L Options History — July 2013

In July 2013, L traded between $44.26 and $46.76. ATM implied volatility averaged 14.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.7% (HV 20d: 13.6%). 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 11 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2013-07-26: Highest Volume — 316 contracts
  • 2013-07-26: Largest IV spike — 57.7% change
  • 2013-07-26: Highest IV Rank — 55.4%
  • 2013-07-26: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.63$44.26$46.76$44.68$45.55
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV14.3%10.1%18.6%14.4%16.3%
Expected Move4.3%2.9%5.3%4.1%4.7%
HV 20d13.6%9.4%17.7%17.7%9.8%
HV 60d13.9%12.6%15.6%15.3%12.6%
IV Rank35.7%16.5%55.4%36.0%44.8%
IV Percentile40.3%11.9%85.7%34.1%69.4%
Term Structure0.5%-2.9%8.4%1.5%-2.0%
VWIV14.9%11.3%18.8%14.4%17.8%
Skew 25d5.5%-3.6%34.1%0.8%5.2%
Skew 10d14.6%-4.1%45.5%0.5%7.0%
Call IV 25d13.9%8.8%21.6%15.8%13.1%
Put IV 25d19.4%9.6%49.5%16.6%18.3%
Bid-Ask Spread %58.3518.88106.4018.8821.22
Gamma HHI0.670.630.740.630.74
Net GEX260.9K198.3K317.8K202.6K314.3K
Net DEX-3.9M-5.1M-2.3M-2.6M-4.2M
Net VEX-14.2K-15.6K-12.6K-15.6K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0012.000.008.00
Total Volume40.81833162027
Total OI2,504.2272,3682,7532,3772,753

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$44.68$45.0014.4%4.1%17.7%36.0%14.4%0.8%1.5%202.6K-2.6M-15.6K0.0018.882001,691686
2013-07-02$44.50$45.0013.7%3.9%17.2%33.0%0.0%34.1%1.9%211.8K-2.6M-15.5K0.0022.680101,711686
2013-07-03$44.26$45.0010.1%2.9%16.8%16.5%0.0%7.3%8.4%198.3K-2.3M-15.0K2.4032.185121,675693
2013-07-05$44.87$45.0010.8%4.4%17.3%19.7%0.0%1.3%-0.1%217.5K-2.7M-14.4K0.0040.622001,680705
2013-07-08$44.99$45.0013.4%4.6%16.5%31.7%0.0%1.8%-0.3%221.2K-3.0M-14.9K0.0040.921001,688705
2013-07-09$45.27$45.0012.1%4.5%16.4%25.7%15.6%2.1%-0.3%231.1K-3.3M-14.9K0.0347.482911,698705
2013-07-10$45.00$45.0013.5%4.5%15.9%31.8%0.0%1.8%-0.0%233.8K-3.1M-14.8K0.5041.211261,722704
2013-07-11$45.45$45.0015.5%4.4%15.9%41.3%0.0%2.6%0.1%236.4K-3.5M-14.9K0.0838.581211,734710
2013-07-12$45.68$45.0015.9%4.6%15.5%43.3%0.0%3.3%-0.4%241.4K-3.8M-14.4K0.0041.57601,729710
2013-07-15$45.81$45.0015.7%4.5%15.0%42.2%0.0%16.4%0.0%250.8K-4.0M-13.8K0.0039.248201,734710
2013-07-16$45.66$45.0016.1%4.6%15.0%44.2%16.1%18.5%-0.2%255.6K-4.0M-15.2K1.3353.86341,816710
2013-07-17$45.99$45.0015.2%4.3%15.0%39.7%0.0%12.8%0.4%271.1K-4.3M-14.8K6.0098.79161,819710
2013-07-18$46.34$45.0014.3%4.1%14.4%35.7%13.1%2.2%1.7%298.9K-4.7M-13.3K12.00102.031121,815716
2013-07-19$46.51$45.0013.7%3.9%10.6%33.1%0.0%2.1%3.3%270.6K-4.8M-14.4K1.0999.3423251,816724
2013-07-22$46.76$45.0014.4%4.1%10.6%36.4%11.3%4.6%-2.9%317.8K-5.1M-12.6K0.8869.6824211,806693
2013-07-23$46.43$45.0014.1%4.0%10.4%34.7%0.0%3.1%1.2%302.4K-5.0M-13.1K0.50101.88211,820713
2013-07-24$46.16$45.0015.9%4.6%10.1%43.3%0.0%2.9%-0.4%289.3K-4.5M-14.4K0.0031.28051,819714
2013-07-25$46.12$45.0011.8%3.4%10.1%24.0%14.0%-3.6%0.2%300.1K-4.5M-13.9K0.37106.4027101,819714
2013-07-26$46.05$45.0018.6%5.3%9.5%55.4%18.8%-3.0%-2.2%284.9K-4.4M-14.4K0.4881.682141021,845724
2013-07-29$46.06$45.0013.3%3.8%9.4%31.3%12.4%2.2%2.8%316.9K-4.7M-12.7K0.6866.3680541,909823
2013-07-30$45.75$45.0015.5%4.4%9.7%41.1%15.4%2.0%-0.4%273.3K-4.0M-13.6K0.1587.772641,888851
2013-07-31$45.55$45.0016.3%4.7%9.8%44.8%17.8%5.2%-2.0%314.3K-4.2M-12.9K8.0021.223241,904849