L Options History — December 2010

In December 2010, L traded between $37.91 and $39.20. ATM implied volatility averaged 17.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.6% (HV 20d: 13.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.55.

Notable Days

  • 2010-12-16: Highest Volume — 153 contracts
  • 2010-12-07: Largest IV spike — 98.3% change
  • 2010-12-07: Highest IV Rank — 43.6%
  • 2010-12-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.63$37.91$39.20$37.91$38.91
Max Pain$37.05$35.00$40.00$40.00$40.00
ATM IV17.2%12.4%27.2%17.7%15.7%
Expected Move5.0%3.8%6.2%5.1%4.5%
HV 20d13.6%7.3%17.5%17.1%7.3%
HV 60d14.5%12.8%15.3%15.2%12.8%
IV Rank16.3%3.2%43.6%17.7%12.2%
IV Percentile22.2%2.0%83.7%20.6%13.5%
Term Structure2.7%-2.4%7.7%-2.4%3.4%
VWIV18.8%12.1%25.0%22.9%15.9%
Skew 25d2.1%-7.1%10.3%-7.1%10.3%
Skew 10d2.6%-15.3%12.0%-7.5%12.0%
Call IV 25d17.9%15.4%22.5%22.5%16.4%
Put IV 25d20.0%14.4%26.8%15.4%26.8%
Bid-Ask Spread %49.8415.1993.3536.7515.19
Gamma HHI0.620.490.770.530.62
Net GEX91.7K42.1K186.4K83.5K82.2K
Net DEX-185.1K-814.2K560.6K138.8K-503.9K
Net VEX-12.6K-14.1K-11.7K-14.1K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.0029.600.131.00
Total Volume63.091115312622
Total OI3,784.51,8215,0924,8632,176

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$37.91$40.0017.7%5.1%17.1%17.7%22.9%-7.1%-2.4%83.5K138.8K-14.1K0.1336.75112142,4052,458
2010-12-02$38.22$40.0021.7%6.2%17.5%28.4%22.1%-4.3%-1.9%103.7K-211.0K-14.1K0.4740.8377362,3382,472
2010-12-03$38.13$40.0013.1%3.8%17.1%5.1%12.1%1.8%7.7%91.7K344.0K-12.6K0.3937.6976302,3682,492
2010-12-06$38.03$35.0013.7%5.5%17.1%6.8%25.0%4.6%2.6%70.4K560.6K-12.0K10.0035.522202,4422,522
2010-12-07$37.93$35.0027.2%5.6%17.1%43.6%19.5%4.4%1.9%80.2K132.9K-13.7K1.6733.8018302,4442,529
2010-12-08$38.34$35.0019.1%5.4%17.0%21.4%24.2%4.4%3.2%122.1K79.5K-13.4K2.2939.027162,4552,539
2010-12-09$38.47$35.0014.2%5.4%16.5%8.0%18.9%4.4%2.4%113.2K250.3K-12.4K0.0738.726952,4552,551
2010-12-10$38.77$35.0012.4%5.5%16.6%3.2%19.3%4.0%2.5%134.6K123.8K-12.8K0.0062.52102,5222,551
2010-12-13$38.71$35.0022.9%5.1%16.6%31.7%17.7%5.1%3.9%186.4K-596.0K-13.1K0.6237.0226162,5232,551
2010-12-14$38.54$35.0020.3%5.2%16.7%24.9%0.0%4.4%3.3%97.4K236.2K-12.2K0.0038.161002,5322,560
2010-12-15$38.42$35.0018.2%5.2%14.7%18.9%18.2%4.1%2.7%82.4K341.4K-11.9K1.5638.4145702,5322,560
2010-12-16$38.64$35.0017.2%4.9%14.5%16.3%0.0%6.0%3.5%113.3K236.0K-11.7K29.6044.7251482,5592,519
2010-12-17$38.65$35.0017.9%5.1%13.1%18.2%17.9%4.5%2.6%42.1K193.2K-11.7K2.6046.9125652,5542,491
2010-12-20$38.80$35.0016.3%4.7%12.5%13.7%16.3%6.3%4.1%47.2K-541.8K-11.7K0.5980.577041995826
2010-12-21$38.98$35.0016.2%4.6%12.5%13.5%16.2%-1.3%2.3%58.3K-651.1K-12.3K0.0574.515731,049867
2010-12-22$39.20$35.0015.5%4.4%10.4%11.7%15.5%-1.8%2.9%78.4K-814.2K-12.5K0.3872.2774281,105867
2010-12-23$38.98$40.0015.4%4.4%10.2%11.4%0.0%-0.4%3.1%87.8K-752.3K-12.6K0.0048.53301,168889
2010-12-27$39.18$40.0016.7%4.8%8.9%15.0%0.0%-4.9%2.9%91.8K-813.5K-12.4K1.9488.4531601,170889
2010-12-28$39.01$40.0016.7%4.8%9.2%14.8%0.0%-0.2%2.7%81.3K-631.8K-12.7K0.0049.22401,166935
2010-12-29$39.00$40.0015.3%4.4%8.7%11.0%0.0%0.8%3.1%88.6K-648.2K-12.4K0.0044.330251,169935
2010-12-30$38.94$40.0015.6%4.5%7.7%12.0%0.0%0.9%2.6%80.6K-544.3K-12.4K0.2793.3537101,169960
2010-12-31$38.91$40.0015.7%4.5%7.3%12.2%15.9%10.3%3.4%82.2K-503.9K-12.7K1.0015.1911111,206970