L Options History — June 2011

In June 2011, L traded between $40.24 and $42.14. ATM implied volatility averaged 20.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 7.1% (HV 20d: 13.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.35.

Notable Days

  • 2011-06-20: Highest Volume — 893 contracts
  • 2011-06-06: Largest IV spike — 9.7% change
  • 2011-06-20: Highest IV Rank — 20.8%
  • 2011-06-20: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.11$40.24$42.14$41.25$42.09
Max Pain$40.45$40.00$45.00$45.00$40.00
ATM IV20.1%18.9%21.3%19.3%20.7%
Expected Move5.8%5.5%6.1%5.5%5.9%
HV 20d13.0%11.1%15.6%13.0%14.3%
HV 60d14.1%13.7%14.7%14.7%14.7%
IV Rank18.8%16.8%20.8%17.4%19.8%
IV Percentile52.9%39.7%68.3%42.9%60.3%
Term Structure1.3%-0.1%2.8%0.8%0.2%
VWIV20.1%18.9%21.3%19.3%18.9%
Skew 25d7.9%4.5%18.8%4.5%10.7%
Skew 10d14.3%5.8%40.5%7.2%11.8%
Call IV 25d13.4%11.2%15.9%15.9%12.9%
Put IV 25d21.3%18.8%33.3%20.4%23.6%
Bid-Ask Spread %58.9130.69101.7752.6052.10
Gamma HHI0.540.400.790.510.40
Net GEX-127.2K-352.8K-40.8K-63.0K-51.2K
Net DEX1.8M542.0K2.8M2.0M542.0K
Net VEX-18.7K-22.0K-15.9K-18.7K-22.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.0010.581.381.00
Total Volume84.36408933850
Total OI3,706.6822,0754,3634,2543,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$41.25$45.0019.3%5.5%13.0%17.4%19.3%4.5%0.8%-63.0K2.0M-18.7K1.3852.6016222,2561,998
2011-06-02$41.52$45.0019.7%5.7%13.2%18.2%0.0%7.4%-0.1%-40.8K1.8M-18.4K0.0053.750202,2652,000
2011-06-03$41.31$40.0018.9%5.5%12.0%16.8%0.0%8.0%1.7%-67.5K2.0M-18.0K0.83101.7712102,2652,000
2011-06-06$40.94$40.0020.8%5.9%12.3%19.9%0.0%6.3%0.9%-106.1K2.3M-17.7K0.0039.73302,2702,010
2011-06-07$40.88$40.0019.4%5.6%12.3%17.6%19.5%6.7%1.3%-120.3K2.3M-17.5K0.0039.350682,2692,010
2011-06-08$40.82$40.0020.4%5.7%11.7%19.3%0.0%6.6%1.2%-135.2K2.5M-17.6K0.0039.61102,2692,058
2011-06-09$41.17$40.0019.6%5.6%11.2%18.0%0.0%7.7%1.2%-117.8K2.1M-16.8K0.0039.84002,2702,058
2011-06-10$40.70$40.0020.4%5.8%11.3%19.3%20.5%6.6%0.7%-157.9K2.6M-17.4K0.0041.680352,2702,058
2011-06-13$40.71$40.0020.1%5.8%11.1%18.8%0.0%5.8%1.1%-182.8K2.6M-17.1K0.0081.06102,2702,093
2011-06-14$41.03$40.0020.2%5.8%11.5%18.9%0.0%7.0%0.7%-123.6K1.4M-16.2K0.2230.69922,2701,947
2011-06-15$40.30$40.0020.6%5.9%13.0%19.7%20.6%4.5%0.1%-227.3K2.4M-16.2K10.3666.65111142,2721,947
2011-06-16$40.24$40.0020.9%6.0%12.5%20.1%0.0%10.5%0.9%-352.8K2.8M-15.9K1.6779.406102,2502,054
2011-06-17$40.56$40.0020.7%5.9%12.9%19.8%20.7%4.6%0.8%-250.0K1.9M-16.1K0.0042.223902,2522,064
2011-06-20$40.84$40.0021.3%6.1%13.0%20.8%21.3%18.8%1.0%-90.7K1.2M-16.0K7.6741.951037908101,265
2011-06-21$41.40$40.0020.8%6.0%14.0%19.9%20.8%8.1%1.2%-101.1K1.3M-21.3K0.4742.1855269111,945
2011-06-22$41.41$40.0020.3%5.8%14.0%19.1%20.1%8.6%1.7%-99.1K1.1M-21.8K0.0087.281109541,967
2011-06-23$41.35$40.0019.2%5.5%13.9%17.3%19.4%6.8%2.8%-108.6K1.3M-21.6K0.00101.44019651,967
2011-06-24$40.79$40.0019.5%5.6%14.4%17.8%19.5%5.4%2.5%-123.0K1.5M-21.8K0.0056.710219651,967
2011-06-27$41.21$40.0020.2%5.8%14.9%19.0%0.0%6.5%2.0%-117.6K1.4M-21.4K0.0042.34009651,981
2011-06-28$41.73$40.0020.1%5.8%15.6%18.9%0.0%10.2%2.3%-93.8K999.8K-21.0K10.58101.21121279651,981
2011-06-29$42.14$40.0019.4%5.5%14.4%17.6%18.9%12.3%2.8%-67.8K654.8K-21.1K1.0762.351361459771,980
2011-06-30$42.09$40.0020.7%5.9%14.3%19.8%0.0%10.7%0.2%-51.2K542.0K-22.0K1.0052.1025251,1132,124