L Options History — May 2012

In May 2012, L traded between $38.32 and $41.49. ATM implied volatility averaged 17.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.7% (HV 20d: 14.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.63.

Notable Days

  • 2012-05-30: Highest Volume — 398 contracts
  • 2012-05-02: Largest IV drop — 28.7% change
  • 2012-05-01: Highest IV Rank — 24.2%
  • 2012-05-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.91$38.32$41.49$41.49$38.89
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.1%14.1%21.1%21.1%16.0%
Expected Move5.0%4.1%6.0%6.0%4.6%
HV 20d14.5%12.6%16.9%16.9%15.3%
HV 60d15.1%14.5%16.2%14.8%15.8%
IV Rank14.7%8.6%24.2%24.2%12.3%
IV Percentile16.7%7.1%42.1%42.1%12.3%
Term Structure1.9%-9.6%8.8%-9.6%2.7%
VWIV17.2%11.0%19.4%16.9%17.3%
Skew 25d11.1%-3.7%58.7%-0.2%58.7%
Skew 10d15.3%-5.9%80.8%4.4%80.8%
Call IV 25d17.6%12.5%28.6%18.2%24.2%
Put IV 25d28.7%16.0%82.9%18.0%82.9%
Bid-Ask Spread %62.5933.82111.3357.17103.88
Gamma HHI0.420.390.480.400.40
Net GEX69.6K-33.2K117.4K113.9K29.9K
Net DEX-581.3K-2.3M1.4M-2.3M1.0M
Net VEX-15.2K-17.6K-13.8K-14.2K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.630.0048.750.000.44
Total Volume71.72703989130
Total OI3,906.5453,7944,2673,7944,267

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$41.49$40.0021.1%6.0%16.9%24.2%0.0%-0.2%-9.6%113.9K-2.3M-14.2K0.0057.17901,5742,220
2012-05-02$41.27$40.0015.0%4.3%16.7%10.4%0.0%4.4%4.2%111.2K-2.1M-13.8K0.00111.336001,5742,220
2012-05-03$41.14$40.0017.8%5.1%16.4%16.0%0.0%3.6%-0.3%103.0K-1.9M-14.6K1.1183.019101,5872,220
2012-05-04$40.77$40.0016.2%4.8%16.7%12.6%16.9%3.7%1.5%110.2K-1.7M-14.7K3.7582.868301,5872,229
2012-05-07$40.72$40.0017.3%4.7%15.7%15.0%16.5%4.0%3.0%117.4K-1.6M-14.5K2.3384.326141,5952,239
2012-05-08$40.91$40.0014.7%4.9%14.2%9.7%17.1%-1.2%1.6%112.8K-1.7M-15.7K2.1497.597151,5962,249
2012-05-09$40.76$40.0015.8%5.1%14.1%12.0%0.0%4.3%1.9%102.1K-1.7M-14.7K0.0049.21201,5892,264
2012-05-10$41.00$40.0017.2%4.9%13.2%14.7%0.0%4.5%3.0%111.1K-2.0M-14.3K0.0033.82001,5892,264
2012-05-11$40.64$40.0017.3%5.0%12.6%15.0%17.3%3.6%3.1%109.8K-1.6M-14.7K0.0050.230511,5892,264
2012-05-14$40.11$40.0019.1%5.5%13.5%18.6%19.1%-3.7%0.8%77.1K-1.0M-15.1K3.4043.9615511,5892,314
2012-05-15$39.71$40.0018.9%5.4%12.6%18.1%18.9%0.5%1.6%61.8K-413.6K-15.6K0.0070.750301,5842,345
2012-05-16$39.11$40.0019.3%5.5%13.5%18.8%19.3%-0.9%1.0%25.6K351.5K-16.2K3.2362.2722711,5842,360
2012-05-17$38.73$40.0019.3%5.5%13.9%19.0%19.4%-1.8%3.3%10.5K574.6K-16.8K0.1050.12115111,5852,404
2012-05-18$38.32$40.0018.3%5.3%13.9%17.0%0.0%4.2%3.1%-33.2K1.4M-16.8K0.7044.8630211,5272,399
2012-05-21$38.96$40.0015.0%4.3%15.3%10.3%16.2%9.3%1.9%-521677.6K-15.2K0.2368.79124291,4412,372
2012-05-22$39.20$40.0014.1%4.1%14.3%8.6%11.0%3.5%8.8%43.8K173.3K-15.0K0.8550.1720171,5022,390
2012-05-23$39.22$40.0017.0%4.9%13.7%14.4%0.0%0.3%2.4%58.2K166.2K-15.1K13.6753.893411,5222,406
2012-05-24$39.37$40.0017.0%4.9%13.2%14.3%17.0%35.3%2.5%67.0K62.6K-15.4K0.6434.681171,5252,444
2012-05-25$39.22$40.0017.3%4.9%13.2%14.9%17.2%37.1%2.3%57.1K220.8K-15.3K0.0050.1901961,5152,451
2012-05-29$39.66$40.0016.6%4.8%13.9%13.6%16.7%40.2%1.6%102.7K-128.0K-14.5K2.0050.375101,5152,485
2012-05-30$38.77$40.0016.9%4.8%15.2%14.1%18.4%35.1%0.8%38.8K687.8K-14.9K48.7543.5483901,4872,482
2012-05-31$38.89$40.0016.0%4.6%15.3%12.3%17.3%58.7%2.7%29.9K1.0M-17.6K0.44103.8890401,4852,782