L Options History — July 2012

In July 2012, L traded between $39.54 and $41.70. ATM implied volatility averaged 18.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.2% (HV 20d: 19.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2012-07-30: Highest Volume — 515 contracts
  • 2012-07-06: Largest IV spike — 22.3% change
  • 2012-07-26: Highest IV Rank — 23.5%
  • 2012-07-26: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$39.54$41.70$41.01$39.59
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV18.0%12.2%21.6%15.6%17.5%
Expected Move5.3%3.5%6.2%4.5%5.0%
HV 20d19.1%15.5%24.8%19.9%24.7%
HV 60d17.6%16.9%20.7%17.8%20.6%
IV Rank16.3%4.8%23.5%11.5%15.4%
IV Percentile29.4%2.4%48.0%14.3%26.6%
Term Structure0.2%-3.1%7.3%3.7%-0.0%
VWIV19.3%15.8%21.5%15.8%17.5%
Skew 25d9.6%-9.9%70.9%-1.6%-1.9%
Skew 10d20.6%-4.6%100.5%38.6%-3.3%
Call IV 25d16.3%13.4%22.5%17.6%18.8%
Put IV 25d25.9%10.1%89.5%16.0%16.9%
Bid-Ask Spread %78.5934.34114.2053.3836.03
Gamma HHI0.390.320.450.380.42
Net GEX-48.6K-225.5K12.2K5.5K-225.5K
Net DEX-580.7K-1.7M1.0M-1.1M1.0M
Net VEX-17.0K-18.7K-14.6K-17.8K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0024.334.330.99
Total Volume103.5241051532207
Total OI4,570.9054,3474,8134,3474,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$41.01$40.0015.6%4.5%19.9%11.5%15.8%-1.6%3.7%5.5K-1.1M-17.8K4.3353.386261,4812,866
2012-07-03$41.34$40.0012.6%3.6%20.0%5.6%0.0%-5.4%4.0%12.2K-1.5M-18.0K0.00102.866301,4872,889
2012-07-05$40.59$40.0012.2%3.5%19.5%4.8%0.0%-9.9%7.3%12.0K-942.6K-18.7K0.82114.2071581,5442,889
2012-07-06$40.50$40.0014.9%5.4%19.6%10.2%18.7%9.1%-1.0%-9.9K-580.6K-17.8K24.3356.043731,5592,938
2012-07-09$40.20$40.0016.1%5.4%19.6%12.6%18.8%8.8%-0.4%-26.3K-169.7K-18.0K3.0741.7414431,5602,983
2012-07-10$39.95$40.0016.5%5.5%19.5%13.3%19.1%2.0%-0.9%-38.0K238.6K-18.4K0.4473.0673321,5693,018
2012-07-11$40.35$40.0016.6%5.5%19.7%13.6%19.1%3.7%-0.7%-21.5K-392.5K-18.4K0.67103.22961,5993,037
2012-07-12$40.09$40.0019.9%5.7%19.4%20.1%19.9%4.9%-1.2%-29.4K-31.2K-18.6K0.6995.6826181,6023,043
2012-07-13$40.90$40.0018.9%5.4%20.2%18.1%18.9%5.5%-0.3%-17.1K-1.4M-16.9K12.0090.783361,6233,053
2012-07-16$40.69$40.0019.3%5.5%19.3%18.9%19.3%3.7%-0.0%-4.6K-1.1M-17.1K0.00112.270531,6243,078
2012-07-17$40.72$40.0018.8%5.4%19.1%17.9%18.8%20.1%0.1%-29.4K-1.2M-15.8K0.0097.080131,6243,131
2012-07-18$41.02$40.0019.2%5.5%19.3%18.7%19.2%5.5%-0.4%-17.7K-1.5M-16.7K0.5289.5942221,6243,132
2012-07-19$40.99$40.0019.5%5.6%19.3%19.3%19.5%4.8%-1.0%-16.6K-1.7M-15.5K0.9291.0274681,6353,083
2012-07-20$40.55$40.0018.9%5.4%17.1%18.1%18.9%3.9%-0.3%-23.1K-1.2M-16.5K0.0534.34189101,6823,131
2012-07-23$40.47$40.0021.5%6.2%17.0%23.3%21.5%25.0%-2.3%-85.3K-127.1K-16.3K3.1083.1021651,4172,941
2012-07-24$40.30$40.0020.4%5.8%15.5%21.1%20.4%26.8%-0.6%-110.2K127.0K-16.4K2.2537.348181,4352,990
2012-07-25$40.30$40.0020.4%5.8%15.5%21.1%20.3%-0.3%-0.6%-119.7K327.8K-17.1K2.65101.6426691,4363,008
2012-07-26$40.99$40.0021.6%6.2%16.0%23.5%21.5%17.9%-3.1%-73.1K-625.4K-14.9K0.4334.47731,4592,997
2012-07-27$41.70$40.0018.6%5.3%16.8%17.6%21.5%7.6%2.6%-26.7K-1.3M-14.6K1.52104.03811231,4663,000
2012-07-30$39.54$40.0018.5%5.3%24.8%17.3%18.5%70.9%-0.6%-177.0K873.2K-16.2K1.6398.431963191,5283,061
2012-07-31$39.59$40.0017.5%5.0%24.7%15.4%17.5%-1.9%-0.0%-225.5K1.0M-16.8K0.9936.031041031,5593,208