L Options History — December 2011

In December 2011, L traded between $36.53 and $39.15. ATM implied volatility averaged 25.8%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 4.1% (HV 20d: 29.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2011-12-19: Highest Volume — 447 contracts
  • 2011-12-13: Largest IV spike — 174.4% change
  • 2011-12-13: Highest IV Rank — 84.4%
  • 2011-12-15: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.90$36.53$39.15$38.33$37.65
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV25.8%17.1%59.8%21.3%23.0%
Expected Move6.9%4.9%9.8%6.1%6.6%
HV 20d29.9%22.3%32.6%32.2%22.4%
HV 60d34.7%32.5%36.3%35.4%32.5%
IV Rank28.3%13.8%84.4%20.8%23.6%
IV Percentile54.0%23.8%99.6%51.6%60.7%
Term Structure5.7%-0.3%12.5%1.5%9.1%
VWIV25.7%18.3%35.8%21.9%28.0%
Skew 25d10.8%3.5%17.5%7.5%14.1%
Skew 10d12.9%-3.2%24.2%8.1%12.2%
Call IV 25d17.7%10.5%23.6%22.8%14.1%
Put IV 25d28.5%17.8%34.1%30.2%28.2%
Bid-Ask Spread %78.8825.26118.4575.5258.45
Gamma HHI0.460.380.670.480.43
Net GEX70.5K-36.3K223.7K102.5K54.7K
Net DEX-28.2K-1.2M1.8M-20.6K-519.1K
Net VEX-13.0K-15.1K-10.1K-15.0K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.007.750.000.00
Total Volume60.6192447202
Total OI3,867.5242,1695,0154,7912,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$38.33$40.0021.3%6.1%32.2%20.8%21.9%7.5%1.5%102.5K-20.6K-15.0K0.0075.522002,4982,293
2011-12-02$38.25$40.0017.1%4.9%31.8%13.8%35.8%5.6%3.8%89.3K-60.8K-15.1K0.3986.5431122,5082,293
2011-12-05$38.95$40.0020.2%6.7%32.6%19.0%0.0%10.2%3.3%191.2K-628.7K-14.4K0.0051.715902,5292,301
2011-12-06$39.14$40.0019.4%6.6%32.6%17.7%22.8%11.7%2.7%223.7K-1.1M-15.0K0.0035.720232,5772,301
2011-12-07$39.15$40.0023.5%6.7%32.4%24.4%23.5%11.2%2.9%204.9K-1.2M-15.0K0.2225.2696212,5772,319
2011-12-08$37.83$40.0018.0%7.2%31.6%15.3%27.4%10.8%2.2%49.5K586.2K-13.8K3.0033.4821632,5312,340
2011-12-09$38.58$40.0022.3%6.7%32.3%22.4%26.1%9.0%3.1%139.8K37.5K-13.8K1.7579.51472,5492,397
2011-12-12$37.76$40.0021.8%6.6%32.1%21.6%0.0%8.8%2.7%40.3K841.5K-12.7K5.8838.408472,5492,401
2011-12-13$37.39$40.0059.8%9.4%31.9%84.4%0.0%14.0%9.1%-1.3K1.1M-13.5K2.8697.367202,5532,443
2011-12-14$37.29$40.0055.7%9.5%31.7%77.6%24.6%7.8%-0.3%-1.1K1.6M-11.6K2.7165.7414382,5552,423
2011-12-15$37.19$40.0034.1%9.8%30.9%42.0%21.9%6.9%2.2%-11.3K1.5M-11.7K0.33102.4630102,5692,425
2011-12-16$36.96$40.0026.6%7.6%30.4%29.5%0.0%3.5%5.4%-36.3K1.8M-11.1K0.0999.636662,5962,419
2011-12-19$36.53$40.0029.5%8.5%30.2%34.3%31.0%17.4%0.9%21.3K186.6K-10.1K1.06106.812172301,221948
2011-12-20$37.46$40.0029.6%8.5%30.3%34.5%18.3%17.5%8.0%52.3K-518.8K-12.3K7.7596.1812931,4031,022
2011-12-21$37.74$40.0022.5%6.5%30.2%22.8%26.6%16.7%12.5%47.5K-657.4K-13.5K0.00117.430331,4111,075
2011-12-22$37.92$40.0019.5%5.6%27.9%17.8%0.0%16.4%11.8%52.4K-656.3K-12.9K0.00111.402701,4111,105
2011-12-23$38.22$40.0020.4%5.8%27.9%19.2%0.0%17.2%11.9%63.7K-824.2K-12.7K0.00118.45301,4341,105
2011-12-27$38.10$40.0020.0%5.7%27.0%18.6%0.0%3.5%8.1%74.6K-822.6K-12.1K0.00114.651101,4371,105
2011-12-28$37.55$40.0018.3%5.3%27.6%15.8%28.0%13.1%8.0%58.8K-588.4K-12.5K6.0069.44161,4271,105
2011-12-29$37.92$40.0019.7%5.7%22.3%18.2%0.0%4.9%10.4%63.9K-673.4K-12.2K0.0072.283501,4281,111
2011-12-30$37.65$40.0023.0%6.6%22.4%23.6%0.0%14.1%9.1%54.7K-519.1K-12.0K0.0058.45201,4131,111