L Options History — September 2011

In September 2011, L traded between $34.26 and $37.57. ATM implied volatility averaged 35.0%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.3% (HV 20d: 33.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 33.67.

Notable Days

  • 2011-09-26: Highest Volume — 511 contracts
  • 2011-09-19: Largest IV spike — 32.7% change
  • 2011-09-09: Highest IV Rank — 56.1%
  • 2011-09-09: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.99$34.26$37.57$36.88$34.55
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV35.0%25.3%42.7%31.3%37.1%
Expected Move9.8%7.2%10.7%9.0%10.6%
HV 20d33.7%27.0%45.7%45.1%33.1%
HV 60d31.2%29.1%33.4%29.1%33.4%
IV Rank43.4%27.3%56.1%37.3%46.9%
IV Percentile90.6%83.7%97.6%90.5%92.5%
Term Structure-0.6%-3.3%1.7%1.7%0.8%
VWIV38.1%33.4%49.5%34.3%37.1%
Skew 25d13.8%9.4%19.0%13.9%17.4%
Skew 10d24.4%13.5%33.8%19.2%28.0%
Call IV 25d25.4%17.5%30.8%17.5%28.2%
Put IV 25d39.2%31.4%45.6%31.4%45.6%
Bid-Ask Spread %50.8130.7375.9942.6275.50
Gamma HHI0.520.400.720.680.41
Net GEX-112.1K-201.3K-40.2K-131.7K-129.0K
Net DEX3.3M1.9M4.6M3.1M3.8M
Net VEX-19.8K-21.3K-18.3K-21.3K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.670.00510.000.131.11
Total Volume116.95215116157
Total OI4,707.2383,6805,5194,8764,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$36.88$40.0031.3%9.0%45.1%37.3%0.0%13.9%1.7%-131.7K3.1M-21.3K0.1342.625472,1092,767
2011-09-02$36.07$40.0034.0%9.7%45.7%41.7%0.0%10.6%-1.5%-153.2K3.9M-20.8K0.0034.04102,1632,774
2011-09-06$35.56$35.0038.5%9.8%40.5%49.1%34.3%11.3%-2.1%-173.2K4.6M-18.4K1.2541.2724302,1632,774
2011-09-07$36.93$35.0037.4%9.6%41.3%47.4%0.0%9.6%-2.2%-141.9K3.3M-20.0K2.8033.8010282,1872,774
2011-09-08$36.45$35.0038.2%9.7%36.3%48.7%0.0%11.1%-2.0%-150.8K3.6M-19.7K0.2030.73100202,1962,791
2011-09-09$35.96$35.0042.7%10.7%30.9%56.1%41.3%12.2%-3.3%-159.3K4.0M-19.5K0.0048.9401412,2812,807
2011-09-12$36.34$35.0033.0%10.3%31.0%40.2%36.1%12.5%-2.0%-166.8K3.8M-19.4K7.5637.34161212,2812,865
2011-09-13$36.47$35.0036.0%10.3%29.9%45.2%0.0%13.0%-2.4%-201.3K3.7M-19.6K24.4037.7851222,2962,971
2011-09-14$36.82$35.0034.7%10.1%30.1%43.0%35.4%9.8%-1.7%-97.6K3.1M-20.0K10.4070.89151562,3013,017
2011-09-15$37.44$35.0035.4%10.1%30.6%44.1%35.0%9.4%-2.5%-40.2K2.8M-21.2K1.5272.9133502,3113,158
2011-09-16$37.57$35.0025.3%7.2%27.0%27.3%34.7%9.6%1.5%-42.9K2.8M-21.2K0.0071.28052,3213,198
2011-09-19$37.01$35.0033.5%9.6%27.5%40.9%36.3%9.9%0.6%-41.9K1.9M-20.3K5.4437.4918981,5762,104
2011-09-20$36.97$35.0033.4%9.6%27.4%40.7%33.4%10.3%0.7%-49.3K1.9M-20.4K0.0346.0610531,5942,202
2011-09-21$35.28$35.0033.7%9.7%32.0%41.3%34.0%19.0%0.4%-70.7K2.9M-19.4K1.4367.0023331,6992,205
2011-09-22$34.26$35.0035.8%10.3%33.2%44.7%45.7%18.7%0.3%-73.1K3.4M-18.4K12.0743.32151811,7202,235
2011-09-23$34.40$35.0035.5%10.2%32.9%44.2%48.3%17.9%0.3%-88.7K3.5M-18.4K0.0042.220201,7142,379
2011-09-26$35.44$35.0034.0%9.8%34.6%41.8%49.5%18.9%1.1%-87.9K3.2M-18.3K510.0075.1115101,7142,399
2011-09-27$35.51$35.0033.9%9.7%31.9%41.5%33.9%17.7%0.9%-101.8K3.2M-19.8K6.6046.40503301,7142,829
2011-09-28$34.62$35.0036.3%10.4%33.0%45.6%36.3%18.4%0.1%-126.7K3.9M-19.5K1.2036.31561,7542,977
2011-09-29$35.23$35.0035.1%10.1%33.2%43.5%0.0%18.5%-0.3%-126.6K3.6M-19.5K20.0075.993601,7592,977
2011-09-30$34.55$35.0037.1%10.6%33.1%46.9%37.1%17.4%0.8%-129.0K3.8M-20.1K1.1175.5027301,7593,037