L Options History — October 2011

In October 2011, L traded between $33.50 and $41.42. ATM implied volatility averaged 31.3%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.5% (HV 20d: 35.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 11.71.

Notable Days

  • 2011-10-10: Highest Volume — 740 contracts
  • 2011-10-28: Largest IV spike — 35.5% change
  • 2011-10-03: Highest IV Rank — 50.7%
  • 2011-10-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.07$33.50$41.42$33.50$39.70
Max Pain$37.62$35.00$40.00$35.00$40.00
ATM IV31.3%18.9%39.4%39.4%26.3%
Expected Move9.1%5.4%11.3%11.3%7.6%
HV 20d35.8%32.9%39.6%33.9%37.8%
HV 60d36.5%33.9%39.7%33.9%39.7%
IV Rank37.2%16.7%50.7%50.7%29.1%
IV Percentile80.1%32.5%96.8%96.8%74.6%
Term Structure0.5%-2.4%10.5%0.1%-2.2%
VWIV31.8%14.7%52.8%52.8%27.4%
Skew 25d13.8%6.4%20.8%17.3%11.6%
Skew 10d23.6%14.2%39.7%21.7%18.5%
Call IV 25d24.8%14.7%34.8%34.8%22.2%
Put IV 25d38.6%21.7%52.1%52.1%33.8%
Bid-Ask Spread %73.4036.89103.7559.7390.15
Gamma HHI0.440.320.590.410.32
Net GEX-67.9K-241.5K153.6K-139.5K53.1K
Net DEX1.2M-3.9M4.6M4.6M-1.9M
Net VEX-21.9K-25.7K-18.0K-18.0K-23.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.710.00101.830.006.50
Total Volume173.192740290
Total OI5,358.3814,8056,2454,8055,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$33.50$35.0039.4%11.3%33.9%50.7%0.0%17.3%0.1%-139.5K4.6M-18.0K0.0059.73201,7533,052
2011-10-04$34.11$35.0038.7%11.1%34.5%49.5%52.8%17.2%1.5%-135.0K4.3M-18.7K77.6761.1564661,7553,052
2011-10-05$34.99$35.0036.1%10.3%32.9%45.2%36.1%19.4%0.9%-132.1K3.7M-19.2K0.1174.3993101,7553,058
2011-10-06$35.41$35.0034.4%9.9%33.0%42.5%34.4%18.1%2.9%-131.3K3.4M-18.9K3.1291.43331031,7963,058
2011-10-07$34.67$35.0033.4%10.6%33.5%40.8%0.0%13.6%0.1%-163.9K4.0M-18.8K2.4342.7021511,8293,158
2011-10-10$36.09$35.0035.3%10.7%36.5%43.9%37.5%16.2%-1.1%-133.0K2.7M-19.6K0.0441.67711291,8353,136
2011-10-11$36.01$35.0034.2%10.5%36.5%42.1%36.7%13.9%-0.8%-111.6K2.4M-22.2K0.0036.894502,2443,136
2011-10-12$36.08$35.0030.4%10.2%36.3%35.9%0.0%12.8%-1.5%-115.3K1.9M-22.6K0.0095.590112,2673,136
2011-10-13$35.97$35.0035.0%10.0%35.7%43.5%0.0%12.5%-1.1%-124.4K2.1M-22.5K0.2095.121022,2673,136
2011-10-14$36.56$35.0033.2%9.5%36.2%40.4%33.3%19.1%-0.3%-99.0K1.5M-22.3K101.83103.7566112,2773,138
2011-10-17$35.53$40.0034.4%9.9%37.2%42.5%34.4%9.5%-0.8%-241.5K3.4M-22.6K32.0045.9751602,2833,691
2011-10-18$36.84$40.0033.7%9.7%39.6%41.2%33.7%20.0%-1.0%-106.4K1.7M-23.8K4.0691.3616652,2883,781
2011-10-19$36.44$40.0035.4%10.1%35.9%44.0%35.5%9.7%-2.4%-147.0K2.1M-23.9K0.4097.0693372,3033,826
2011-10-20$37.52$40.0027.6%7.9%35.2%31.2%35.3%20.8%10.5%-60.4K1.0M-25.0K0.35100.6746162,3713,841
2011-10-21$38.66$40.0025.5%7.3%36.3%27.8%26.3%10.4%1.5%15.1K-450.0K-25.7K1.2386.7231382,4123,833
2011-10-24$39.37$40.0026.0%7.5%35.5%28.6%26.8%9.0%-0.1%15.8K-1.1M-23.2K0.4291.6040172,2022,841
2011-10-25$38.75$40.0027.8%8.0%36.3%31.5%28.0%9.8%-2.2%4.8K-521.1K-23.5K1.9664.9025492,2252,843
2011-10-26$39.48$40.0025.1%7.2%34.9%27.1%25.0%10.4%1.1%44.6K-1.4M-23.0K0.6937.1832222,2502,868
2011-10-27$41.42$40.0018.9%5.4%37.7%16.7%14.7%6.4%5.7%153.6K-3.9M-20.1K0.1194.66325352,2602,860
2011-10-28$41.28$40.0025.6%7.3%36.5%27.8%22.6%12.2%-0.9%126.3K-3.8M-22.9K1.1838.681311542,3972,825
2011-10-31$39.70$40.0026.3%7.6%37.8%29.1%27.4%11.6%-2.2%53.1K-1.9M-23.7K6.5090.1512782,5142,974