L Options History — March 2011

In March 2011, L traded between $41.39 and $43.09. ATM implied volatility averaged 18.3%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.4% (HV 20d: 14.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.75.

Notable Days

  • 2011-03-16: Highest Volume — 377 contracts
  • 2011-03-07: Largest IV drop — 46.0% change
  • 2011-03-04: Highest IV Rank — 45.5%
  • 2011-03-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.53$41.39$43.09$42.66$43.09
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV18.3%10.0%27.5%24.1%10.0%
Expected Move5.1%2.9%7.8%6.9%2.9%
HV 20d14.9%10.2%20.0%20.0%14.4%
HV 60d15.6%14.5%16.3%14.5%16.2%
IV Rank21.2%0.0%45.5%36.6%0.0%
IV Percentile40.2%0.0%89.7%77.0%0.0%
Term Structure3.1%-1.1%9.1%6.9%7.6%
VWIV18.3%15.2%23.9%15.9%15.2%
Skew 25d5.3%-3.8%15.0%14.7%-3.8%
Skew 10d7.2%1.2%35.1%13.5%3.7%
Call IV 25d14.9%10.6%18.7%10.6%16.6%
Put IV 25d20.2%12.7%26.1%25.3%12.8%
Bid-Ask Spread %69.4533.22103.0366.9548.22
Gamma HHI0.570.450.750.750.57
Net GEX87.6K1.8K181.8K174.7K93.9K
Net DEX-928.8K-2.0M-14.8K-1.9M-823.9K
Net VEX-26.1K-28.0K-22.8K-27.5K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0018.000.540.00
Total Volume64.13237717126
Total OI4,238.4353,3624,9844,6453,412

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$42.66$40.0024.1%6.9%20.0%36.6%15.9%14.7%6.9%174.7K-1.9M-27.5K0.5466.95111602,5412,104
2011-03-02$42.53$40.0027.3%7.8%17.4%45.1%0.0%15.0%7.4%155.0K-1.3M-27.7K0.0766.881512,4892,164
2011-03-03$43.03$40.0019.4%5.5%17.8%23.9%17.8%6.8%7.2%181.8K-2.0M-27.1K2.2987.9914322,4882,165
2011-03-04$42.77$40.0027.5%4.8%18.0%45.5%0.0%3.5%1.7%161.8K-1.6M-27.3K0.0034.14202,4902,187
2011-03-07$42.38$40.0014.8%5.9%18.4%11.9%0.0%3.3%2.1%60.2K-1.1M-24.8K0.3733.2290332,4882,187
2011-03-08$42.94$40.0019.7%4.8%10.3%24.9%0.0%3.7%1.4%156.4K-1.7M-26.4K0.5234.7921112,4882,187
2011-03-09$42.76$40.0020.5%4.8%10.2%27.0%0.0%3.4%0.7%124.4K-1.5M-26.0K8.2099.075412,4932,198
2011-03-10$41.81$40.0022.4%6.4%12.9%32.0%0.0%3.8%0.3%76.1K-412.7K-25.0K18.0041.903542,4932,198
2011-03-11$41.97$40.0022.2%6.4%13.0%31.4%0.0%4.5%0.1%26.9K-641.4K-24.6K0.0095.561302,4952,234
2011-03-14$41.77$40.0021.8%6.2%13.1%30.4%18.5%9.2%0.9%13.4K-413.6K-23.7K1.52103.0327412,4892,234
2011-03-15$41.54$40.0022.8%6.5%13.1%33.1%0.0%9.3%-0.6%12.5K-237.3K-23.9K0.50101.4920102,4642,255
2011-03-16$41.39$40.0023.8%6.8%13.1%35.8%23.9%8.8%-1.1%1.8K-14.8K-22.8K0.12102.53338392,4462,249
2011-03-17$41.85$40.0022.1%6.3%13.8%31.1%0.0%10.5%1.0%38.1K-568.3K-25.4K0.0090.424102,7102,266
2011-03-18$42.14$40.0021.7%6.2%14.1%30.3%0.0%10.3%0.4%43.9K-971.5K-26.5K2.5061.754102,7182,266
2011-03-21$42.94$40.0013.8%3.9%15.8%9.0%0.0%4.0%1.9%64.6K-494.2K-26.2K0.0995.86166151,8171,545
2011-03-22$43.00$40.0013.1%3.8%15.6%7.3%0.0%3.0%2.4%88.4K-913.8K-28.0K0.0059.471101,9761,549
2011-03-23$42.95$40.0012.8%3.7%15.6%6.4%0.0%3.2%2.3%91.3K-843.7K-27.9K2.1945.3721461,9861,549
2011-03-24$43.00$40.0013.2%3.8%15.6%7.6%0.0%2.0%2.2%91.4K-870.3K-27.3K0.0055.151101,9731,546
2011-03-25$43.04$40.0012.8%3.7%15.5%6.6%15.2%0.9%1.9%92.2K-920.7K-27.1K1.7957.7114251,9641,546
2011-03-28$42.67$40.0012.6%3.6%15.6%5.9%0.0%9.7%7.8%82.2K-503.8K-26.2K0.0976.853431,9581,521
2011-03-29$43.00$40.0011.2%3.2%15.0%2.1%0.0%-2.0%9.1%88.9K-729.9K-26.3K1.5077.24461,9591,519
2011-03-30$43.03$40.0011.7%3.3%15.0%3.4%0.0%-1.4%7.8%95.6K-825.5K-26.3K0.0061.855701,9591,519
2011-03-31$43.09$40.0010.0%2.9%14.4%0.0%0.0%-3.8%7.6%93.9K-823.9K-25.5K0.0048.222601,9141,498