L Options History — March 2010

In March 2010, L traded between $37.02 and $37.70. ATM implied volatility averaged 16.8%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.0% (HV 20d: 13.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.44.

Notable Days

  • 2010-03-22: Highest Volume — 750 contracts
  • 2010-03-09: Largest IV spike — 63.3% change
  • 2010-03-09: Highest IV Rank — 18.6%
  • 2010-03-04: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.35$37.02$37.70$37.02$37.28
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV16.8%12.1%25.4%18.6%13.0%
Expected Move4.8%3.5%6.5%5.3%3.7%
HV 20d13.8%7.6%23.5%23.5%7.6%
HV 60d19.4%18.8%19.7%19.7%18.8%
IV Rank6.2%0.0%18.6%7.0%1.8%
IV Percentile4.2%0.0%23.8%2.0%1.6%
Term Structure6.0%-1.7%11.1%8.4%8.2%
VWIV17.1%12.7%26.5%13.7%14.0%
Skew 25d4.3%-3.2%9.5%9.5%-0.3%
Skew 10d6.1%-3.8%13.0%12.3%-0.6%
Call IV 25d13.8%10.4%17.4%13.1%13.0%
Put IV 25d18.1%11.9%22.7%22.6%12.7%
Bid-Ask Spread %22.057.0148.5714.037.12
Gamma HHI0.540.480.740.500.53
Net GEX99.8K56.0K152.9K91.6K81.7K
Net DEX-4.1M-5.3M-987.5K-3.5M-3.4M
Net VEX-22.0K-27.6K-18.9K-27.5K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0033.000.251.40
Total Volume79.82607505144
Total OI6,560.0433,6147,8917,6194,436

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$37.02$35.0018.6%5.3%23.5%7.0%13.7%9.5%8.4%91.6K-3.5M-27.5K0.2514.03413,8613,758
2010-03-02$37.19$35.0019.5%5.6%22.7%8.5%15.5%9.4%6.9%114.6K-3.8M-27.6K0.0521.3112763,8643,759
2010-03-03$37.05$35.0022.5%6.5%21.9%13.7%23.1%5.5%-1.7%95.3K-3.8M-27.0K0.3317.27623,9423,753
2010-03-04$37.14$35.0022.6%6.5%21.5%14.0%22.0%6.8%-0.9%101.3K-4.0M-26.2K0.2317.492253,9473,751
2010-03-05$37.50$35.0016.0%5.9%16.7%2.7%0.0%3.8%3.4%101.5K-5.1M-22.5K1.6831.4128473,9483,756
2010-03-08$37.54$35.0015.6%3.8%16.7%2.0%0.0%4.3%5.9%99.9K-5.2M-22.1K1.0029.4920203,9583,771
2010-03-09$37.44$35.0025.4%6.1%15.0%18.6%0.0%3.9%3.5%152.9K-4.5M-26.0K0.0028.832103,9633,791
2010-03-10$37.53$35.0016.9%3.9%14.6%4.7%16.8%3.5%4.0%91.0K-5.1M-21.9K0.0028.3211403,9683,791
2010-03-11$37.70$35.0017.7%5.1%14.2%6.2%0.0%4.7%2.6%125.9K-5.3M-22.1K0.0019.01004,0593,791
2010-03-12$37.56$35.0013.8%4.0%14.5%0.0%14.8%4.8%5.2%105.3K-5.3M-21.7K4.5627.489414,0593,791
2010-03-15$37.40$35.0017.2%4.9%14.6%6.5%0.0%9.2%11.1%71.9K-5.0M-21.0K0.5720.861484,0573,831
2010-03-16$37.62$35.0014.4%4.1%11.8%1.3%26.5%-3.2%5.3%90.3K-5.2M-21.1K0.0048.572504,0573,831
2010-03-17$37.60$35.0014.2%4.1%11.8%0.8%0.0%2.4%3.9%89.3K-5.3M-20.4K0.1837.013464,0523,831
2010-03-18$37.45$35.0012.6%3.6%11.8%0.0%12.9%0.9%9.9%63.3K-5.0M-20.0K0.0040.275604,0403,837
2010-03-19$37.17$35.0017.1%4.9%12.2%8.9%13.7%9.3%10.2%58.6K-4.8M-19.9K5.0021.779454,0543,837
2010-03-22$37.14$35.0018.1%5.2%12.1%10.9%18.1%4.9%4.8%56.0K-987.5K-19.3K0.0922.19689611,9251,689
2010-03-23$37.47$35.0012.1%3.5%10.4%0.0%0.0%1.5%10.6%92.4K-3.5M-19.5K0.257.2340102,5881,743
2010-03-24$37.25$35.0017.0%4.9%9.4%9.7%0.0%6.9%7.9%149.2K-3.2M-20.7K0.0722.861412,5681,753
2010-03-25$37.10$35.0021.0%6.0%9.6%17.5%22.8%4.5%-0.0%152.2K-3.1M-20.8K0.3723.2530112,5801,753
2010-03-26$37.24$35.0016.1%4.6%9.4%7.9%13.1%6.5%8.9%144.2K-3.1M-20.5K3.267.3419622,5951,744
2010-03-29$37.36$35.0012.2%3.5%7.8%0.2%12.7%0.1%9.6%81.3K-3.4M-18.9K1.437.0821302,6021,795
2010-03-30$37.23$35.0012.4%3.6%7.8%0.7%0.0%-0.5%9.7%86.1K-3.4M-19.2K33.007.011332,6071,795
2010-03-31$37.28$35.0013.0%3.7%7.6%1.8%14.0%-0.3%8.2%81.7K-3.4M-19.2K1.407.1260842,6081,828