L Options History — June 2009

In June 2009, L traded between $26.54 and $28.43. ATM implied volatility averaged 35.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 10.1% (HV 20d: 45.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-06-10: Highest Volume — 1,080 contracts
  • 2009-06-26: Largest IV spike — 41.0% change
  • 2009-06-23: Highest IV Rank — 20.9%
  • 2009-06-23: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.56$26.54$28.43$28.43$27.40
Max Pain$29.09$25.00$30.00$25.00$30.00
ATM IV35.1%23.5%41.7%31.1%29.0%
Expected Move10.4%6.7%12.0%8.9%8.3%
HV 20d45.3%26.7%71.7%71.7%26.7%
HV 60d58.7%56.2%63.4%63.0%56.2%
IV Rank15.6%6.1%20.9%12.3%10.5%
IV Percentile21.6%2.4%32.9%15.7%11.5%
Term Structure4.3%-1.4%19.4%2.9%16.6%
VWIV37.1%16.2%43.8%43.0%37.3%
Skew 25d6.7%-0.1%19.6%8.8%16.4%
Skew 10d11.4%-10.3%21.4%20.4%16.7%
Call IV 25d33.5%16.0%40.3%34.0%18.6%
Put IV 25d40.2%31.5%48.3%42.8%35.0%
Bid-Ask Spread %26.9312.5936.4216.5020.74
Gamma HHI0.690.580.850.830.60
Net GEX163.4K116.0K237.8K205.8K150.4K
Net DEX-8.5M-12.3M-2.6M-12.3M-3.4M
Net VEX-64.3K-69.6K-59.5K-65.2K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.044.504.100.39
Total Volume349.591431,080459198
Total OI17,930.81813,50421,15318,34814,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$28.43$25.0031.1%8.9%71.7%12.3%43.0%8.8%2.9%205.8K-12.3M-65.2K4.1016.509036910,3527,996
2009-06-02$28.40$25.0036.9%10.6%66.0%17.0%37.9%11.1%-0.2%194.9K-12.2M-66.3K0.2314.751513510,3788,294
2009-06-03$27.52$25.0038.5%11.0%66.4%18.3%43.8%6.8%0.4%163.1K-9.6M-67.3K1.4416.1338655510,4228,287
2009-06-04$28.15$25.0039.4%11.3%65.1%19.1%39.6%8.9%-1.4%187.3K-11.2M-69.0K0.4814.21291410,7128,744
2009-06-05$27.69$30.0031.6%11.1%63.6%12.7%38.2%6.2%3.3%174.8K-10.7M-69.6K0.7028.5614310010,7278,734
2009-06-08$27.92$30.0030.8%10.7%56.5%12.0%0.0%9.8%1.8%183.6K-10.7M-66.9K2.3327.396014010,6868,744
2009-06-09$28.05$30.0030.9%10.8%48.6%12.1%40.4%6.5%1.7%186.7K-10.8M-65.3K0.6827.8618212310,6988,791
2009-06-10$28.09$30.0033.2%10.5%48.6%14.0%36.7%7.6%2.9%201.6K-11.4M-65.3K0.0433.831,0374310,7758,812
2009-06-11$28.20$30.0034.2%9.8%45.4%14.8%34.3%7.1%4.0%237.8K-12.3M-67.4K0.4335.44924011,2898,849
2009-06-12$28.13$30.0033.8%9.7%45.0%14.5%35.4%5.5%3.5%212.0K-11.7M-65.2K1.9033.4917232611,3188,845
2009-06-15$27.48$30.0040.3%11.6%43.3%19.8%0.0%3.6%4.3%161.1K-10.7M-64.3K4.5036.056027011,3739,085
2009-06-16$27.22$30.0039.0%11.2%37.2%18.7%39.1%1.3%3.6%131.2K-10.2M-63.8K0.0634.785333011,3799,260
2009-06-17$26.91$30.0040.3%11.6%37.1%19.8%40.0%4.3%2.2%137.4K-10.3M-64.1K1.1536.42677711,8639,290
2009-06-18$27.20$30.0041.6%11.9%36.7%20.9%40.8%2.5%0.2%136.7K-10.0M-64.3K0.3233.27471511,6239,314
2009-06-19$27.43$30.0039.9%11.4%36.3%19.4%36.3%2.9%2.0%141.9K-10.3M-64.9K0.7819.731159011,6049,316
2009-06-22$26.54$30.0040.1%11.5%38.5%19.6%39.4%-0.1%2.0%117.9K-2.9M-61.3K0.6929.1981567,9555,591
2009-06-23$26.79$30.0041.7%12.0%37.2%20.9%41.8%3.1%-0.9%119.7K-3.0M-60.9K1.9727.95611207,9235,581
2009-06-24$26.66$30.0036.2%10.4%33.4%16.5%36.4%0.9%4.1%116.0K-2.6M-60.3K0.9130.452862597,9815,656
2009-06-25$27.56$30.0023.5%6.7%33.1%6.1%16.2%19.6%19.4%152.8K-3.7M-61.7K0.0812.59782638,0905,867
2009-06-26$27.17$30.0033.1%9.5%32.2%13.9%31.6%0.4%7.5%139.6K-3.3M-61.0K0.3333.83207688,2275,921
2009-06-29$27.44$30.0028.2%8.1%26.7%9.9%34.1%13.6%13.7%141.6K-3.3M-60.4K0.4529.2082378,0775,933
2009-06-30$27.40$30.0029.0%8.3%26.7%10.5%37.3%16.4%16.6%150.4K-3.4M-59.5K0.3920.74142568,1515,965