L Options History — May 2011

In May 2011, L traded between $41.52 and $43.03. ATM implied volatility averaged 18.5%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.6% (HV 20d: 16.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 18.85.

Notable Days

  • 2011-05-23: Highest Volume — 545 contracts
  • 2011-05-03: Largest IV spike — 118.0% change
  • 2011-05-04: Highest IV Rank — 25.0%
  • 2011-05-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.89$41.52$43.03$43.03$42.02
Max Pain$44.76$40.00$45.00$40.00$45.00
ATM IV18.5%8.7%23.8%8.7%15.5%
Expected Move5.4%2.5%6.8%2.5%4.4%
HV 20d16.9%12.1%18.3%16.4%12.1%
HV 60d14.6%13.7%16.4%16.2%14.3%
IV Rank16.2%0.0%25.0%0.0%11.1%
IV Percentile38.6%0.0%75.4%0.0%19.4%
Term Structure1.7%-4.3%7.7%5.9%7.7%
VWIV17.8%8.6%35.8%9.6%35.8%
Skew 25d8.2%0.1%13.8%11.5%11.5%
Skew 10d10.3%-0.5%35.2%8.1%10.3%
Call IV 25d12.3%9.2%19.9%9.2%11.6%
Put IV 25d20.5%19.1%23.3%20.7%23.2%
Bid-Ask Spread %59.4035.9496.3038.5067.66
Gamma HHI0.530.490.680.680.49
Net GEX58.6K-15.7K192.0K192.0K20.6K
Net DEX1.2M-820.7K2.1M-820.7K1.6M
Net VEX-17.2K-19.9K-13.5K-19.9K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.850.00302.004.20302.00
Total Volume96.4293545359303
Total OI3,980.0483,7124,2903,7124,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$43.03$40.008.7%2.5%16.4%0.0%9.6%11.5%5.9%192.0K-820.7K-19.9K4.2038.50692902,2481,464
2011-05-03$42.48$45.0019.0%5.5%16.9%17.0%18.0%13.8%5.7%125.9K128.7K-19.9K0.1537.386292,2851,565
2011-05-04$42.26$45.0023.8%6.8%16.8%25.0%0.0%8.9%-4.3%113.4K434.4K-19.4K0.0035.950222,2761,558
2011-05-05$41.58$45.0021.4%6.1%17.4%21.0%21.9%5.3%-1.4%63.1K1.3M-17.3K29.0035.941292,2761,573
2011-05-06$41.72$45.0017.8%5.7%17.4%15.1%19.9%9.1%0.9%63.9K1.2M-17.6K5.0053.822102,2771,601
2011-05-09$41.81$45.0019.0%5.7%17.3%17.0%20.0%9.3%0.8%67.1K1.1M-17.3K1.7053.2510172,2751,601
2011-05-10$42.17$45.0014.7%5.7%17.6%9.9%19.8%8.8%0.8%89.8K699.6K-18.1K0.8037.231082,2851,612
2011-05-11$41.56$45.0023.7%5.5%17.9%24.7%17.1%7.5%1.8%44.0K1.4M-16.1K0.3353.72312,2851,616
2011-05-12$41.93$45.0020.0%5.7%18.2%18.5%8.6%9.6%0.8%72.2K1.1M-16.9K0.0054.25602,2871,617
2011-05-13$41.65$45.0019.8%5.7%18.3%18.4%11.0%8.4%1.3%47.4K1.4M-15.9K0.0754.115942,2911,617
2011-05-16$41.52$45.0019.7%5.6%18.1%18.1%13.0%7.2%1.0%40.4K1.5M-14.8K0.1553.0974112,3241,617
2011-05-17$41.62$45.0019.8%5.7%17.9%18.3%19.8%7.5%1.1%48.4K1.5M-15.1K2.7553.994112,3621,618
2011-05-18$41.94$45.0019.2%5.5%18.2%17.3%19.4%9.3%1.6%72.8K1.2M-14.6K2.0758.9515312,3621,618
2011-05-19$42.08$45.0018.9%5.4%17.1%16.8%18.9%9.6%1.8%77.8K986.9K-15.0K0.0095.684002,3581,625
2011-05-20$41.74$45.0017.6%5.0%16.7%14.7%18.3%1.1%3.0%50.4K1.4M-13.8K0.0061.333202,3811,625
2011-05-23$41.57$45.0018.9%5.4%16.7%16.9%19.3%0.1%1.2%40.7K1.4M-13.5K24.9557.69215242,2081,523
2011-05-24$41.57$45.0017.7%5.1%16.7%14.8%11.3%6.3%1.9%-15.7K2.1M-18.7K0.1394.07272362,2281,987
2011-05-25$41.69$45.0018.0%5.1%16.7%15.3%17.8%8.8%1.7%-5.3K1.9M-19.3K0.0092.121702,2632,023
2011-05-26$41.99$45.0017.6%5.0%15.5%14.6%18.2%10.2%2.2%13.7K1.6M-19.3K2.0096.30122,2662,023
2011-05-27$41.84$45.0018.1%5.2%15.3%15.4%0.0%8.8%0.6%7.8K1.8M-19.4K1.7162.417122,2502,021
2011-05-31$42.02$45.0015.5%4.4%12.1%11.1%35.8%11.5%7.7%20.6K1.6M-19.1K302.0067.6613022,2572,033