L Options History — September 2009

In September 2009, L traded between $32.45 and $35.34. ATM implied volatility averaged 29.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.5% (HV 20d: 26.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2009-09-24: Highest Volume — 1,995 contracts
  • 2009-09-02: Largest IV spike — 54.8% change
  • 2009-09-02: Highest IV Rank — 12.3%
  • 2009-09-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.98$32.45$35.34$32.89$34.25
Max Pain$34.29$30.00$35.00$30.00$35.00
ATM IV29.0%22.5%34.8%22.5%29.0%
Expected Move8.4%6.4%10.0%6.4%8.3%
HV 20d26.5%21.3%32.3%31.9%21.3%
HV 60d31.9%29.4%33.0%32.6%29.4%
IV Rank7.4%1.9%12.3%1.9%7.4%
IV Percentile8.9%0.4%21.8%0.4%10.3%
Term Structure4.2%2.1%9.6%4.3%3.2%
VWIV30.8%26.0%40.6%30.5%29.0%
Skew 25d8.7%-4.8%19.1%7.8%-1.7%
Skew 10d13.9%-3.6%28.4%11.6%-0.8%
Call IV 25d25.7%21.3%30.7%27.0%27.2%
Put IV 25d34.4%22.4%44.4%34.8%25.5%
Bid-Ask Spread %21.4413.0846.3921.7817.35
Gamma HHI0.620.320.900.370.81
Net GEX195.4K37.6K535.1K116.3K342.9K
Net DEX-9.7M-13.8M-7.3M-9.1M-10.1M
Net VEX-58.0K-64.9K-52.7K-53.1K-61.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0411.141.250.08
Total Volume564.143331,9951,5431,586
Total OI15,686.1912,71816,94514,67615,517

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$32.89$30.0022.5%6.4%31.9%1.9%30.5%7.8%4.3%116.3K-9.1M-53.1K1.2521.786878567,0577,619
2009-09-02$32.45$30.0034.8%10.0%32.3%12.3%40.6%6.5%9.6%90.5K-7.6M-57.2K7.8816.701631,2857,1938,218
2009-09-03$32.88$30.0027.7%7.9%31.3%6.3%26.0%13.9%6.1%37.6K-7.4M-61.3K0.0516.994427,2799,022
2009-09-04$32.82$35.0027.4%8.8%31.2%6.0%34.5%8.8%3.3%49.0K-7.3M-61.9K1.5416.0413207,3039,020
2009-09-08$33.42$35.0026.1%9.3%31.7%4.9%32.5%10.3%2.9%54.4K-8.7M-58.1K0.1614.81245407,3159,020
2009-09-09$33.78$35.0031.5%9.1%29.4%9.5%37.1%10.8%2.3%91.4K-9.8M-58.6K0.9014.1378707,5309,030
2009-09-10$34.06$35.0030.2%8.7%27.8%8.4%30.2%11.9%3.6%100.6K-10.4M-57.7K2.6517.90852257,5319,072
2009-09-11$33.78$35.0030.2%8.7%27.7%8.4%30.2%10.4%4.1%102.6K-9.9M-58.4K6.3316.006387,5099,134
2009-09-14$34.17$35.0031.2%8.9%27.2%9.2%31.2%10.6%2.1%123.5K-10.7M-55.8K0.9315.911131057,5039,119
2009-09-15$34.38$35.0029.6%8.5%23.9%7.8%37.0%12.3%3.9%185.1K-11.1M-55.8K0.7117.3555397,5679,199
2009-09-16$35.34$35.0030.4%8.7%25.2%8.6%30.3%14.6%3.1%273.6K-13.8M-54.0K3.7422.521445397,6059,220
2009-09-17$34.90$35.0029.9%8.6%26.0%8.2%28.8%12.5%3.6%358.3K-12.4M-54.3K0.4821.992371147,6709,275
2009-09-18$34.79$35.0029.2%8.4%26.1%7.6%29.2%10.9%3.6%535.1K-11.7M-53.5K0.5113.08164837,5739,296
2009-09-21$34.73$35.0030.5%8.7%22.6%8.6%30.5%12.0%2.7%40.1K-7.7M-52.7K0.0422.931,521546,0326,686
2009-09-22$34.68$35.0028.2%8.1%22.5%6.7%28.2%11.3%4.1%227.8K-10.0M-59.0K0.0517.0114077,4726,731
2009-09-23$34.28$35.0026.5%7.6%22.0%5.2%26.5%0.3%6.8%237.0K-9.5M-58.5K0.2446.39166407,4956,734
2009-09-24$33.59$35.0028.4%8.1%23.1%6.9%28.5%-4.8%6.3%203.0K-7.6M-59.3K0.1039.761,8131827,6246,773
2009-09-25$33.52$35.0030.0%8.6%23.0%8.2%0.0%6.0%3.4%237.5K-8.2M-64.9K11.1422.597788,3106,804
2009-09-28$34.53$35.0027.3%7.8%25.4%5.9%27.4%19.1%5.1%345.9K-10.4M-60.4K0.2541.71346878,1826,867
2009-09-29$34.44$35.0028.3%8.1%25.5%6.8%28.3%-0.2%3.8%350.7K-10.7M-61.3K0.9017.241951758,3696,935
2009-09-30$34.25$35.0029.0%8.3%21.3%7.4%29.0%-1.7%3.2%342.9K-10.1M-61.7K0.0817.351,4711158,4747,043