L Options History — March 2012

In March 2012, L traded between $38.16 and $39.87. ATM implied volatility averaged 18.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.5% (HV 20d: 13.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2012-03-12: Highest Volume — 180 contracts
  • 2012-03-07: Largest IV spike — 71.6% change
  • 2012-03-09: Highest IV Rank — 36.8%
  • 2012-03-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.16$38.16$39.87$39.23$39.87
Max Pain$39.09$35.00$40.00$40.00$40.00
ATM IV18.4%9.8%31.0%20.3%13.8%
Expected Move4.5%2.8%6.0%5.8%4.0%
HV 20d13.9%11.8%15.6%12.4%15.4%
HV 60d15.1%13.7%17.3%17.2%13.7%
IV Rank16.1%1.8%36.8%19.2%8.4%
IV Percentile26.8%0.8%73.4%32.5%7.9%
Term Structure3.3%-0.6%9.5%9.0%0.9%
VWIV14.1%10.5%19.7%15.0%10.5%
Skew 25d13.2%-6.3%34.2%12.4%34.2%
Skew 10d15.7%-13.1%49.7%3.5%49.7%
Call IV 25d15.5%9.1%21.4%11.5%15.6%
Put IV 25d28.7%13.8%52.1%23.9%49.8%
Bid-Ask Spread %64.1034.63112.5474.3444.20
Gamma HHI0.700.570.860.770.69
Net GEX522.4K213.9K1.3M654.3K383.7K
Net DEX-1.8M-3.3M-390.2K-3.2M-1.7M
Net VEX-22.5K-26.4K-19.5K-26.4K-20.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0024.500.260.00
Total Volume46.1822180982
Total OI5,176.5453,8946,3025,8854,065

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$39.23$40.0020.3%5.8%12.4%19.2%0.0%12.4%9.0%654.3K-3.2M-26.4K0.2674.3478203,4122,473
2012-03-02$38.87$40.0021.0%6.0%13.0%20.2%0.0%14.3%9.5%578.7K-2.3M-25.1K1.1150.439103,4902,493
2012-03-05$38.85$35.0024.7%5.5%11.8%26.5%0.0%8.8%2.3%586.4K-2.3M-25.0K2.3255.4728653,4972,503
2012-03-06$38.16$35.0017.7%5.4%13.3%14.8%0.0%7.9%3.7%400.4K-790.9K-23.3K0.0098.250263,5232,568
2012-03-07$38.21$35.0030.3%5.6%13.3%35.7%15.0%7.5%2.7%403.5K-1.1M-24.6K1.7969.3634613,5232,584
2012-03-08$38.32$35.0022.1%4.0%13.3%22.1%12.5%1.9%1.6%412.5K-566.0K-24.2K24.5090.622493,5252,645
2012-03-09$38.65$40.0031.0%5.4%13.3%36.8%19.7%0.5%-0.6%496.6K-1.8M-23.7K0.3448.1732113,5272,668
2012-03-12$38.57$40.0030.7%5.2%13.3%36.3%16.9%22.4%-0.2%512.2K-1.3M-22.5K1.0044.1090903,5222,678
2012-03-13$39.30$40.0025.1%4.0%14.6%27.0%14.1%0.1%2.9%949.8K-2.7M-24.1K0.0051.883203,5622,714
2012-03-14$39.02$40.0018.6%4.3%14.6%16.3%0.0%-1.8%1.4%672.5K-1.4M-21.7K0.0094.602403,5652,714
2012-03-15$39.56$40.0013.7%3.9%13.9%8.2%0.0%26.8%4.4%1.3M-3.2M-21.8K0.0056.762103,5742,714
2012-03-16$39.48$40.0013.8%4.0%13.5%8.4%0.0%0.4%3.3%1.1M-3.3M-22.5K1.1134.6318203,5882,714
2012-03-19$39.68$40.0013.6%3.9%13.5%8.1%13.7%28.0%2.3%312.8K-1.8M-19.5K0.1037.85136131,8672,027
2012-03-20$39.70$40.0013.0%3.7%13.0%7.0%13.1%28.3%2.7%323.2K-1.8M-21.4K0.7153.9428201,9282,034
2012-03-21$39.34$40.0011.7%3.4%13.5%5.0%0.0%0.1%3.7%302.5K-1.4M-21.6K0.00112.54041,9452,054
2012-03-22$38.80$40.0019.0%5.5%13.8%17.0%13.6%2.8%2.5%213.9K-390.2K-22.7K4.0058.905201,9452,058
2012-03-23$39.19$40.0020.0%5.7%14.3%18.6%0.0%6.2%3.6%273.2K-980.4K-21.7K0.0093.99051,9402,078
2012-03-26$39.86$40.0012.0%3.4%15.5%5.4%12.0%31.7%3.4%407.8K-1.9M-19.6K4.3343.813131,9402,080
2012-03-27$39.69$40.009.8%2.8%15.6%1.8%10.5%-6.3%5.9%437.3K-1.8M-21.0K0.1958.492651,9432,085
2012-03-28$39.63$40.0010.9%3.1%15.4%3.6%0.0%31.1%4.4%394.5K-1.6M-20.6K0.0097.86301,9682,090
2012-03-29$39.47$40.0012.8%3.7%15.5%6.8%0.0%33.3%2.9%344.4K-1.2M-20.9K0.6339.92851,9712,090
2012-03-30$39.87$40.0013.8%4.0%15.4%8.4%0.0%34.2%0.9%383.7K-1.7M-20.8K0.0044.20201,9752,090