L Options History — May 2010

In May 2010, L traded between $31.31 and $37.44. ATM implied volatility averaged 31.3%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.7% (HV 20d: 33.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.15.

Notable Days

  • 2010-05-03: Highest Volume — 1,357 contracts
  • 2010-05-20: Largest IV spike — 63.4% change
  • 2010-05-20: Highest IV Rank — 95.8%
  • 2010-05-20: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.72$31.31$37.44$37.44$32.51
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV31.3%15.0%47.9%23.1%15.0%
Expected Move8.9%4.3%13.7%6.6%4.3%
HV 20d33.1%19.6%41.5%19.6%41.4%
HV 60d22.5%15.9%27.2%15.9%27.2%
IV Rank47.0%9.9%95.8%22.8%9.9%
IV Percentile63.2%6.7%99.6%27.4%6.7%
Term Structure0.8%-8.2%10.5%8.5%10.5%
VWIV30.3%16.6%41.8%17.2%16.6%
Skew 25d10.5%-1.4%18.7%13.9%18.5%
Skew 10d13.1%-2.6%19.7%12.0%15.9%
Call IV 25d23.6%13.5%36.5%13.5%14.9%
Put IV 25d34.1%22.0%44.7%27.4%33.4%
Bid-Ask Spread %34.9614.04122.1524.4722.56
Gamma HHI0.420.320.600.470.37
Net GEX12.6K-46.8K90.4K52.5K-42.2K
Net DEX2.0M-1.0M4.3M-664.0K2.9M
Net VEX-21.0K-25.0K-17.8K-19.9K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0219.570.020.88
Total Volume260.791,3571,35730
Total OI5,821.84,8386,4634,8385,453

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$37.44$35.0023.1%6.6%19.6%22.8%17.2%13.9%8.5%52.5K-664.0K-19.9K0.0224.471,330272,3982,440
2010-05-04$36.06$35.0030.1%8.6%23.4%36.4%30.1%9.5%-3.1%75.2K-1.0M-23.8K0.6514.452731783,1432,405
2010-05-05$35.83$35.0028.3%8.1%23.4%32.9%25.9%5.0%-2.2%90.4K-924.3K-25.0K1.0623.1970743,3842,512
2010-05-06$33.92$35.0038.8%11.1%29.7%53.2%41.6%3.0%5.2%35.4K1.6M-24.0K3.41122.15491673,3512,553
2010-05-07$33.60$35.0034.6%9.0%29.1%45.0%33.3%10.7%0.6%21.9K2.4M-22.4K0.6038.9091553,3742,557
2010-05-10$34.98$35.0029.6%7.9%33.5%35.4%20.8%13.0%3.7%58.1K669.3K-23.1K0.0320.841,140293,4352,557
2010-05-11$34.92$35.0027.8%7.6%33.5%31.9%26.6%11.9%2.8%48.5K594.5K-23.0K0.8125.3498793,4232,552
2010-05-12$35.36$35.0024.6%7.4%33.6%25.7%25.8%11.4%3.0%62.7K-85.9K-23.5K2.0924.8422463,4732,596
2010-05-13$34.89$35.0026.4%7.6%33.7%29.3%26.4%11.3%2.0%45.9K656.7K-23.1K0.8214.0440333,4452,633
2010-05-14$34.10$35.0027.7%7.9%33.4%43.0%27.7%-1.4%1.2%21.9K2.2M-21.5K0.6729.4252353,4502,641
2010-05-17$33.94$35.0027.8%8.0%32.9%43.3%30.7%10.5%2.4%14.0K2.9M-20.1K0.0814.146353,4612,645
2010-05-18$33.19$35.0029.2%8.4%32.7%47.0%38.3%8.7%1.5%-9023.3M-19.4K1.6815.41901513,4862,650
2010-05-19$33.12$35.0029.3%8.4%32.7%47.2%30.2%8.2%0.3%-11.2K3.5M-19.6K0.5033.36633,5692,748
2010-05-20$31.31$35.0047.9%13.7%36.9%95.8%37.3%6.0%-8.2%-27.4K4.3M-18.4K0.8752.352872493,5672,749
2010-05-21$31.97$35.0044.4%12.7%38.0%86.6%40.7%12.3%-4.7%-32.8K4.3M-19.8K1.8842.4824453,6342,829
2010-05-24$31.39$35.0040.9%11.7%37.8%77.5%28.3%18.7%-3.5%-39.7K3.5M-18.5K0.7947.7470552,7872,498
2010-05-25$31.49$35.0041.8%12.0%37.4%79.8%41.8%18.7%-2.6%-34.4K3.6M-18.3K4.2559.6812512,8562,475
2010-05-26$31.48$35.0036.6%10.5%37.4%66.3%36.7%14.9%-0.2%-38.3K3.6M-17.8K2.4249.1512292,8662,484
2010-05-27$32.97$35.0023.0%6.6%41.5%30.7%0.0%5.8%-0.3%-46.8K2.9M-18.6K19.5724.6671372,8682,489
2010-05-28$32.51$35.0015.0%4.3%41.4%9.9%16.6%18.5%10.5%-42.2K2.9M-20.0K0.8822.5616142,8732,580