L Options History — June 2012

In June 2012, L traded between $38.30 and $40.91. ATM implied volatility averaged 18.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.4% (HV 20d: 18.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 7.22.

Notable Days

  • 2012-06-18: Highest Volume — 338 contracts
  • 2012-06-07: Largest IV drop — 56.2% change
  • 2012-06-04: Highest IV Rank — 41.1%
  • 2012-06-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.75$38.30$40.91$38.36$40.91
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV18.4%12.3%30.4%26.8%15.8%
Expected Move5.2%4.4%7.7%7.7%4.5%
HV 20d18.8%15.7%21.5%15.8%20.0%
HV 60d16.8%15.9%17.8%16.0%17.8%
IV Rank17.0%5.0%41.1%34.0%12.0%
IV Percentile25.7%2.8%73.0%66.7%15.1%
Term Structure1.9%-3.9%4.1%-3.9%3.0%
VWIV19.8%15.2%41.3%29.0%15.7%
Skew 25d12.5%-3.5%79.6%30.5%-0.5%
Skew 10d21.7%-7.4%137.2%56.4%2.9%
Call IV 25d18.1%14.2%40.4%40.4%16.9%
Put IV 25d30.6%15.6%99.6%70.9%16.4%
Bid-Ask Spread %74.3435.38104.6788.46100.45
Gamma HHI0.460.340.660.380.40
Net GEX62.2K-63.6K398.0K-19.7K-17.9K
Net DEX65.9K-2.1M1.4M1.2M-799.8K
Net VEX-16.2K-18.5K-13.8K-17.5K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.220.00110.007.140.45
Total Volume106.714633857313
Total OI4,107.2863,1884,6694,3064,051

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$38.36$40.0026.8%7.7%15.8%34.0%0.0%30.5%-3.9%-19.7K1.2M-17.5K7.1488.467501,4842,822
2012-06-04$38.30$40.0030.4%6.2%15.7%41.1%0.0%6.0%-0.0%-41.2K1.4M-17.3K0.0052.51601,4882,840
2012-06-05$38.50$40.0028.7%5.7%15.9%37.8%0.0%7.4%1.4%-20.3K1.4M-16.5K0.0038.93801,4882,840
2012-06-06$39.53$40.0028.2%5.5%18.9%36.8%29.0%9.0%1.8%64.2K521.8K-15.8K1.1735.4030351,4872,840
2012-06-07$39.56$40.0012.3%5.2%18.9%5.0%19.9%8.9%1.9%149.7K403.7K-15.9K0.5835.3843251,5122,873
2012-06-08$39.87$40.0013.5%5.3%19.0%7.3%18.4%9.0%1.7%134.6K-269.1K-15.3K0.0438.0118181,5282,866
2012-06-11$39.52$40.0015.1%5.6%19.0%10.6%19.7%8.0%0.9%203.8K64.3K-16.3K0.8739.0223201,6972,867
2012-06-12$39.67$40.0015.3%5.3%18.5%11.0%0.0%7.7%1.9%249.5K-4.4K-16.3K110.0082.1511101,7072,883
2012-06-13$39.23$40.0014.4%5.6%18.6%9.2%19.5%7.7%1.3%112.3K654.5K-15.9K0.6199.2967411,7082,878
2012-06-14$39.71$40.0019.0%5.5%18.3%18.4%0.0%8.0%2.1%398.0K-175.4K-16.7K1.2063.6310121,7562,899
2012-06-15$40.46$40.0020.0%5.7%18.9%20.4%20.0%8.9%1.0%321.3K-2.1M-15.2K0.1646.50107171,7582,911
2012-06-18$40.71$40.0016.0%4.6%18.3%12.3%16.0%16.3%2.8%35.6K-810.0K-13.8K2.2596.471042341,0042,184
2012-06-19$40.87$40.0015.4%4.4%17.6%11.2%15.4%1.8%3.7%1.2K-832.2K-15.0K1.5698.7316251,1072,390
2012-06-20$40.91$40.0015.2%4.4%17.6%10.7%0.0%1.6%4.1%5.3K-940.2K-15.3K2.14104.5028601,1152,412
2012-06-21$39.84$40.0018.6%5.3%20.3%17.6%18.6%1.4%2.0%-29.5K-93.8K-16.3K0.9883.5192901,1392,471
2012-06-22$40.07$40.0015.2%4.4%20.4%10.7%15.2%-0.2%3.0%-25.7K-107.7K-16.2K0.2643.3470181,1892,508
2012-06-25$39.32$40.0015.8%4.5%21.5%11.9%15.8%-3.5%3.3%-46.9K543.9K-16.2K1.06104.6734361,2392,516
2012-06-26$39.34$40.0017.3%5.0%21.1%14.9%17.3%0.2%1.7%-63.6K724.6K-17.1K20.42103.32122451,2192,542
2012-06-27$39.85$40.0016.3%4.7%19.9%12.9%41.3%55.0%3.4%-59.5K486.2K-18.5K0.64104.5722141,2312,770
2012-06-28$40.14$40.0015.8%4.5%20.0%12.0%15.8%79.6%3.6%-44.1K76.7K-17.5K0.13102.182431,2532,781
2012-06-29$40.91$40.0015.8%4.5%20.0%12.0%15.7%-0.5%3.0%-17.9K-799.8K-16.5K0.45100.45216971,2672,784