L Options History — July 2011

In July 2011, L traded between $39.87 and $42.63. ATM implied volatility averaged 23.0%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.3% (HV 20d: 15.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.32.

Notable Days

  • 2011-07-29: Highest Volume — 119 contracts
  • 2011-07-07: Largest IV spike — 154.8% change
  • 2011-07-07: Highest IV Rank — 44.7%
  • 2011-07-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.04$39.87$42.63$42.12$39.87
Max Pain$38.00$35.00$40.00$40.00$40.00
ATM IV23.0%14.0%35.8%21.4%25.5%
Expected Move6.3%4.7%7.3%6.1%7.3%
HV 20d15.7%13.8%17.2%14.1%15.0%
HV 60d15.1%14.1%15.8%14.6%14.1%
IV Rank23.6%8.8%44.7%21.0%27.7%
IV Percentile73.0%11.9%98.8%70.2%92.5%
Term Structure-0.8%-2.7%0.1%-0.9%-2.7%
VWIV21.2%16.1%25.4%20.9%25.4%
Skew 25d7.0%3.0%12.1%12.1%10.1%
Skew 10d10.2%3.3%18.3%12.3%16.2%
Call IV 25d16.5%13.0%22.2%13.2%20.7%
Put IV 25d23.5%20.0%30.8%25.3%30.8%
Bid-Ask Spread %46.8232.3868.3753.3944.52
Gamma HHI0.390.370.420.400.39
Net GEX-74.9K-121.7K-15.6K-48.1K-112.4K
Net DEX1.1M84.8K2.0M461.4K2.0M
Net VEX-19.2K-21.6K-17.7K-21.6K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0021.002.420.24
Total Volume39.4011965119
Total OI3,155.053,0133,2603,2393,185

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$42.12$40.0021.4%6.1%14.1%21.0%20.9%12.1%-0.9%-48.1K461.4K-21.6K2.4253.3919461,1152,124
2011-07-05$41.94$35.0023.0%6.2%13.8%23.5%16.4%4.5%-0.3%-57.7K621.8K-21.0K1.2435.0817211,1202,115
2011-07-06$42.15$35.0014.0%6.3%13.8%8.8%16.1%5.0%-0.5%-30.1K342.6K-20.1K0.0039.331101,1232,104
2011-07-07$42.63$35.0035.8%4.7%14.2%44.7%17.0%4.2%-0.3%-15.6K84.8K-20.7K21.0032.382421,1222,104
2011-07-08$42.36$35.0035.1%6.2%14.3%43.6%21.2%3.8%-0.0%-36.2K319.7K-20.1K0.0458.145021,1242,088
2011-07-11$41.26$35.0022.6%6.3%16.8%22.9%21.9%11.0%-0.4%-106.4K1.0M-20.2K2.5738.7814361,1252,090
2011-07-12$41.32$35.0019.7%6.3%16.8%18.1%21.9%8.1%0.1%-78.9K826.9K-20.0K0.0055.264801,1372,080
2011-07-13$41.28$35.0018.8%6.3%16.6%16.6%17.7%5.3%-0.4%-71.5K883.0K-19.9K0.0046.85101,1752,080
2011-07-14$40.81$35.0022.4%6.4%15.8%22.6%22.4%11.3%-0.7%-121.7K1.2M-19.4K0.2544.521231,1762,080
2011-07-15$40.77$40.0021.7%6.2%15.8%21.4%0.0%10.5%-0.4%-107.4K1.3M-19.2K0.0068.37001,1772,083
2011-07-18$40.11$40.0022.5%6.5%16.6%22.8%23.5%11.1%-1.3%-80.6K1.7M-18.6K3.1466.2514441,1551,858
2011-07-19$40.61$40.0021.3%6.1%17.0%20.7%24.2%3.2%-0.2%-72.9K1.5M-18.4K0.8344.9529241,1641,886
2011-07-20$40.47$40.0021.1%6.1%16.3%20.5%21.1%4.3%-0.3%-76.0K1.5M-18.5K0.1739.22611,1431,908
2011-07-21$41.06$40.0022.1%6.3%17.2%22.0%21.6%6.6%-1.0%-54.9K1.1M-18.7K0.7540.73431,1441,909
2011-07-22$40.90$40.0022.0%6.3%17.2%21.9%22.0%5.6%-1.1%-63.5K1.2M-18.3K0.0039.57011,1471,910
2011-07-25$40.62$40.0022.7%6.5%16.7%23.1%0.0%5.3%-1.5%-72.0K1.4M-17.7K0.0066.89601,1471,910
2011-07-26$40.41$40.0022.1%6.3%16.3%22.0%22.1%4.3%-0.7%-81.1K1.5M-17.9K5.0036.234201,1471,910
2011-07-27$40.12$40.0022.8%6.5%15.6%23.2%22.8%3.0%-1.2%-92.4K1.7M-17.8K3.9140.3323901,1461,928
2011-07-28$40.03$40.0023.4%6.7%15.0%24.2%23.3%10.3%-1.4%-117.9K2.0M-17.8K0.1545.6666101,1502,012
2011-07-29$39.87$40.0025.5%7.3%15.0%27.7%25.4%10.1%-2.7%-112.4K2.0M-17.9K0.2444.5296231,1792,006