L Options History — August 2010

In August 2010, L traded between $34.93 and $38.55. ATM implied volatility averaged 22.0%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.1% (HV 20d: 18.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2010-08-17: Highest Volume — 2,404 contracts
  • 2010-08-09: Largest IV spike — 65.9% change
  • 2010-08-09: Highest IV Rank — 42.6%
  • 2010-08-11: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.76$34.93$38.55$37.58$35.14
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV22.0%13.7%26.9%16.9%24.9%
Expected Move6.3%3.9%7.8%4.8%7.1%
HV 20d18.9%17.1%22.0%19.9%22.0%
HV 60d24.2%20.9%27.7%27.7%21.2%
IV Rank29.5%6.8%42.6%15.5%37.2%
IV Percentile37.1%4.0%59.5%10.7%53.6%
Term Structure3.3%-1.9%8.8%6.1%1.3%
VWIV22.4%13.8%27.4%22.5%24.9%
Skew 25d5.9%1.5%14.3%12.3%2.1%
Skew 10d6.6%1.6%10.3%10.3%3.4%
Call IV 25d17.8%11.7%23.2%11.7%23.2%
Put IV 25d23.6%15.4%27.5%24.0%25.4%
Bid-Ask Spread %35.3415.6268.2834.4517.10
Gamma HHI0.500.430.630.480.60
Net GEX210.0K153.6K358.1K236.6K156.8K
Net DEX-5.4M-8.1M-689.4K-6.4M-1.4M
Net VEX-23.7K-31.3K-17.3K-19.9K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.007.831.340.05
Total Volume214.31892,4047542
Total OI5,704.6824,9987,0404,9985,819

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$37.58$35.0016.9%4.8%19.9%15.5%22.5%12.3%6.1%236.6K-6.4M-19.9K1.3434.4532433,3171,681
2010-08-03$37.53$35.0017.1%4.9%20.0%16.1%18.5%3.5%5.4%201.0K-6.7M-18.8K1.3352.2330403,3361,681
2010-08-04$38.05$35.0013.7%3.9%17.5%6.8%0.0%3.6%7.0%165.5K-7.4M-17.3K4.0915.62451843,3361,681
2010-08-05$38.20$35.0014.4%4.1%17.2%8.6%0.0%6.1%6.5%169.9K-7.6M-18.5K0.0223.964913,3611,838
2010-08-06$37.98$35.0016.2%4.7%17.5%13.5%18.4%2.9%3.2%168.1K-7.2M-18.6K0.5523.4473403,3951,838
2010-08-09$38.55$35.0026.9%4.7%17.7%42.6%19.9%1.8%3.0%190.9K-7.8M-18.0K0.1637.363253,3951,878
2010-08-10$37.95$35.0017.0%4.5%18.5%15.7%19.5%4.4%3.0%174.7K-7.4M-18.2K0.5832.7652303,4011,873
2010-08-11$37.00$35.0020.3%7.8%21.0%24.8%13.8%6.9%-1.9%206.3K-6.3M-20.5K0.8830.6043383,4241,874
2010-08-12$36.90$35.0026.7%7.7%20.9%42.2%0.0%13.9%0.1%196.7K-6.3M-20.6K0.0048.6850303,4671,908
2010-08-13$37.05$35.0023.4%6.7%18.7%33.2%27.3%6.3%6.8%242.0K-7.2M-24.1K5.4036.8810543,9701,908
2010-08-16$36.88$35.0024.1%6.9%18.8%35.2%27.4%14.3%5.7%231.4K-6.9M-23.7K1.0568.2838403,9801,915
2010-08-17$37.49$35.0022.4%6.4%18.4%30.4%0.0%5.8%8.8%212.5K-7.5M-23.3K0.0335.352,344604,0131,946
2010-08-18$37.09$35.0025.9%7.4%18.5%40.1%0.0%4.8%0.8%320.6K-8.1M-31.3K0.0037.804005,0222,006
2010-08-19$36.54$35.0026.1%7.5%17.3%40.4%18.2%9.2%1.3%358.1K-7.2M-31.1K0.2051.992555,0142,006
2010-08-20$36.29$35.0025.2%7.2%17.1%38.2%25.3%7.8%2.0%300.1K-6.8M-29.4K1.4821.9625375,0342,006
2010-08-23$35.86$35.0022.0%6.3%17.6%29.3%23.8%6.9%7.6%215.4K-2.6M-29.2K0.2434.922563,8511,644
2010-08-24$35.35$35.0024.9%7.1%18.1%37.2%24.8%3.4%1.1%194.8K-1.9M-26.8K0.6324.8546293,8761,650
2010-08-25$35.25$35.0024.2%7.0%18.0%35.5%24.1%4.1%0.8%183.2K-1.2M-25.8K7.8346.63463603,8891,662
2010-08-26$34.93$35.0024.9%7.1%17.9%37.4%24.9%2.1%1.2%153.6K-689.4K-26.1K2.4731.95551363,9101,859
2010-08-27$35.96$35.0022.8%6.5%21.3%31.4%22.7%5.3%0.5%181.4K-1.9M-27.7K0.0041.44903,9551,964
2010-08-30$35.15$35.0024.8%7.1%21.9%36.9%24.7%1.5%1.3%160.3K-1.3M-27.4K1.1529.1620233,9561,964
2010-08-31$35.14$35.0024.9%7.1%22.0%37.2%24.9%2.1%1.3%156.8K-1.4M-25.9K0.0517.104023,9561,863