L Options History — August 2009

In August 2009, L traded between $31.02 and $34.15. ATM implied volatility averaged 29.6%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 5.3% (HV 20d: 34.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2009-08-03: Highest Volume — 1,128 contracts
  • 2009-08-13: Largest IV spike — 62.1% change
  • 2009-08-19: Highest IV Rank — 12.6%
  • 2009-08-19: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.47$31.02$34.15$32.08$34.15
Max Pain$26.19$25.00$30.00$25.00$30.00
ATM IV29.6%20.3%35.2%27.5%29.8%
Expected Move8.8%7.3%10.1%7.9%8.5%
HV 20d34.8%28.4%37.5%34.9%28.4%
HV 60d35.9%31.5%45.1%45.1%31.5%
IV Rank8.8%0.0%12.6%9.3%8.0%
IV Percentile11.3%0.0%22.6%7.1%9.9%
Term Structure3.1%-0.9%13.0%7.8%1.7%
VWIV28.7%20.1%35.0%27.0%29.8%
Skew 25d7.3%0.1%20.7%20.7%7.1%
Skew 10d21.4%-1.8%65.4%62.8%12.1%
Call IV 25d25.9%13.9%31.8%15.8%27.8%
Put IV 25d33.2%29.4%39.2%36.5%34.9%
Bid-Ask Spread %15.879.0128.6419.4616.43
Gamma HHI0.690.410.890.890.42
Net GEX259.4K169.7K368.9K317.2K176.4K
Net DEX-15.8M-18.1M-11.6M-17.2M-11.9M
Net VEX-51.3K-55.7K-47.2K-49.4K-47.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.1114.700.3214.70
Total Volume372.143371,1281,128895
Total OI16,554.71413,86817,85816,70413,868

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$32.08$25.0027.5%7.9%34.9%9.3%27.0%20.7%7.8%317.2K-17.2M-49.4K0.3219.468572719,0627,642
2009-08-04$32.23$30.0025.5%7.3%32.4%7.7%24.9%4.9%13.0%284.0K-17.2M-52.0K2.3224.991914439,1347,719
2009-08-05$32.16$30.0026.7%7.7%31.8%8.7%20.1%19.2%11.4%293.1K-16.8M-51.3K0.6828.64133919,1767,791
2009-08-06$31.42$30.0029.1%8.4%34.0%10.7%29.3%7.6%3.5%327.1K-14.8M-53.8K2.2018.632625779,1407,828
2009-08-07$31.71$25.0031.3%9.1%33.8%12.5%24.6%2.2%2.4%293.7K-15.8M-55.7K0.9414.271351279,3387,985
2009-08-10$31.97$25.0026.8%9.1%32.6%7.5%30.3%10.0%2.7%299.2K-16.1M-52.2K0.4716.95150719,2958,020
2009-08-11$31.02$25.0031.2%9.5%34.9%10.3%33.3%0.8%0.4%338.2K-14.1M-55.4K1.2517.9324309,3137,945
2009-08-12$31.96$25.0020.3%9.6%33.7%0.0%30.8%4.0%2.8%249.0K-16.6M-53.4K0.1312.96342439,3257,945
2009-08-13$32.48$25.0032.9%9.4%33.8%10.6%33.1%3.5%2.4%248.5K-18.1M-50.7K0.8212.1387719,5337,948
2009-08-14$32.01$25.0032.7%9.4%34.4%10.5%0.0%6.5%1.9%255.9K-17.1M-51.3K1.6913.501061799,5517,976
2009-08-17$31.03$25.0034.6%9.9%36.9%12.1%34.4%0.1%0.8%368.9K-14.3M-55.5K1.1511.661241439,6548,130
2009-08-18$31.32$25.0034.4%9.9%36.9%12.0%34.4%0.7%1.0%285.4K-15.2M-53.4K2.0813.0112259,6558,203
2009-08-19$31.57$25.0035.2%10.1%36.9%12.6%23.3%15.7%-0.9%261.4K-15.6M-53.1K0.119.01476529,5418,146
2009-08-20$31.86$25.0033.9%9.7%35.4%11.5%24.2%9.7%0.4%249.2K-14.8M-50.4K0.2413.8083209,0778,137
2009-08-21$33.15$25.0027.0%7.7%37.5%5.7%24.2%3.6%3.8%233.5K-17.9M-47.6K0.4518.313761699,0978,137
2009-08-24$33.47$25.0028.1%8.0%37.4%6.6%28.2%4.9%3.1%203.9K-15.9M-48.9K0.2113.13334718,3396,481
2009-08-25$34.12$25.0028.8%8.3%37.0%7.2%28.8%7.0%1.5%204.4K-17.1M-47.9K2.4317.611383358,4416,542
2009-08-26$33.93$25.0028.8%8.3%36.6%7.2%29.4%8.9%1.3%194.6K-16.5M-49.8K0.4011.3891368,5066,801
2009-08-27$34.09$25.0028.2%8.1%36.2%6.7%35.0%7.7%1.1%193.3K-16.9M-48.9K1.1715.2069818,5466,811
2009-08-28$34.13$30.0028.0%8.0%36.2%6.5%28.0%8.5%2.1%169.7K-11.6M-49.3K0.1614.3482137,0176,854
2009-08-31$34.15$30.0029.8%8.5%28.4%8.0%29.8%7.1%1.7%176.4K-11.9M-47.2K14.7016.43578387,0496,819