L Options History — April 2010

In April 2010, L traded between $37.24 and $38.93. ATM implied volatility averaged 19.1%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.1% (HV 20d: 14.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2010-04-30: Highest Volume — 310 contracts
  • 2010-04-30: Largest IV spike — 61.3% change
  • 2010-04-30: Highest IV Rank — 39.9%
  • 2010-04-30: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.17$37.24$38.93$37.87$37.24
Max Pain$38.33$35.00$40.00$35.00$40.00
ATM IV19.1%11.2%31.9%11.2%31.9%
Expected Move6.1%3.2%9.2%3.2%9.2%
HV 20d14.1%9.4%20.3%9.4%20.3%
HV 60d18.2%16.8%19.2%19.0%17.6%
IV Rank15.2%0.0%39.9%0.0%39.9%
IV Percentile17.0%0.0%73.4%0.0%73.4%
Term Structure-1.2%-4.3%8.7%8.7%-4.3%
VWIV22.3%17.9%29.1%18.7%29.1%
Skew 25d4.6%1.8%13.2%1.8%4.0%
Skew 10d7.4%2.9%10.1%2.9%4.7%
Call IV 25d20.2%12.0%26.8%12.0%26.8%
Put IV 25d24.8%13.8%30.9%13.8%30.9%
Bid-Ask Spread %22.707.1144.717.1127.48
Gamma HHI0.530.460.600.510.46
Net GEX109.4K29.4K172.8K82.8K29.5K
Net DEX-2.9M-4.9M-322.5K-3.9M-330.2K
Net VEX-19.0K-20.3K-17.5K-18.8K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0021.502.100.24
Total Volume101.5245310161310
Total OI4,614.194,3245,1034,5594,675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$37.87$35.0011.2%3.2%9.4%0.0%0.0%1.8%8.7%82.8K-3.9M-18.8K2.107.11521092,6601,899
2010-04-05$38.44$35.0011.3%5.3%10.2%0.2%18.7%4.2%1.0%113.8K-4.4M-18.1K0.0016.672602,6631,926
2010-04-06$38.28$35.0011.8%5.6%10.4%1.0%19.5%3.4%-0.8%124.2K-4.4M-17.5K0.1920.111632,6711,839
2010-04-07$38.06$35.0013.1%6.1%10.6%3.6%24.5%3.5%-2.0%103.0K-4.1M-18.0K1.4416.7841592,6831,842
2010-04-08$38.04$35.0016.8%6.0%10.6%10.7%24.1%3.0%-1.2%109.7K-4.1M-17.5K21.5018.80102152,6831,842
2010-04-09$38.44$35.0012.8%5.7%11.0%3.0%20.6%4.8%-0.8%109.8K-4.2M-19.0K0.4719.5847222,7172,025
2010-04-12$38.46$35.0016.4%5.7%10.9%9.9%19.7%4.5%-1.2%125.8K-4.3M-18.4K1.8318.3624442,7602,045
2010-04-13$38.50$40.0016.7%5.9%10.7%10.5%20.5%4.1%-1.3%122.7K-4.3M-19.0K0.1222.0684102,7742,066
2010-04-14$38.93$40.0014.8%5.7%11.1%6.9%20.0%5.4%-0.9%172.8K-4.9M-18.3K0.0016.574702,8392,066
2010-04-15$38.81$40.0021.2%6.1%11.3%19.1%21.2%5.7%-2.2%168.7K-4.8M-18.8K0.8620.861621402,8752,066
2010-04-16$37.80$40.0021.1%6.1%14.9%19.1%26.3%4.3%-1.7%93.2K-3.7M-19.7K2.7623.94381052,9232,180
2010-04-19$38.20$40.0020.8%6.0%15.0%18.4%20.8%3.9%-2.2%108.4K-1.5M-19.6K0.1225.4495112,1192,205
2010-04-20$38.67$40.0020.9%6.0%15.5%18.5%20.9%5.1%-1.6%159.0K-2.2M-20.1K2.6921.5713352,1942,216
2010-04-21$38.57$40.0020.8%6.0%15.3%18.5%20.8%5.5%-1.5%145.3K-2.0M-19.8K0.5724.2823132,1952,247
2010-04-22$38.03$40.0021.4%6.1%16.1%19.7%0.0%5.1%-2.0%103.0K-1.4M-19.7K0.8325.5335292,1752,247
2010-04-23$38.37$40.0021.6%6.2%16.2%19.9%17.9%4.5%-1.8%125.0K-1.7M-18.9K3.3328.223102,1952,258
2010-04-26$38.50$40.0021.7%6.2%16.2%20.1%0.0%5.3%-1.9%149.1K-1.9M-19.0K0.0022.58502,1972,265
2010-04-27$37.38$40.0025.7%7.4%19.6%27.8%24.5%2.1%-1.8%53.5K-732.7K-18.8K4.6729.73241122,2012,265
2010-04-28$37.26$40.0030.0%8.6%19.6%36.2%27.3%13.2%-4.0%29.4K-322.5K-19.6K3.0344.7131942,2152,340
2010-04-29$37.82$40.0019.8%5.7%20.3%16.5%25.5%4.3%-2.4%69.8K-916.3K-20.1K0.1726.273052,2252,420
2010-04-30$37.24$40.0031.9%9.2%20.3%39.9%29.1%4.0%-4.3%29.5K-330.2K-20.3K0.2427.48250602,2552,420