L Options History — August 2011

In August 2011, L traded between $34.54 and $39.11. ATM implied volatility averaged 34.6%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.6% (HV 20d: 35.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 8.71.

Notable Days

  • 2011-08-15: Highest Volume — 702 contracts
  • 2011-08-08: Largest IV spike — 126.1% change
  • 2011-08-08: Highest IV Rank — 78.4%
  • 2011-08-08: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.60$34.54$39.11$39.11$37.62
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV34.6%14.7%56.2%20.7%14.7%
Expected Move9.5%4.2%12.7%5.9%4.2%
HV 20d35.2%16.0%45.5%16.0%45.2%
HV 60d23.8%14.3%28.9%14.3%28.9%
IV Rank42.7%9.9%78.4%19.8%9.9%
IV Percentile83.1%14.3%99.6%61.5%14.3%
Term Structure-1.9%-9.3%11.6%0.3%11.6%
VWIV32.7%14.1%49.9%20.7%33.8%
Skew 25d15.0%7.2%24.2%8.3%16.1%
Skew 10d23.8%10.4%33.0%11.5%16.4%
Call IV 25d24.8%15.0%37.2%20.6%15.3%
Put IV 25d39.8%28.5%50.6%28.8%31.4%
Bid-Ask Spread %42.8223.7168.7445.8141.06
Gamma HHI0.500.360.800.410.65
Net GEX-126.1K-313.9K-90.4K-131.3K-96.3K
Net DEX3.6M2.4M4.5M2.6M2.4M
Net VEX-17.8K-22.1K-15.5K-17.1K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.710.06106.000.16106.00
Total Volume159.7832470279214
Total OI3,871.4783,2864,7263,2864,726

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$39.11$40.0020.7%5.9%16.0%19.8%20.7%8.3%0.3%-131.3K2.6M-17.1K0.1645.8168111,2582,028
2011-08-02$38.23$40.0017.7%5.1%17.4%14.9%14.4%7.2%-0.2%-129.5K3.0M-16.9K3.5539.4711391,3032,031
2011-08-03$38.33$40.0020.1%5.8%17.2%18.8%28.7%9.7%0.2%-131.3K3.2M-15.9K2.2637.6823521,3032,029
2011-08-04$37.51$40.0015.8%4.5%17.1%11.7%14.1%18.2%9.2%-131.8K3.5M-16.1K0.2734.172261,3112,056
2011-08-05$37.58$40.0024.9%7.6%17.4%26.6%29.7%8.7%0.3%-115.1K3.2M-17.0K1.3044.6633431,3142,062
2011-08-08$35.36$40.0056.2%12.7%25.3%78.4%0.0%11.7%-9.3%-97.4K3.9M-16.2K5.8234.3211641,3322,094
2011-08-09$36.46$40.0048.6%11.0%28.6%65.9%30.0%11.5%-3.8%-112.7K3.9M-16.3K1.2361.291401721,3322,117
2011-08-10$34.54$40.0055.5%12.3%33.2%77.3%0.0%13.5%-8.1%-90.4K4.2M-15.5K13.8627.847971,4602,130
2011-08-11$36.51$40.0040.1%11.5%40.2%51.8%36.4%12.3%-5.6%-102.9K3.5M-18.4K0.5532.8647261,4602,208
2011-08-12$36.26$40.0038.6%11.1%40.2%49.4%31.1%12.3%-5.5%-113.1K3.9M-16.6K1.0751.601021091,4742,213
2011-08-15$37.09$40.0035.5%10.2%41.2%44.2%35.4%12.1%-3.2%-126.0K3.6M-17.1K0.0640.12660421,4942,287
2011-08-16$36.84$40.0034.7%9.9%40.8%42.9%34.8%10.7%-2.3%-110.4K3.4M-19.0K39.5045.1362371,7472,323
2011-08-17$36.93$40.0034.6%9.9%40.8%42.7%34.6%10.6%-3.2%-122.6K3.6M-19.3K0.0062.330311,7472,549
2011-08-18$35.56$40.0037.8%10.8%41.8%48.0%37.8%14.2%-4.5%-178.4K4.5M-18.1K0.3261.19101321,7402,565
2011-08-19$35.25$40.0039.1%11.2%41.8%50.1%49.9%24.2%-4.9%-313.9K4.4M-18.2K0.9024.1821191,8302,558
2011-08-22$35.14$40.0038.5%11.0%41.8%49.1%39.0%21.4%-1.5%-99.5K4.0M-18.2K3.4323.71301031,6142,245
2011-08-23$35.73$40.0037.4%10.7%42.7%47.4%39.6%21.4%-0.9%-115.2K4.0M-18.1K0.2035.572041,6232,315
2011-08-24$36.14$40.0038.3%11.0%43.1%48.9%29.3%23.5%-2.2%-119.7K3.8M-18.0K0.4042.88178721,6282,318
2011-08-25$35.56$40.0038.3%11.0%43.3%48.8%38.3%20.5%-1.3%-112.7K4.1M-17.7K2.2929.7014321,7632,375
2011-08-26$35.88$40.0037.1%10.6%43.6%46.9%37.2%19.8%-1.4%-112.9K4.0M-17.8K6.5068.74221431,7732,363
2011-08-29$37.16$40.0035.9%10.3%45.5%44.9%36.0%18.4%-3.5%-132.3K3.4M-18.4K0.3250.593211041,7852,498
2011-08-30$37.07$40.0035.3%10.1%44.9%44.0%35.4%17.5%-3.1%-104.6K3.0M-20.8K1.5849.88721142,0902,573
2011-08-31$37.62$40.0014.7%4.2%45.2%9.9%33.8%16.1%11.6%-96.3K2.4M-22.1K106.0041.0622122,1092,617