L Options History — September 2010

In September 2010, L traded between $36.19 and $37.96. ATM implied volatility averaged 21.2%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.7% (HV 20d: 21.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.74.

Notable Days

  • 2010-09-07: Highest Volume — 497 contracts
  • 2010-09-22: Largest IV spike — 69.5% change
  • 2010-09-13: Highest IV Rank — 40.2%
  • 2010-09-13: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.06$36.19$37.96$36.19$37.90
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.2%14.1%26.0%18.4%15.8%
Expected Move6.3%4.3%7.4%5.3%4.5%
HV 20d21.9%15.9%25.1%24.2%15.9%
HV 60d20.5%19.7%21.9%21.9%19.7%
IV Rank27.1%8.0%40.2%19.5%12.4%
IV Percentile34.0%4.8%62.7%16.3%9.5%
Term Structure4.5%-2.3%11.8%9.7%7.9%
VWIV22.4%11.9%26.0%23.9%18.6%
Skew 25d9.5%-1.5%20.8%5.3%2.8%
Skew 10d10.5%-6.7%21.0%13.1%5.6%
Call IV 25d14.1%10.1%21.3%16.4%14.6%
Put IV 25d23.6%15.5%32.1%21.7%17.4%
Bid-Ask Spread %31.2911.1167.7848.2728.70
Gamma HHI0.740.630.840.650.79
Net GEX222.6K190.3K297.3K201.8K297.3K
Net DEX-3.4M-4.2M-2.7M-2.8M-4.2M
Net VEX-27.5K-29.1K-25.2K-26.8K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.740.0028.002.100.98
Total Volume106.23814971241
Total OI5,688.1434,9176,4185,8085,233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$36.19$35.0018.4%5.3%24.2%19.5%0.0%5.3%9.7%201.8K-2.8M-26.8K2.1048.2740843,9441,864
2010-09-02$36.25$35.0020.0%5.7%24.1%24.0%23.9%8.5%7.9%204.7K-2.7M-26.0K24.3334.683733,9541,862
2010-09-03$36.90$35.0014.1%6.5%25.1%8.0%23.2%10.7%0.4%215.0K-3.6M-25.2K6.6020.625333,9531,925
2010-09-07$36.42$35.0021.0%7.3%24.7%26.6%25.6%3.5%0.1%205.9K-2.8M-26.2K1.0223.242462513,9521,933
2010-09-08$36.39$35.0021.8%7.2%24.2%28.9%23.8%9.3%0.6%207.1K-2.8M-28.4K0.0811.11134114,1432,059
2010-09-09$36.35$35.0025.6%7.3%22.6%39.1%25.6%12.8%-0.5%196.8K-3.4M-29.1K0.4626.4880374,1762,059
2010-09-10$36.51$35.0024.9%7.1%22.6%37.4%25.0%-1.5%0.7%207.7K-3.1M-26.4K0.6128.93111684,2102,065
2010-09-13$36.86$35.0026.0%7.4%22.9%40.2%26.0%12.1%-0.2%220.5K-3.4M-27.2K1.4013.01901264,1212,087
2010-09-14$36.63$35.0024.9%7.1%22.9%37.3%25.0%11.3%0.6%190.3K-2.9M-26.3K0.0016.240214,1172,190
2010-09-15$36.87$35.0024.4%7.0%22.2%35.9%24.9%11.1%1.6%197.9K-3.7M-27.7K0.6121.9033204,1172,195
2010-09-16$37.02$35.0020.5%5.9%22.0%25.4%23.4%9.6%6.7%197.7K-3.7M-27.0K8.5330.80151284,1042,212
2010-09-17$37.23$35.0023.9%6.9%21.3%34.7%20.7%11.7%1.0%206.5K-3.8M-28.0K28.0024.932564,1102,308
2010-09-20$37.87$35.0020.5%5.9%21.9%25.3%21.2%16.4%9.8%246.0K-3.8M-28.4K0.3754.9949183,2591,658
2010-09-21$37.82$35.0015.1%4.3%21.3%10.5%11.9%3.8%9.7%254.9K-4.0M-28.3K6.1352.7215923,2891,669
2010-09-22$37.49$35.0025.6%7.3%20.8%39.1%0.0%9.3%-2.3%241.3K-3.5M-28.6K1.0033.5415153,3041,719
2010-09-23$36.87$35.0023.8%6.8%21.8%34.2%17.2%12.2%4.3%215.1K-3.1M-28.3K3.0035.3710303,3011,714
2010-09-24$37.62$35.0017.4%5.0%22.3%16.8%0.0%14.9%9.1%240.0K-3.3M-27.2K0.0031.570823,3111,734
2010-09-27$37.32$35.0022.4%6.4%20.5%30.6%0.0%11.2%6.5%214.8K-3.2M-28.4K0.0027.5912703,3111,810
2010-09-28$37.73$35.0022.0%6.3%18.5%29.4%0.0%20.8%11.8%228.0K-3.5M-28.2K0.0067.78503,4271,810
2010-09-29$37.96$35.0016.7%4.8%18.5%14.9%18.6%4.5%8.4%286.0K-4.2M-28.0K0.9824.5653523,4321,810
2010-09-30$37.90$35.0015.8%4.5%15.9%12.4%0.0%2.8%7.9%297.3K-4.2M-27.8K0.0028.70013,4711,762