L Options History — August 2012

In August 2012, L traded between $39.45 and $40.65. ATM implied volatility averaged 14.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 6.6% (HV 20d: 21.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.60.

Notable Days

  • 2012-08-01: Highest Volume — 416 contracts
  • 2012-08-13: Largest IV spike — 15.0% change
  • 2012-08-01: Highest IV Rank — 13.2%
  • 2012-08-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.33$39.45$40.65$39.45$40.65
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV14.4%12.5%16.4%16.4%15.2%
Expected Move4.2%3.7%4.7%4.7%4.3%
HV 20d21.0%9.2%25.2%24.5%9.2%
HV 60d20.1%18.7%21.1%20.6%18.8%
IV Rank9.0%5.4%13.2%13.2%10.7%
IV Percentile11.3%3.6%20.2%20.2%19.4%
Term Structure2.3%-0.2%4.0%0.2%0.6%
VWIV15.7%13.1%33.1%16.4%15.2%
Skew 25d9.1%-2.1%44.3%-2.1%16.5%
Skew 10d16.8%-5.0%58.3%-5.0%45.6%
Call IV 25d13.5%11.2%18.7%18.7%14.7%
Put IV 25d22.6%14.3%62.2%16.5%31.3%
Bid-Ask Spread %57.7726.85105.32105.3247.05
Gamma HHI0.450.320.680.410.33
Net GEX-169.5K-442.7K-14.5K-226.7K-25.8K
Net DEX-666.3K-1.4M1.3M1.0M-1.4M
Net VEX-17.6K-18.8K-16.8K-18.4K-17.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0713.001.600.83
Total Volume91.522541641655
Total OI5,405.3045,0385,5905,0385,461

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$39.45$40.0016.4%4.7%24.5%13.2%16.4%-2.1%0.2%-226.7K1.0M-18.4K1.60105.321602561,7143,324
2012-08-02$39.46$40.0016.1%4.6%23.7%12.5%16.1%44.3%-0.2%-239.9K1.3M-18.8K0.8753.2063551,7363,522
2012-08-03$40.35$40.0014.4%4.1%25.2%9.2%14.4%24.7%1.2%-235.6K-84.1K-18.5K1.1047.7520221,7643,557
2012-08-06$40.42$40.0015.0%4.6%25.0%10.3%16.1%3.2%2.1%-223.5K-390.4K-18.5K0.8473.5467561,7733,561
2012-08-07$40.58$40.0015.7%4.5%24.9%11.7%15.7%3.5%2.3%-199.3K-644.1K-17.4K0.1276.926981,7943,564
2012-08-08$40.46$40.0014.7%4.5%24.7%9.7%17.6%3.1%2.0%-229.2K-597.2K-17.9K0.3365.6130101,8593,562
2012-08-09$40.47$40.0014.1%4.3%24.6%8.5%0.0%3.5%2.8%-243.3K-668.8K-17.7K1.3068.5361791,8713,572
2012-08-10$40.51$40.0012.6%4.1%23.5%5.4%14.3%3.5%3.6%-261.2K-771.7K-18.5K13.0068.092261,9243,643
2012-08-13$40.46$40.0014.4%4.1%23.4%9.2%0.0%2.7%4.0%-321.8K-611.1K-18.4K0.0063.790231,9243,662
2012-08-14$40.49$40.0012.5%4.1%23.4%5.4%14.3%4.7%3.4%-393.4K-901.8K-17.4K1.2196.4233401,9243,666
2012-08-15$40.44$40.0013.6%4.2%23.3%7.5%33.1%2.9%3.5%-442.7K-954.4K-17.7K4.0054.61141,9523,623
2012-08-16$40.52$40.0014.4%4.1%23.3%9.2%14.4%2.9%3.7%-283.8K-980.5K-17.5K0.9469.8918171,9303,620
2012-08-17$40.48$40.0013.9%4.0%23.0%8.1%13.9%1.6%4.0%-255.5K-1.2M-16.9K0.8547.011961661,9303,629
2012-08-20$40.61$40.0013.1%3.7%23.0%6.4%13.1%25.5%2.6%-14.5K-1.3M-17.1K11.0061.53111212,0013,256
2012-08-21$40.49$40.0013.5%3.9%23.0%7.2%13.5%19.2%2.5%-18.7K-1.1M-17.6K1.0028.9941412,0053,273
2012-08-22$40.44$40.0013.8%4.0%23.0%7.9%13.8%20.5%2.2%-22.3K-1.1M-17.2K1.4032.0710142,0403,294
2012-08-23$39.77$40.0014.3%4.1%22.8%8.9%14.3%1.2%2.9%-44.9K-244.9K-17.3K1.8747.4230562,0483,301
2012-08-24$40.23$40.0013.8%4.0%22.3%7.9%13.8%24.6%2.6%-51.2K-733.8K-17.2K0.0045.700392,0513,357
2012-08-27$40.42$40.0015.1%4.3%11.4%10.4%15.1%0.8%1.7%-34.5K-1.1M-17.0K3.8326.8512462,0513,341
2012-08-28$40.22$40.0015.0%4.3%11.6%10.3%0.0%0.0%1.2%-45.6K-845.8K-17.3K0.0751.291512,0563,362
2012-08-29$40.37$40.0013.8%4.0%11.5%7.9%13.8%1.6%2.3%-47.6K-985.4K-16.8K0.1535.5474112,0303,363
2012-08-30$40.25$40.0015.0%4.3%11.6%10.3%15.0%0.4%1.0%-37.7K-928.1K-17.5K8.2061.595412,0813,351
2012-08-31$40.65$40.0015.2%4.3%9.2%10.7%15.2%16.5%0.6%-25.8K-1.4M-17.2K0.8347.0530252,0813,380