L Options History — October 2010

In October 2010, L traded between $37.66 and $39.87. ATM implied volatility averaged 20.2%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.6% (HV 20d: 15.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2010-10-21: Highest Volume — 1,336 contracts
  • 2010-10-12: Largest IV spike — 59.0% change
  • 2010-10-29: Highest IV Rank — 32.9%
  • 2010-10-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.25$37.66$39.87$38.02$39.49
Max Pain$38.81$35.00$40.00$35.00$40.00
ATM IV20.2%14.4%23.3%18.2%23.3%
Expected Move6.0%4.9%6.7%5.2%6.7%
HV 20d15.6%13.4%17.2%15.9%13.9%
HV 60d19.1%18.5%20.0%19.6%18.5%
IV Rank24.5%8.6%32.9%19.0%32.9%
IV Percentile30.5%6.0%54.8%18.3%54.8%
Term Structure0.1%-2.4%9.2%9.2%-1.5%
VWIV22.3%20.1%31.1%22.2%27.0%
Skew 25d6.7%-0.5%9.5%5.5%7.3%
Skew 10d11.1%0.2%15.2%12.3%11.3%
Call IV 25d18.9%16.0%21.7%19.5%21.7%
Put IV 25d25.5%19.1%29.0%25.1%29.0%
Bid-Ask Spread %48.5919.0371.1327.0569.66
Gamma HHI0.830.680.910.790.68
Net GEX374.6K160.7K582.7K303.3K160.7K
Net DEX-5.7M-8.2M-3.2M-4.3M-3.2M
Net VEX-25.9K-28.1K-20.9K-27.5K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.005.890.000.13
Total Volume20161,336645
Total OI5,288.5714,6785,7595,2325,081

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$38.02$35.0018.2%5.2%15.9%19.0%0.0%5.5%9.2%303.3K-4.3M-27.5K0.0027.05603,4711,761
2010-10-04$37.66$40.0017.8%4.9%15.3%18.0%0.0%6.8%-0.2%289.9K-4.0M-26.7K2.0048.435103,4751,761
2010-10-05$38.48$40.0021.4%6.2%16.0%27.7%22.2%5.8%-1.4%309.2K-5.0M-27.6K0.0050.6811003,4801,765
2010-10-06$38.76$40.0016.8%5.8%16.0%15.1%20.2%6.8%-0.5%364.1K-5.4M-27.1K0.0019.033203,5561,765
2010-10-07$38.57$40.0014.7%5.8%16.2%9.5%25.1%6.2%-2.1%403.9K-5.7M-26.7K0.1323.451623,5841,765
2010-10-08$38.91$35.0021.9%6.0%16.3%29.2%21.1%6.3%-0.5%391.1K-5.8M-26.2K0.7334.5122163,5871,765
2010-10-11$38.83$35.0014.4%6.0%16.3%8.6%21.3%6.6%-0.4%384.1K-5.8M-26.8K0.0223.7614133,5941,765
2010-10-12$39.48$35.0022.9%5.8%16.6%31.8%20.4%9.3%0.0%467.2K-6.6M-24.7K0.0332.96326103,6301,768
2010-10-13$39.87$35.0018.2%5.8%16.7%19.1%20.1%9.5%0.7%558.1K-8.2M-27.4K0.2231.4194213,9031,778
2010-10-14$39.80$40.0021.4%6.1%16.9%27.6%21.8%8.6%-0.6%582.7K-7.9M-27.7K1.4141.3537523,9231,799
2010-10-15$39.66$40.0021.1%6.1%17.0%27.0%21.1%8.5%-0.2%519.2K-7.8M-27.8K4.0043.413123,9411,818
2010-10-18$39.83$40.0020.8%6.0%16.2%26.1%20.8%7.2%0.5%501.3K-7.5M-26.9K5.8967.23271593,7791,576
2010-10-19$39.29$40.0022.5%6.5%17.2%30.8%22.5%7.6%-2.4%483.9K-6.5M-27.1K2.2470.93861933,8011,645
2010-10-20$39.74$40.0021.2%6.1%17.0%27.1%31.1%7.7%0.0%481.6K-7.1M-27.8K0.0171.067613,8131,753
2010-10-21$39.77$40.0021.3%6.1%15.4%27.4%21.3%7.7%0.9%476.2K-7.2M-28.1K0.1269.871,1881483,8861,752
2010-10-22$39.70$40.0021.0%6.0%14.2%26.7%0.0%7.3%0.1%283.3K-4.9M-21.5K3.7570.304152,8351,843
2010-10-25$39.65$40.0021.0%6.0%13.7%26.6%21.1%8.5%0.6%285.9K-5.0M-20.9K0.5856.874372522,8381,852
2010-10-26$39.77$40.0021.5%6.2%13.4%27.9%21.5%7.9%-0.3%260.8K-4.4M-23.6K0.8248.122211822,8172,102
2010-10-27$39.43$40.0021.3%6.1%13.9%27.5%21.3%-0.5%0.4%190.4K-3.3M-24.1K2.5871.13651682,6812,258
2010-10-28$39.47$40.0021.6%6.2%13.9%28.4%0.0%-0.2%0.2%169.8K-3.3M-24.1K0.0949.293332,7002,394
2010-10-29$39.49$40.0023.3%6.7%13.9%32.9%27.0%7.3%-1.5%160.7K-3.2M-24.1K0.1369.664052,6852,396