L Options History — November 2010

In November 2010, L traded between $37.41 and $40.08. ATM implied volatility averaged 18.9%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.7% (HV 20d: 13.2%). 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 18 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2010-11-04: Highest Volume — 294 contracts
  • 2010-11-30: Largest IV spike — 114.4% change
  • 2010-11-30: Highest IV Rank — 43.0%
  • 2010-11-30: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.86$37.41$40.08$39.52$37.41
Max Pain$39.52$35.00$40.00$40.00$40.00
ATM IV18.9%12.6%27.0%20.4%27.0%
Expected Move5.4%3.6%7.7%5.9%7.7%
HV 20d13.2%11.0%16.6%13.2%16.6%
HV 60d17.1%15.3%18.5%18.5%15.3%
IV Rank20.9%3.7%43.0%25.1%43.0%
IV Percentile25.1%2.4%83.7%27.4%83.7%
Term Structure2.1%-1.7%7.5%-1.7%-0.6%
VWIV19.1%12.2%25.1%20.4%12.2%
Skew 25d5.4%-4.2%23.6%22.3%11.3%
Skew 10d8.1%-5.6%35.4%31.7%13.5%
Call IV 25d18.0%14.3%21.6%20.6%14.5%
Put IV 25d23.4%15.5%42.9%42.9%25.8%
Bid-Ask Spread %58.3436.8599.0045.7241.27
Gamma HHI0.700.460.820.740.46
Net GEX183.3K40.6K286.4K195.2K40.6K
Net DEX-2.0M-4.6M668.4K-3.6M668.4K
Net VEX-18.5K-22.4K-14.5K-22.1K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0015.330.100.00
Total Volume83.09542942046
Total OI5,154.4764,8035,4715,1034,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$39.52$40.0020.4%5.9%13.2%25.1%20.4%22.3%-1.7%195.2K-3.6M-22.1K0.1045.72186182,7122,391
2010-11-02$39.88$40.0019.4%5.5%11.4%22.2%0.0%7.6%1.1%213.2K-3.9M-22.4K0.6361.38852,7302,396
2010-11-03$39.77$40.0017.5%5.0%11.4%17.1%0.0%23.6%1.7%226.2K-3.8M-21.2K0.0049.29402,7362,396
2010-11-04$40.07$40.0016.4%4.7%11.3%14.1%16.4%21.2%2.3%254.3K-4.4M-21.3K2.0638.54961982,7402,396
2010-11-05$40.08$35.0016.5%5.4%11.0%14.3%18.9%2.0%3.7%265.9K-4.6M-21.3K0.0936.852222,7682,406
2010-11-08$39.87$35.0017.2%5.5%11.2%16.3%19.1%7.3%2.0%286.4K-4.1M-20.5K0.0064.520512,7892,408
2010-11-09$39.27$40.0020.0%5.6%11.2%23.9%19.6%-2.0%2.9%233.1K-2.8M-20.0K1.9360.01581122,7892,457
2010-11-10$39.68$40.0023.2%5.6%11.2%32.7%19.5%1.2%2.9%253.6K-3.5M-20.2K0.2857.341852,7992,450
2010-11-11$39.33$40.0018.9%5.4%11.6%20.9%18.9%-1.9%2.6%264.5K-2.8M-19.4K1.2558.51452,8172,450
2010-11-12$39.23$40.0020.5%5.9%11.6%25.3%20.5%-1.4%1.0%269.6K-2.7M-19.5K0.0458.675522,8152,450
2010-11-15$39.26$40.0019.1%5.5%11.5%21.5%19.1%-1.8%1.0%260.0K-2.5M-18.4K0.0049.7321002,7972,450
2010-11-16$38.40$40.0020.4%5.8%13.0%25.0%0.0%3.7%3.7%193.4K-1.2M-18.0K0.0059.182402,9992,450
2010-11-17$38.08$40.0019.4%5.6%12.4%22.3%21.8%2.9%2.8%164.0K-593.7K-17.5K0.8245.1383683,0212,450
2010-11-18$38.74$40.0019.5%5.6%14.1%22.6%0.0%-4.2%2.4%184.0K-1.3M-16.4K0.0078.531002,9512,461
2010-11-19$38.30$40.0018.4%5.3%14.6%19.4%18.5%4.3%3.4%137.5K-562.9K-15.9K15.3371.813462,9582,461
2010-11-22$38.30$40.0018.8%5.4%14.6%20.7%18.4%-2.7%2.1%135.9K-1.3M-14.5K3.5199.00531862,5202,283
2010-11-23$37.61$40.0016.4%4.7%15.6%14.1%21.8%2.3%0.9%70.3K-315.8K-17.4K0.6452.9836232,5582,434
2010-11-24$38.01$40.0018.9%5.4%16.1%20.8%17.4%6.0%2.8%99.9K-560.0K-15.3K0.0497.757332,5882,455
2010-11-26$37.54$40.0016.3%4.7%16.5%13.8%25.1%2.1%-0.5%45.5K431.5K-16.2K0.0049.443002,3632,458
2010-11-29$37.66$40.0012.6%3.6%16.6%3.7%16.6%10.0%7.5%55.4K345.4K-15.4K0.0049.444202,3742,458
2010-11-30$37.41$40.0027.0%7.7%16.6%43.0%12.2%11.3%-0.6%40.6K668.4K-14.8K0.0041.27602,4022,458