L Options History — October 2009

In October 2009, L traded between $33.10 and $36.57. ATM implied volatility averaged 28.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.7% (HV 20d: 25.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-10-29: Highest Volume — 2,217 contracts
  • 2009-10-15: Largest IV spike — 102.2% change
  • 2009-10-30: Highest IV Rank — 21.8%
  • 2009-10-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.95$33.10$36.57$33.44$33.10
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV28.9%15.6%37.0%25.3%37.0%
Expected Move8.8%7.2%10.6%7.2%10.6%
HV 20d25.2%22.2%33.3%22.6%33.3%
HV 60d28.8%27.0%29.9%29.8%28.9%
IV Rank11.2%0.0%21.8%4.2%21.8%
IV Percentile15.3%0.0%38.9%1.6%38.9%
Term Structure-0.4%-5.9%4.7%1.8%-5.9%
VWIV30.2%15.9%37.2%30.5%37.2%
Skew 25d4.5%-10.3%11.3%-10.3%9.0%
Skew 10d7.2%-7.9%15.5%-7.9%13.6%
Call IV 25d28.1%21.6%34.7%30.1%34.7%
Put IV 25d32.6%19.9%43.8%19.9%43.8%
Bid-Ask Spread %24.6114.3537.5122.6423.60
Gamma HHI0.740.540.900.810.78
Net GEX692.8K435.7K1.1M435.7K609.3K
Net DEX-15.6M-24.0M-9.1M-9.3M-10.5M
Net VEX-61.3K-67.5K-53.2K-64.5K-67.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.250.840.10
Total Volume582.682122,217615602
Total OI17,867.13616,46320,18116,46320,181

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$33.44$35.0025.3%7.2%22.6%4.2%30.5%-10.3%1.8%435.7K-9.3M-64.5K0.8422.643352809,3837,080
2009-10-02$33.52$35.0026.5%7.6%22.2%5.3%0.0%11.3%4.7%453.5K-9.1M-64.4K0.0618.511,221799,3537,237
2009-10-05$34.09$35.0028.2%9.0%22.9%6.7%31.6%6.5%1.3%647.0K-11.5M-65.2K0.9325.19151410,2527,306
2009-10-06$34.73$35.0027.5%9.0%22.9%6.1%31.6%6.6%0.5%800.9K-14.6M-66.5K0.1224.533163910,4317,316
2009-10-07$34.80$35.0029.1%8.7%22.7%7.4%30.7%5.9%1.5%842.9K-14.9M-65.9K0.1224.41821010,5077,341
2009-10-08$34.92$35.0024.4%8.7%22.5%3.5%30.2%3.9%0.9%962.1K-16.1M-65.2K0.0023.1612010,5347,331
2009-10-09$34.81$35.0025.6%8.9%22.3%4.5%31.0%4.6%-0.3%901.4K-14.8M-63.8K0.9125.60111010,2997,276
2009-10-12$35.09$35.0028.0%8.8%22.2%6.5%30.8%4.5%-0.3%1.0M-16.3M-61.7K0.8322.02544510,3107,282
2009-10-13$34.77$35.0025.8%9.0%22.4%5.8%29.7%7.4%-0.6%1.1M-14.8M-61.2K0.0114.661,7791010,3497,317
2009-10-14$35.81$35.0015.6%8.8%22.7%0.0%27.6%6.0%-0.1%849.4K-21.2M-58.2K0.0823.683002411,1727,325
2009-10-15$36.57$35.0031.6%9.0%23.2%16.0%31.5%7.4%-0.8%563.0K-24.0M-55.2K0.1630.411,23519911,3377,320
2009-10-16$35.89$35.0030.4%8.7%24.4%15.1%29.6%5.7%-0.4%892.6K-22.9M-60.4K1.0433.0422623511,9467,328
2009-10-19$36.25$35.0030.8%8.8%24.5%15.5%29.7%5.8%-0.4%580.3K-18.6M-58.8K0.4929.4326813010,3906,416
2009-10-20$35.62$35.0029.3%8.4%25.5%14.0%29.2%-2.4%0.7%590.9K-17.0M-59.2K0.9331.1717416210,5546,526
2009-10-21$35.14$35.0031.4%9.0%25.6%16.2%31.4%3.8%-0.6%559.3K-15.8M-59.1K1.7337.519115710,5996,602
2009-10-22$36.50$35.0031.0%8.9%27.4%15.7%31.0%2.5%-3.2%610.8K-20.6M-53.2K0.6124.0561637710,6166,706
2009-10-23$35.88$35.0030.7%8.8%28.3%15.4%28.8%0.2%-1.9%613.7K-18.7M-60.1K4.2525.612811911,1186,980
2009-10-26$35.30$35.0030.6%8.8%27.4%15.3%15.9%5.0%-1.5%606.9K-16.4M-57.6K0.0014.3532011,1017,030
2009-10-27$34.65$35.0029.0%8.3%28.2%13.7%29.0%1.0%0.2%592.3K-13.8M-57.5K1.5524.129815211,1047,030
2009-10-28$33.57$35.0035.1%10.1%30.4%19.9%35.1%5.8%-3.3%451.8K-9.7M-61.2K0.4226.4474831711,0717,120
2009-10-29$34.37$35.0032.9%9.4%30.3%17.7%32.9%8.9%-1.8%566.3K-12.2M-61.1K0.0217.272,1655211,3907,211
2009-10-30$33.10$35.0037.0%10.6%33.3%21.8%37.2%9.0%-5.9%609.3K-10.5M-67.5K0.1023.605455712,9397,242