L Options History — August 2013

In August 2013, L traded between $44.46 and $47.53. ATM implied volatility averaged 15.3%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.8% (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 19 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2013-08-27: Highest Volume — 534 contracts
  • 2013-08-14: Largest IV spike — 71.1% change
  • 2013-08-14: Highest IV Rank — 100.0%
  • 2013-08-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.96$44.46$47.53$46.57$44.46
Max Pain$42.95$40.00$45.00$45.00$45.00
ATM IV15.3%11.1%38.3%16.6%14.5%
Expected Move3.8%3.0%4.8%4.8%4.2%
HV 20d13.5%11.5%16.2%11.9%13.9%
HV 60d14.0%13.3%14.8%13.4%14.4%
IV Rank32.5%17.3%100.0%46.4%25.0%
IV Percentile41.0%14.7%100.0%74.2%40.5%
Term Structure1.8%-5.5%8.0%-5.5%1.3%
VWIV13.0%9.5%17.1%17.1%14.2%
Skew 25d5.4%0.1%34.0%5.1%0.5%
Skew 10d14.6%0.3%48.8%7.0%0.9%
Call IV 25d11.8%8.8%15.1%13.4%14.2%
Put IV 25d17.2%9.2%49.1%18.4%14.7%
Bid-Ask Spread %43.6811.0797.1230.2612.30
Gamma HHI0.730.560.810.800.77
Net GEX308.6K249.0K438.1K438.1K301.6K
Net DEX-4.2M-6.1M-1.1M-5.3M-1.1M
Net VEX-12.5K-16.5K-9.9K-9.9K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.006.502.060.20
Total Volume69.86405345260
Total OI2,904.3182,7123,1172,7353,117

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$46.57$45.0016.6%4.8%11.9%46.4%17.1%5.1%-5.5%438.1K-5.3M-9.9K2.0630.2617351,903832
2013-08-02$46.29$45.0011.1%3.2%11.6%20.8%0.0%1.9%-1.9%370.5K-4.9M-11.3K0.0097.12101,888832
2013-08-05$46.12$40.0014.5%3.8%11.7%36.8%13.4%3.1%0.8%311.5K-4.6M-12.0K0.0083.613301,888832
2013-08-06$45.92$40.0013.7%3.7%11.7%32.9%0.0%2.6%2.8%310.4K-4.5M-12.0K0.0086.27001,880832
2013-08-07$45.65$40.0012.6%4.0%11.7%27.9%13.8%1.8%2.1%307.7K-4.1M-12.4K1.0089.02551,880832
2013-08-08$46.03$40.0011.8%3.0%11.5%24.4%11.9%10.3%6.1%401.5K-4.6M-11.3K1.7585.32471,885831
2013-08-09$46.18$40.0016.2%3.9%11.5%44.3%13.7%9.6%-1.0%320.8K-4.6M-10.6K0.0014.740211,885828
2013-08-12$46.42$40.0016.5%3.1%11.5%46.1%9.6%3.8%8.0%351.0K-5.1M-10.7K0.1017.25131131,885839
2013-08-13$47.20$40.0022.4%3.6%12.8%73.1%9.5%4.1%4.0%270.0K-6.0M-10.5K0.4464.1757251,943851
2013-08-14$47.53$40.0038.3%3.4%12.7%100.0%10.2%0.1%5.0%271.0K-6.1M-11.1K0.1948.0359111,979870
2013-08-15$46.97$40.0012.1%3.5%13.4%17.3%11.7%1.4%2.1%291.1K-5.8M-10.7K0.0041.1302272,010874
2013-08-16$46.41$45.0013.4%3.8%14.1%21.5%13.6%2.8%2.3%263.5K-5.0M-12.6K6.1714.4412742,0101,099
2013-08-19$45.67$45.0014.6%4.2%15.0%25.3%14.6%2.5%0.4%249.0K-3.9M-13.6K6.5041.542131,9221,098
2013-08-20$45.77$45.0012.8%3.7%14.9%19.8%0.0%19.6%1.3%297.1K-3.8M-13.3K1.7557.40471,9221,102
2013-08-21$45.56$45.0013.9%4.0%14.8%23.1%13.9%1.7%0.5%268.3K-3.6M-13.8K0.3314.301551,9261,103
2013-08-22$45.93$45.0013.6%3.9%15.1%22.2%0.0%11.6%1.5%266.3K-4.0M-13.2K0.0012.532001,9201,108
2013-08-23$45.95$45.0012.7%3.6%15.1%19.2%12.6%1.2%3.9%271.3K-4.2M-12.5K0.5018.12631,9331,108
2013-08-26$45.87$45.0013.1%3.7%15.1%20.4%13.0%1.0%0.3%277.1K-4.2M-12.5K0.3390.8339131,9301,108
2013-08-27$45.07$45.0013.1%3.8%16.2%20.6%15.3%0.3%1.7%305.3K-3.0M-13.3K0.0516.26509251,9631,108
2013-08-28$45.01$45.0013.8%4.0%16.2%22.9%0.0%0.1%1.1%332.0K-2.1M-16.5K0.0011.071001,9431,124
2013-08-29$44.60$45.0014.2%4.1%14.0%24.2%14.2%34.0%2.8%314.7K-1.4M-15.9K3.6015.3515541,9481,124
2013-08-30$44.46$45.0014.5%4.2%13.9%25.0%0.0%0.5%1.3%301.6K-1.1M-15.9K0.2012.3050101,9631,154