L Options History — November 2011

In November 2011, L traded between $35.82 and $39.86. ATM implied volatility averaged 28.8%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 9.0% (HV 20d: 37.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.93.

Notable Days

  • 2011-11-23: Highest Volume — 236 contracts
  • 2011-11-30: Largest IV drop — 62.4% change
  • 2011-11-29: Highest IV Rank — 53.4%
  • 2011-11-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.17$35.82$39.86$38.16$38.43
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV28.8%15.4%41.0%23.0%15.4%
Expected Move8.4%4.4%11.8%6.6%4.4%
HV 20d37.8%31.1%41.3%41.3%32.9%
HV 60d35.5%34.5%38.6%38.6%36.2%
IV Rank33.1%11.0%53.4%23.5%11.0%
IV Percentile74.0%17.1%97.2%68.7%17.1%
Term Structure0.1%-14.7%9.3%0.8%5.0%
VWIV29.9%13.3%38.3%33.6%13.3%
Skew 25d14.6%7.4%54.2%12.3%22.6%
Skew 10d24.7%12.4%73.2%18.6%43.8%
Call IV 25d24.4%19.3%31.5%25.5%31.5%
Put IV 25d39.0%30.8%82.2%37.7%54.0%
Bid-Ask Spread %75.3234.47112.2193.4981.53
Gamma HHI0.360.320.570.370.57
Net GEX15.0K-50.6K132.9K-33.0K132.9K
Net DEX573-1.8M2.0M230.7K31.4K
Net VEX-19.7K-24.0K-13.9K-24.0K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.930.0046.203.322.50
Total Volume50.905223624112
Total OI5,2764,5505,6105,5074,751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$38.16$40.0023.0%6.6%41.3%23.5%33.6%12.3%0.8%-33.0K230.7K-24.0K0.0093.490242,5152,992
2011-11-02$38.89$40.0026.2%7.5%40.9%28.9%26.8%9.0%-0.4%12.9K-579.2K-22.8K3.3292.27311032,5152,979
2011-11-03$39.36$40.0026.1%7.5%40.9%28.7%0.0%54.2%9.3%-8.4K-939.8K-22.1K0.70112.2143302,5383,008
2011-11-04$39.28$40.0024.1%7.8%39.8%25.5%35.9%13.1%1.0%39.9K-1.0M-22.9K6.0065.78162,5653,019
2011-11-07$39.46$40.0024.0%7.2%37.7%25.2%25.1%12.7%2.6%55.7K-1.2M-22.0K1.0082.01552,5653,025
2011-11-08$39.86$40.0024.7%7.5%37.7%26.4%0.0%11.2%2.9%53.8K-1.8M-22.0K3.3392.893102,5703,030
2011-11-09$38.33$40.0018.4%7.5%40.8%16.0%37.8%11.0%0.5%-12.8K42.9K-21.6K1.5098.2010152,5703,027
2011-11-10$38.69$40.0028.3%8.1%40.8%32.4%0.0%13.3%1.6%32.7K-264.0K-21.3K3.0045.58262,5603,042
2011-11-11$39.50$40.0027.8%8.0%41.1%31.6%27.9%11.8%1.6%29.3K-1.2M-21.1K0.13101.6975102,5623,048
2011-11-14$38.93$40.0027.0%7.7%39.9%30.2%26.9%12.2%1.6%45.4K-687.5K-19.9K0.0069.45402,5553,038
2011-11-15$39.25$40.0027.5%7.9%38.1%31.0%32.7%8.5%0.8%21.2K-763.3K-19.5K0.0075.742002,5583,038
2011-11-16$38.43$40.0022.0%6.3%38.8%21.9%38.3%12.2%2.2%44.4K-266.0K-20.4K3.6795.016222,5523,038
2011-11-17$37.73$40.0030.6%8.8%38.1%36.2%0.0%11.8%-0.0%-50.6K762.3K-20.0K1.00101.40112,5503,041
2011-11-18$38.18$40.0029.1%8.3%36.8%33.6%0.0%12.7%3.8%46.8K364.1K-19.3K0.2844.4074212,5513,042
2011-11-21$37.19$40.0037.9%10.9%37.2%48.2%28.5%10.6%-2.1%21.6K387.9K-18.3K1.7847.1218322,4232,127
2011-11-22$36.91$40.0037.0%10.6%36.9%46.8%33.1%7.9%-2.8%4.5K844.9K-17.9K0.1767.274272,4392,148
2011-11-23$35.82$40.0036.0%10.3%37.2%45.1%37.4%17.4%0.2%-32.8K1.8M-16.1K46.2088.4752312,4562,149
2011-11-25$35.85$40.0037.7%10.8%31.7%47.9%0.0%20.8%-1.8%-47.1K2.0M-16.9K0.0034.47202,4582,302
2011-11-28$36.68$40.0040.5%11.6%33.5%52.6%26.8%7.4%-9.5%-21.5K1.1M-16.5K0.0450.554522,4602,255
2011-11-29$36.70$40.0041.0%11.8%31.1%53.4%24.7%14.8%-14.7%-19.5K1.1M-16.0K0.0042.260452,4782,257
2011-11-30$38.43$40.0015.4%4.4%32.9%11.0%13.3%22.6%5.0%132.9K31.4K-13.9K2.5081.5332802,4782,273