L Options History — July 2009

In July 2009, L traded between $25.67 and $30.02. ATM implied volatility averaged 32.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.1% (HV 20d: 32.5%). 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 6 of 22 days. Put/call ratio averaged 3.41.

Notable Days

  • 2009-07-01: Highest Volume — 1,184 contracts
  • 2009-07-15: Largest IV spike — 94.3% change
  • 2009-07-15: Highest IV Rank — 27.3%
  • 2009-07-13: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.66$25.67$30.02$27.42$30.02
Max Pain$25.45$25.00$30.00$30.00$25.00
ATM IV32.6%24.6%49.5%29.8%36.1%
Expected Move9.8%7.1%11.5%8.5%10.4%
HV 20d32.5%24.3%36.0%24.3%28.2%
HV 60d50.5%44.0%56.7%55.9%44.0%
IV Rank13.5%7.0%27.3%11.2%16.4%
IV Percentile17.7%4.4%38.9%11.9%23.4%
Term Structure-0.4%-4.9%13.0%13.0%-4.9%
VWIV34.4%29.0%40.5%32.7%36.1%
Skew 25d5.9%0.1%11.8%11.8%3.8%
Skew 10d9.5%0.5%17.8%15.2%6.5%
Call IV 25d30.7%20.0%39.0%20.0%39.0%
Put IV 25d36.6%26.8%42.8%31.9%42.8%
Bid-Ask Spread %25.9711.4737.4827.5132.71
Gamma HHI0.580.360.760.590.76
Net GEX146.1K14.3K275.9K147.2K275.9K
Net DEX-5.4M-11.1M-683.7K-3.3M-11.1M
Net VEX-58.3K-61.1K-55.2K-57.7K-56.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.0032.320.060.18
Total Volume377.5261,1841,184294
Total OI16,022.40914,04817,10814,04816,544

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$27.42$30.0029.8%8.5%24.3%11.2%32.7%11.8%13.0%147.2K-3.3M-57.7K0.0627.511,112728,0855,963
2009-07-02$26.05$30.0029.4%8.4%28.8%10.9%0.0%3.7%6.7%94.7K-2.1M-57.7K24.4224.68194648,6775,963
2009-07-06$26.63$25.0029.3%10.9%29.8%10.8%40.5%6.2%1.0%121.7K-2.6M-55.2K32.3227.33311,0028,6655,771
2009-07-07$25.95$25.0032.4%10.9%30.7%13.3%37.9%5.8%0.1%49.3K-1.5M-56.6K2.2023.2815338,6656,740
2009-07-08$25.67$25.0036.9%10.8%30.7%17.0%37.7%4.9%-1.2%27.1K-683.7K-55.5K2.1424.792415158,6736,766
2009-07-09$25.76$25.0036.3%11.2%30.7%16.5%38.9%3.7%-2.5%15.4K-1.2M-59.4K0.0625.2510368,8617,126
2009-07-10$25.75$25.0034.4%11.0%30.6%14.9%37.6%5.9%-1.5%14.3K-930.5K-57.1K0.7437.4819148,9267,121
2009-07-13$26.64$25.0031.4%11.5%33.5%12.5%31.0%8.5%-2.6%82.2K-2.7M-59.2K0.0129.158418,9127,116
2009-07-14$26.37$25.0025.5%11.0%32.8%7.7%38.3%6.1%-1.0%78.0K-2.5M-57.4K0.0026.583008,9537,104
2009-07-15$27.48$25.0049.5%11.1%36.0%27.3%31.2%6.2%-4.4%146.8K-4.3M-58.3K0.8130.816335138,9427,104
2009-07-16$27.56$25.0028.3%8.1%35.8%10.0%0.0%6.3%-0.3%145.2K-5.4M-61.1K2.9931.75672009,5257,583
2009-07-17$27.39$25.0038.2%11.0%35.7%18.1%36.5%3.5%-2.1%124.7K-5.0M-60.8K1.7632.593295809,3557,513
2009-07-20$27.80$25.0031.3%9.0%35.9%12.5%35.3%4.3%-1.1%140.2K-6.0M-60.1K1.0320.592012088,8247,559
2009-07-21$27.89$25.0024.6%7.1%33.7%7.0%29.7%6.3%0.0%150.4K-6.0M-60.0K0.3127.60205638,7897,637
2009-07-22$28.06$25.0029.3%8.4%33.6%10.8%29.0%4.3%-0.2%176.0K-6.9M-59.2K0.2726.882268,9017,643
2009-07-23$29.04$25.0032.1%9.2%35.3%13.1%32.1%7.2%-2.0%212.5K-8.8M-58.9K2.8526.031173338,6537,597
2009-07-24$29.34$25.0031.8%9.1%33.7%12.8%31.7%9.3%0.1%217.8K-9.4M-59.3K0.3123.93203638,7427,650
2009-07-27$29.73$25.0032.0%9.2%33.3%13.0%32.0%2.7%-1.3%264.9K-10.6M-58.4K0.5712.14138788,8487,669
2009-07-28$29.34$25.0032.0%9.2%33.8%13.0%32.0%0.1%-0.4%248.5K-9.7M-58.4K0.6311.4716108,8047,617
2009-07-29$28.98$25.0033.9%9.7%34.2%14.5%33.9%7.6%-1.9%221.3K-8.6M-58.3K0.8923.5247428,8107,627
2009-07-30$29.63$25.0033.0%9.5%34.9%13.8%33.0%11.2%-1.5%260.3K-10.2M-57.4K0.4425.20122548,8247,646
2009-07-31$30.02$25.0036.1%10.4%28.2%16.4%36.1%3.8%-4.9%275.9K-11.1M-56.7K0.1832.71249458,8807,664