L Options History — December 2009

In December 2009, L traded between $35.02 and $36.65. ATM implied volatility averaged 23.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.1% (HV 20d: 16.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.31.

Notable Days

  • 2009-12-22: Highest Volume — 520 contracts
  • 2009-12-28: Largest IV spike — 29.5% change
  • 2009-12-08: Highest IV Rank — 15.3%
  • 2009-12-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.88$35.02$36.65$35.71$36.35
Max Pain$30.68$30.00$35.00$35.00$30.00
ATM IV23.5%17.0%27.3%25.8%21.2%
Expected Move6.8%4.9%7.8%7.4%6.1%
HV 20d16.5%10.0%20.6%20.3%10.3%
HV 60d24.8%23.0%26.0%26.0%23.0%
IV Rank11.4%2.3%15.3%11.7%9.1%
IV Percentile4.1%0.4%13.5%7.1%1.2%
Term Structure4.0%-0.7%13.1%-0.5%6.4%
VWIV23.6%18.7%29.3%25.9%22.3%
Skew 25d8.4%3.6%28.7%5.9%3.6%
Skew 10d25.8%6.2%87.3%8.8%8.2%
Call IV 25d18.1%12.0%25.2%20.6%17.7%
Put IV 25d26.5%20.2%44.9%26.5%21.3%
Bid-Ask Spread %12.286.5327.1219.947.58
Gamma HHI0.570.420.760.560.44
Net GEX310.3K-51.8K679.7K426.8K-51.8K
Net DEX-11.4M-15.9M-9.1M-12.5M-9.5M
Net VEX-33.5K-42.2K-25.4K-42.2K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.0024.832.480.19
Total Volume175.09113520108123
Total OI14,776.90912,32216,33515,74512,740

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$35.71$35.0025.8%7.4%20.3%11.7%25.9%5.9%-0.5%426.8K-12.5M-42.2K2.4819.9431778,2817,464
2009-12-02$35.58$35.0024.2%6.9%20.3%10.7%24.2%3.6%1.6%458.3K-12.1M-41.9K0.9214.3462578,2867,498
2009-12-03$35.18$35.0025.4%7.3%20.6%12.2%24.9%4.3%-0.7%460.6K-11.1M-41.8K1.6816.7419328,3407,519
2009-12-04$35.45$30.0026.2%7.8%19.8%13.5%29.3%4.5%1.5%493.1K-11.2M-41.9K0.2627.123188,3367,541
2009-12-07$35.38$30.0026.7%7.3%19.8%14.5%25.4%5.5%3.3%492.3K-11.4M-39.4K0.4522.8967308,3397,541
2009-12-08$35.02$30.0027.3%7.8%18.0%15.3%22.7%11.1%1.1%506.3K-9.4M-39.4K19.3119.61163098,3237,571
2009-12-09$35.05$30.0024.8%7.5%18.0%12.0%25.9%11.8%2.3%557.5K-9.1M-38.5K0.009.5922808,3307,847
2009-12-10$35.43$30.0024.3%7.0%18.1%12.3%24.3%4.0%3.9%594.1K-11.1M-37.9K0.009.801308,4577,847
2009-12-11$35.58$30.0023.8%6.8%17.9%11.7%18.7%11.2%3.3%679.7K-12.0M-35.8K1.1212.721071208,4707,847
2009-12-14$35.98$30.0024.6%7.1%18.3%13.0%24.9%12.4%3.6%552.0K-13.7M-33.8K0.0311.763818,4267,853
2009-12-15$35.89$30.0025.2%7.2%16.8%13.9%25.2%12.7%2.8%558.8K-14.1M-33.5K1.719.81771328,4317,851
2009-12-16$35.93$30.0024.1%6.9%16.8%13.6%24.2%13.1%3.8%487.8K-15.1M-31.9K0.3712.52130488,4517,845
2009-12-17$35.84$30.0023.8%6.8%16.7%13.1%0.0%6.8%4.1%558.2K-14.9M-30.9K0.867.5537328,4287,845
2009-12-18$36.12$30.0022.7%6.5%16.7%11.3%22.7%28.7%4.9%105.6K-15.9M-28.6K0.967.622352258,4627,873
2009-12-21$36.07$30.0021.5%6.2%16.1%9.6%21.5%6.9%6.1%20.8K-9.2M-29.2K3.338.49461536,1436,179
2009-12-22$36.09$30.0021.8%6.2%15.6%10.0%21.8%6.8%4.2%-4.8K-9.1M-29.4K0.0411.89500206,1556,309
2009-12-23$36.28$30.0021.4%6.1%15.4%9.5%21.5%7.0%5.2%-12.0K-9.4M-28.5K8.076.53141136,1066,329
2009-12-24$36.60$30.0017.0%4.9%15.2%2.3%20.5%8.2%13.1%-16.7K-10.0M-27.0K3.108.47411276,0506,308
2009-12-28$36.46$30.0022.0%6.3%10.9%10.4%0.0%4.8%6.1%-18.7K-9.6M-27.0K0.007.795106,0916,345
2009-12-29$36.65$30.0021.9%6.3%10.3%10.3%21.8%4.8%5.4%-4.8K-10.3M-26.5K3.178.86461466,1416,345
2009-12-30$36.61$30.0022.1%6.3%10.0%10.5%22.3%6.6%5.5%-16.1K-10.0M-25.4K24.838.46122986,1576,392
2009-12-31$36.35$30.0021.2%6.1%10.3%9.1%0.0%3.6%6.4%-51.8K-9.5M-26.4K0.197.58103206,1616,579