L Options History — April 2013

In April 2013, L traded between $42.62 and $45.01. ATM implied volatility averaged 12.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.5% (HV 20d: 14.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2013-04-26: Highest Volume — 220 contracts
  • 2013-04-11: Largest IV spike — 95.7% change
  • 2013-04-26: Highest IV Rank — 45.3%
  • 2013-04-26: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.87$42.62$45.01$43.97$44.67
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV12.7%7.0%17.4%7.6%11.8%
Expected Move4.0%2.0%5.0%2.2%3.4%
HV 20d14.2%9.1%18.5%11.5%18.4%
HV 60d13.5%12.1%15.2%12.2%14.8%
IV Rank25.6%1.7%45.3%4.1%22.0%
IV Percentile29.2%0.8%68.7%1.2%14.7%
Term Structure0.4%-2.5%7.3%6.7%1.3%
VWIV14.8%8.0%17.4%8.0%11.8%
Skew 25d3.6%-2.4%6.7%3.2%3.9%
Skew 10d1.4%-13.3%9.2%-8.2%5.0%
Call IV 25d14.4%7.6%18.4%9.8%12.8%
Put IV 25d18.0%13.0%21.9%13.0%16.7%
Bid-Ask Spread %44.8916.00101.1933.3530.26
Gamma HHI0.870.790.920.880.92
Net GEX295.9K196.2K464.7K262.5K464.7K
Net DEX-3.1M-4.6M-2.0M-3.0M-4.1M
Net VEX-17.5K-18.5K-16.6K-17.2K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.002.292.291.14
Total Volume56.18232202377
Total OI2,6582,4582,8472,4582,847

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$43.97$45.007.6%2.2%11.5%4.1%0.0%3.2%6.7%262.5K-3.0M-17.2K2.2933.357161,680778
2013-04-02$44.29$45.007.0%2.0%11.2%1.7%8.0%5.8%7.3%289.9K-3.3M-16.9K0.5058.04421,687794
2013-04-03$43.93$45.009.4%2.7%11.7%11.4%0.0%4.1%6.0%269.8K-3.0M-17.2K0.0048.641701,689796
2013-04-04$44.23$45.007.2%2.1%11.8%2.6%0.0%6.7%7.2%287.3K-3.2M-17.7K0.0020.84501,706796
2013-04-05$43.80$45.008.2%4.0%12.5%6.7%13.8%6.4%0.4%249.2K-2.7M-17.4K0.7116.0048341,708796
2013-04-08$43.97$45.008.0%4.2%12.2%5.9%14.6%6.1%-0.5%261.5K-2.9M-18.1K0.0018.442601,750823
2013-04-09$43.90$45.008.5%4.1%10.9%7.8%14.4%5.7%-0.2%263.4K-2.9M-17.9K0.0024.143401,768823
2013-04-10$44.01$45.007.8%4.1%10.7%4.8%14.3%5.6%-0.3%282.6K-3.0M-18.2K0.0037.002301,797823
2013-04-11$44.00$45.0015.2%4.3%10.7%34.9%15.2%5.3%-1.1%289.2K-3.1M-18.1K0.1834.452851,820823
2013-04-12$43.99$45.0015.9%4.5%9.1%37.7%17.3%4.6%-1.6%293.5K-3.1M-18.3K0.1336.563951,843823
2013-04-15$42.62$45.0014.2%4.1%14.3%31.0%17.1%-2.4%-1.0%196.2K-2.0M-17.3K0.11101.19177201,868821
2013-04-16$43.39$45.0015.8%4.5%15.6%38.8%15.7%6.0%-1.4%274.6K-2.7M-18.5K1.2087.8610121,992821
2013-04-17$43.12$45.0016.4%4.7%15.5%41.5%0.0%5.2%-1.0%252.0K-2.5M-18.4K1.0033.93441,992823
2013-04-18$43.00$45.0016.3%4.7%15.4%41.0%0.0%3.7%-1.6%242.8K-2.4M-18.0K0.0037.76301,970825
2013-04-19$43.18$45.0015.6%4.5%15.5%38.0%0.0%5.1%-0.8%252.4K-2.4M-17.6K0.0039.46401,969825
2013-04-22$42.99$45.0013.7%3.9%15.5%30.0%0.0%3.5%-1.0%230.8K-2.4M-17.5K0.1443.503651,885793
2013-04-23$43.64$45.0016.0%4.6%16.4%39.7%0.0%0.1%-1.9%298.5K-2.9M-16.6K0.1195.081821,886790
2013-04-24$44.51$45.0015.8%4.5%17.9%38.9%15.8%-1.8%-2.2%380.7K-4.0M-16.6K0.0094.6413401,885790
2013-04-25$45.01$45.0017.2%4.9%18.0%44.6%17.2%1.6%-2.5%378.6K-4.6M-16.9K0.0030.607201,905790
2013-04-26$44.44$45.0017.4%5.0%18.5%45.3%17.4%0.7%-2.5%364.3K-4.0M-17.3K0.7734.80124961,902790
2013-04-29$44.53$45.0015.0%4.3%18.5%35.4%15.0%-0.5%-1.3%426.2K-4.1M-16.6K1.1031.0569761,960824
2013-04-30$44.67$45.0011.8%3.4%18.4%22.0%11.8%3.9%1.3%464.7K-4.1M-16.7K1.1430.2636411,957890