L Options History — May 2013

In May 2013, L traded between $44.73 and $46.71. ATM implied volatility averaged 13.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.2% (HV 20d: 13.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-05-16: Highest Volume — 159 contracts
  • 2013-05-15: Largest IV spike — 27.1% change
  • 2013-05-15: Highest IV Rank — 47.1%
  • 2013-05-22: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.88$44.73$46.71$44.73$45.82
Max Pain$41.14$40.00$45.00$45.00$45.00
ATM IV13.7%10.2%17.8%13.3%14.8%
Expected Move3.9%3.5%4.3%3.8%4.3%
HV 20d13.5%9.0%18.3%18.1%9.6%
HV 60d14.3%13.3%14.9%14.7%13.4%
IV Rank29.9%15.3%47.1%28.3%34.8%
IV Percentile28.8%11.9%73.8%20.2%38.1%
Term Structure1.3%-0.9%3.3%-0.3%0.6%
VWIV13.0%8.7%15.3%13.3%14.6%
Skew 25d9.8%1.3%39.0%2.9%1.3%
Skew 10d22.8%2.4%60.5%4.0%3.1%
Call IV 25d12.3%10.3%14.1%13.9%14.1%
Put IV 25d22.0%13.1%52.5%16.8%15.4%
Bid-Ask Spread %51.3113.6795.7615.0020.15
Gamma HHI0.880.780.970.920.78
Net GEX439.4K320.9K579.8K466.1K429.4K
Net DEX-5.6M-6.9M-4.2M-4.2M-4.9M
Net VEX-13.9K-16.6K-11.8K-16.6K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.004.330.180.16
Total Volume49.31861596515
Total OI2,852.1822,7313,0322,8542,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$44.73$45.0013.3%3.8%18.1%28.3%13.3%2.9%-0.3%466.1K-4.2M-16.6K0.1815.0055101,957897
2013-05-02$44.93$45.0012.3%3.5%18.0%24.0%12.3%39.0%0.9%479.2K-4.5M-16.2K0.0915.163531,946897
2013-05-03$45.42$45.0012.2%3.5%17.9%23.5%12.2%22.7%0.6%503.6K-5.3M-15.7K0.3315.4251171,956896
2013-05-06$45.62$40.0013.8%3.6%17.9%30.5%12.7%16.3%2.2%511.1K-5.5M-14.7K4.3331.4312521,953911
2013-05-07$45.64$40.0012.7%3.7%17.9%25.7%12.9%6.9%2.0%496.7K-5.6M-14.9K0.0535.121911,943921
2013-05-08$45.78$40.0012.0%3.6%17.9%22.8%12.7%14.5%2.2%519.2K-5.7M-14.4K2.7640.0617471,942921
2013-05-09$45.39$40.0010.2%3.6%18.3%15.3%12.6%17.7%2.4%557.0K-5.2M-14.8K0.4076.511041,946949
2013-05-10$45.45$40.0012.6%3.7%18.2%25.3%12.9%19.9%1.8%579.8K-5.2M-14.6K0.0695.763321,939949
2013-05-13$45.46$40.0013.4%3.7%13.4%28.8%12.9%20.4%2.1%572.9K-5.2M-14.2K1.3395.18341,932951
2013-05-14$46.00$40.0014.0%3.9%12.7%31.1%8.7%1.7%1.2%429.1K-6.2M-12.7K0.0090.161201,935955
2013-05-15$46.28$40.0017.8%3.9%12.2%47.1%13.6%5.8%2.0%395.2K-6.5M-12.3K0.0083.51601,940955
2013-05-16$46.04$40.0014.0%4.0%12.4%31.3%14.0%11.5%1.8%405.4K-6.2M-12.8K0.0490.2115361,926955
2013-05-17$46.44$40.0012.9%3.7%12.6%26.5%12.9%1.9%3.3%389.6K-6.9M-12.8K2.2083.845112,073959
2013-05-20$46.71$40.0013.0%3.7%12.2%26.8%12.8%3.2%2.1%320.9K-6.3M-11.8K0.8718.4715131,849882
2013-05-21$46.66$40.0014.2%4.1%11.6%31.9%13.2%4.2%1.2%327.6K-6.1M-12.2K0.1042.53122121,848888
2013-05-22$46.39$40.0015.1%4.3%10.3%35.8%15.3%3.0%-0.9%341.1K-5.7M-13.8K0.0285.044511,900899
2013-05-23$46.06$40.0015.0%4.3%10.2%35.3%0.0%2.6%0.1%366.2K-5.4M-13.9K0.0075.914601,915900
2013-05-24$45.95$40.0013.9%4.0%9.0%30.6%0.0%12.7%1.1%416.4K-5.3M-14.0K0.3276.1437121,930900
2013-05-28$46.20$40.0014.7%4.2%9.1%34.2%14.7%3.7%0.6%385.3K-5.7M-13.2K0.0015.312101,947908
2013-05-29$46.18$40.0015.0%4.3%9.1%35.5%0.0%1.9%0.2%390.5K-5.7M-13.3K1.0013.6725251,967908
2013-05-30$46.19$45.0014.6%4.2%9.1%33.9%14.6%1.6%0.7%383.9K-5.3M-13.2K0.1614.13110181,843928
2013-05-31$45.82$45.0014.8%4.3%9.6%34.8%0.0%1.3%0.6%429.4K-4.9M-14.2K0.0020.150151,902930