L Options History — July 2010

In July 2010, L traded between $33.57 and $37.19. ATM implied volatility averaged 23.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.7% (HV 20d: 20.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2010-07-07: Highest Volume — 591 contracts
  • 2010-07-15: Largest IV spike — 34.0% change
  • 2010-07-26: Highest IV Rank — 45.9%
  • 2010-07-26: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.93$33.57$37.19$33.65$37.15
Max Pain$34.52$30.00$35.00$30.00$35.00
ATM IV23.7%18.0%28.1%18.9%21.9%
Expected Move7.2%5.4%8.0%5.4%6.3%
HV 20d20.0%16.6%23.4%23.4%19.9%
HV 60d30.9%29.9%31.4%30.4%29.9%
IV Rank33.5%17.6%45.9%20.1%29.0%
IV Percentile39.5%13.1%67.1%13.9%29.0%
Term Structure1.3%-1.5%9.9%5.3%7.5%
VWIV24.9%19.6%27.4%22.1%24.2%
Skew 25d10.4%-5.4%15.1%-2.1%14.5%
Skew 10d14.1%-6.5%22.2%-3.0%12.0%
Call IV 25d16.9%11.7%25.4%22.1%13.8%
Put IV 25d27.3%20.0%33.8%20.0%28.3%
Bid-Ask Spread %23.0313.2367.3122.1867.31
Gamma HHI0.620.490.800.590.50
Net GEX272.7K100.4K429.8K100.4K241.4K
Net DEX-4.0M-5.8M402.5K402.5K-5.8M
Net VEX-22.9K-25.5K-15.7K-15.7K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.003.000.000.26
Total Volume128.3331259121648
Total OI4,818.5243,2045,3833,2044,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$33.65$30.0018.9%5.4%23.4%20.1%22.1%-2.1%5.3%100.4K402.5K-15.7K0.0022.1821601,8911,313
2010-07-02$33.57$30.0022.7%6.5%20.4%29.9%25.8%-5.4%2.5%251.0K-1.1M-21.1K0.0020.7616303,1511,313
2010-07-06$33.86$35.0020.8%7.8%20.0%24.9%27.4%10.9%0.8%280.3K-1.2M-21.1K0.0714.934433,1701,313
2010-07-07$34.98$35.0024.1%7.6%22.3%33.5%26.5%12.2%0.8%394.2K-2.9M-22.2K0.2618.234701213,2041,313
2010-07-08$35.46$35.0020.0%7.4%22.1%22.8%25.9%12.5%0.4%429.8K-3.8M-23.4K0.7820.77101793,2461,400
2010-07-09$35.70$35.0021.9%7.3%17.9%27.8%25.7%12.7%0.9%379.2K-4.1M-23.3K0.6826.1147323,2241,447
2010-07-12$35.53$35.0027.0%7.4%18.2%41.2%25.9%12.4%-0.2%417.9K-3.8M-22.8K2.1325.211433053,2451,471
2010-07-13$36.07$35.0018.0%7.6%18.6%17.6%26.6%13.9%-0.5%275.7K-4.9M-24.2K0.0724.53299213,3641,771
2010-07-14$36.18$35.0020.4%7.7%16.6%23.9%26.8%13.7%-0.5%266.3K-5.2M-25.5K0.7630.8121163,5981,779
2010-07-15$36.44$35.0027.3%7.8%16.6%42.0%0.0%10.5%-1.3%234.2K-5.6M-25.1K3.0015.04393,5981,780
2010-07-16$35.56$35.0027.3%7.8%19.4%43.7%27.3%13.4%-1.2%393.8K-4.4M-25.0K0.0020.510493,5991,784
2010-07-19$35.63$35.0025.9%7.4%19.4%40.0%25.9%5.0%0.1%209.9K-2.8M-24.5K0.8313.6472603,1101,687
2010-07-20$36.34$35.0024.6%7.0%20.1%36.4%24.6%10.9%1.2%224.7K-3.9M-24.2K0.7715.5071553,1681,689
2010-07-21$35.99$35.0026.1%7.5%20.6%40.5%26.1%7.2%-0.8%227.7K-3.6M-24.8K0.1113.233743,2181,693
2010-07-22$36.88$35.0024.6%7.1%21.8%36.5%0.0%11.1%0.2%232.1K-5.0M-23.4K0.0018.732503,2331,693
2010-07-23$37.17$35.0021.2%6.1%21.2%27.2%0.0%15.1%9.9%217.3K-5.3M-23.3K1.8922.0018343,2381,693
2010-07-26$37.13$35.0028.1%8.0%20.9%45.9%20.0%13.7%-1.5%224.5K-5.4M-23.3K0.0019.451603,2491,691
2010-07-27$37.17$35.0027.0%7.7%20.6%43.0%0.0%11.8%-0.5%233.5K-5.5M-22.8K0.4815.7721103,2571,691
2010-07-28$36.98$35.0027.7%7.9%19.9%44.9%22.6%12.3%-0.7%236.7K-5.2M-22.7K0.2237.342763,2681,691
2010-07-29$37.19$35.0022.9%6.6%19.9%31.9%19.6%11.8%6.0%255.7K-5.5M-21.5K0.0721.604633,2771,681
2010-07-30$37.15$35.0021.9%6.3%19.9%29.0%24.2%14.5%7.5%241.4K-5.8M-21.9K0.2667.3138103,3071,681