L Options History — November 2012

In November 2012, L traded between $39.83 and $42.92. ATM implied volatility averaged 17.5%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.8% (HV 20d: 18.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2012-11-29: Highest Volume — 222 contracts
  • 2012-11-06: Largest IV spike — 60.0% change
  • 2012-11-06: Highest IV Rank — 36.8%
  • 2012-11-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.09$39.83$42.92$42.92$40.88
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.5%12.8%28.2%23.4%15.8%
Expected Move4.8%3.9%6.7%6.7%4.5%
HV 20d18.3%14.5%20.4%14.5%18.1%
HV 60d14.4%11.9%15.5%11.9%15.1%
IV Rank15.4%6.0%36.8%27.1%12.0%
IV Percentile39.2%5.6%89.3%76.6%31.7%
Term Structure0.5%-16.9%5.2%2.7%0.2%
VWIV15.9%9.5%18.7%9.5%16.9%
Skew 25d1.0%-5.8%11.6%7.0%-5.8%
Skew 10d9.9%-6.4%31.5%-0.1%-4.0%
Call IV 25d18.8%11.7%22.1%11.7%22.1%
Put IV 25d19.7%13.2%31.7%18.6%16.3%
Bid-Ask Spread %37.9813.5186.5047.2632.76
Gamma HHI0.500.420.690.690.46
Net GEX-10.8K-191.2K163.5K163.5K-30.8K
Net DEX-1.3M-3.4M565.2K-3.4M-1.2M
Net VEX-14.0K-16.2K-11.6K-15.1K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.005.000.940.00
Total Volume49.1431022231200
Total OI3,894.5713,6084,1054,0203,663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$42.92$40.0023.4%6.7%14.5%27.1%9.5%7.0%2.7%163.5K-3.4M-15.1K0.9447.2616152,0681,952
2012-11-02$42.16$40.0023.2%6.6%15.9%26.7%0.0%-4.2%-16.9%104.1K-2.7M-16.2K1.6735.6912202,0691,952
2012-11-05$42.17$40.0017.6%5.2%14.9%15.6%16.7%7.6%3.2%100.9K-2.9M-14.7K0.4252.7626112,0791,961
2012-11-06$42.33$40.0028.2%5.0%14.9%36.8%18.0%3.9%3.0%115.3K-2.8M-15.1K0.0050.570102,0991,954
2012-11-07$41.20$40.0023.0%3.9%17.8%26.4%14.3%4.6%5.2%1.1K-1.4M-15.1K3.3366.086202,0991,953
2012-11-08$40.62$40.0020.8%4.9%18.3%22.0%17.1%-2.1%1.2%-39.4K-751.8K-16.0K2.5852.0412312,1031,964
2012-11-09$41.13$40.0016.4%4.9%18.8%13.2%17.2%-0.9%1.9%-14.1K-1.4M-15.6K0.0034.380322,1001,986
2012-11-12$40.99$40.0014.9%5.6%18.9%10.2%18.7%-0.2%-1.9%-6.1K-1.5M-15.4K0.9136.7811102,1001,990
2012-11-13$40.61$40.0012.8%4.9%19.1%6.0%17.0%-2.5%1.9%-74.0K-791.9K-15.0K0.7146.4051362,0911,998
2012-11-14$39.92$40.0016.2%4.6%19.8%12.7%16.0%-4.0%1.7%-152.2K248.4K-14.8K0.6527.3426172,1042,001
2012-11-15$39.83$40.0016.7%4.8%19.2%13.7%16.7%-3.7%0.5%-191.2K565.2K-14.1K3.1386.508252,0681,977
2012-11-16$40.72$40.0016.3%4.7%20.4%13.0%0.0%11.6%2.5%-48.8K-780.6K-13.9K1.0034.93772,0691,981
2012-11-19$40.84$40.0015.3%4.4%19.9%11.0%15.3%8.3%1.7%-16.7K-917.4K-13.3K1.9331.4630581,7631,845
2012-11-20$40.73$40.0014.7%4.2%19.3%9.7%14.7%9.7%1.1%-26.3K-800.1K-13.4K2.0013.51481,7821,880
2012-11-21$40.84$40.0014.5%4.2%19.4%9.4%15.2%6.9%1.3%-23.7K-1.0M-13.3K0.3716.5427101,7861,887
2012-11-23$41.30$40.0014.9%4.3%19.2%10.2%14.9%-4.0%0.9%-7.3K-1.6M-12.4K0.0018.461001,7981,897
2012-11-26$41.09$40.0015.9%4.6%19.2%12.2%0.0%-0.5%0.8%-16.5K-1.3M-12.3K0.0026.301001,7981,897
2012-11-27$40.74$40.0015.5%4.5%19.0%11.4%15.9%-4.7%0.4%-22.8K-1.1M-12.3K4.0027.434161,7981,897
2012-11-28$40.85$40.0016.0%4.6%19.0%12.4%16.0%-4.7%-0.5%-21.8K-1.1M-12.1K5.0032.574201,7991,881
2012-11-29$40.97$40.0015.7%4.5%19.1%11.7%15.8%-1.9%-0.4%-19.4K-1.3M-12.0K0.0127.8522021,7971,900
2012-11-30$40.88$40.0015.8%4.5%18.1%12.0%16.9%-5.8%0.2%-30.8K-1.2M-11.6K0.0032.7620001,7631,900