L Options History — June 2010

In June 2010, L traded between $31.12 and $33.90. ATM implied volatility averaged 25.2%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 8.7% (HV 20d: 33.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.98.

Notable Days

  • 2010-06-30: Highest Volume — 1,151 contracts
  • 2010-06-04: Largest IV spike — 88.8% change
  • 2010-06-07: Highest IV Rank — 73.1%
  • 2010-06-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.91$31.12$33.90$31.87$33.31
Max Pain$30.68$30.00$35.00$35.00$30.00
ATM IV25.2%16.9%39.2%38.6%20.0%
Expected Move7.2%4.8%11.1%11.1%5.7%
HV 20d33.9%23.2%41.4%41.4%23.2%
HV 60d29.6%27.3%30.6%27.3%30.3%
IV Rank36.4%14.9%73.1%71.6%22.8%
IV Percentile39.3%10.3%95.6%94.4%16.7%
Term Structure4.3%-1.9%11.5%-1.9%4.5%
VWIV23.7%13.9%31.0%20.0%28.6%
Skew 25d4.4%-4.7%19.7%17.1%-4.7%
Skew 10d6.5%-5.0%24.4%16.2%-5.0%
Call IV 25d23.0%15.5%29.2%21.0%23.8%
Put IV 25d27.4%16.7%42.3%38.1%19.1%
Bid-Ask Spread %29.1712.2459.8615.8820.00
Gamma HHI0.540.380.760.440.55
Net GEX32.6K-55.1K120.6K-46.3K81.2K
Net DEX2.3M143.5K4.4M3.5M506.0K
Net VEX-16.4K-18.6K-14.5K-17.9K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.0021.000.790.00
Total Volume153.86411,151771,151
Total OI4,821.4093,1346,1755,4753,204

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$31.87$35.0038.6%11.1%41.4%71.6%20.0%17.1%-1.9%-46.3K3.5M-17.9K0.7915.8843342,8852,590
2010-06-02$32.63$35.0020.1%5.8%41.3%23.1%0.0%19.7%11.5%-47.0K3.1M-18.6K0.0021.43202,9102,580
2010-06-03$32.55$35.0019.7%5.6%41.3%22.0%0.0%3.9%10.1%-33.7K3.7M-15.7K2.0033.1010202,9112,580
2010-06-04$31.60$30.0037.1%10.5%38.1%67.5%0.0%11.0%2.1%-46.9K4.0M-16.2K21.0042.661212,9112,580
2010-06-07$31.34$30.0039.2%11.0%38.1%73.1%0.0%13.1%2.3%-47.6K4.1M-15.5K0.8343.1124202,9122,584
2010-06-08$31.30$30.0038.2%10.6%34.5%70.4%31.0%11.9%2.0%-48.8K4.2M-14.5K4.4642.95411832,8972,564
2010-06-09$31.12$30.0034.6%10.2%34.4%60.9%27.1%4.2%1.6%-55.1K4.4M-15.1K0.8659.862492132,9372,697
2010-06-10$32.43$30.0035.4%10.1%37.8%63.0%30.6%7.2%-0.5%2.9K3.8M-14.9K0.3934.5244173,1702,621
2010-06-11$32.55$30.0022.1%6.3%37.7%28.3%25.5%4.7%5.0%-1.4K3.7M-15.3K0.0024.922003,1992,635
2010-06-14$32.74$30.0025.1%7.2%37.1%36.3%30.5%6.4%4.9%9.2K3.5M-15.4K0.4318.6270303,2092,635
2010-06-15$33.65$30.0023.8%6.8%38.6%32.7%23.8%6.6%5.0%13.2K3.1M-16.4K0.0122.8529333,2522,653
2010-06-16$33.69$30.0022.4%6.4%37.7%29.2%22.5%-3.4%5.7%49.7K2.9M-17.5K0.0037.277703,4702,656
2010-06-17$33.87$30.0021.5%6.2%37.7%26.7%21.5%-2.1%6.6%60.7K2.8M-17.6K3.7336.9815563,5192,656
2010-06-18$33.90$30.0020.8%6.0%31.0%25.1%20.9%-2.1%6.5%104.5K1.9M-17.5K8.3712.24352933,5342,403
2010-06-21$33.77$30.0021.4%6.1%30.5%26.6%21.4%-2.5%2.9%95.9K202.2K-16.8K0.2919.80109321,8361,298
2010-06-22$33.76$30.0019.7%5.7%29.5%22.1%19.8%-1.5%4.8%116.4K148.1K-17.0K1.3415.6471951,9291,309
2010-06-23$33.68$30.0016.9%4.8%29.6%14.9%13.9%-3.2%5.7%106.3K278.7K-17.1K1.0020.61111,9391,356
2010-06-24$33.35$30.0020.4%5.9%29.9%24.1%21.5%6.1%3.3%91.7K400.5K-16.9K0.0027.74101,9401,357
2010-06-25$33.88$30.0019.9%5.7%25.7%22.6%20.6%-1.2%4.2%120.6K143.5K-17.3K0.0021.946701,9411,357
2010-06-28$33.69$30.0017.8%5.1%25.2%17.2%0.0%-3.1%4.3%109.7K229.6K-16.4K0.0016.97101,9081,357
2010-06-29$33.26$30.0019.4%5.6%24.5%21.3%28.6%8.0%3.7%81.2K587.5K-15.6K20.0052.652401,8891,301
2010-06-30$33.31$30.0020.0%5.7%23.2%22.8%0.0%-4.7%4.5%81.2K506.0K-15.7K0.0020.001,15101,8911,313