9.5%69.8%13.9%27.2%11.8%13.0%128.0K-6.2M-61.5K0.6316.561267910,2868,023
2009-05-29$27.05$25.0031.7%9.1%69.9%12.8%35.8%9.5%14.4%156.8K-7.8M-64.9K1.5123.1611517410,2828,047