L Options History — October 2013

In October 2013, L traded between $46.17 and $49.20. ATM implied volatility averaged 14.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.7% (HV 20d: 17.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.52.

Notable Days

  • 2013-10-25: Highest Volume — 683 contracts
  • 2013-10-07: Largest IV spike — 53.7% change
  • 2013-10-25: Highest IV Rank — 34.8%
  • 2013-10-08: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.07$46.17$49.20$47.16$48.31
Max Pain$48.04$45.00$50.00$45.00$50.00
ATM IV14.4%10.9%17.6%12.2%12.7%
Expected Move4.3%3.1%5.6%3.5%3.6%
HV 20d17.1%11.1%19.6%11.3%18.6%
HV 60d14.8%12.5%15.9%12.5%15.5%
IV Rank24.7%13.6%34.8%17.7%19.3%
IV Percentile49.9%15.9%86.5%23.4%28.6%
Term Structure0.1%-2.9%6.8%2.0%-1.0%
VWIV15.2%10.4%19.6%10.9%10.4%
Skew 25d6.1%-2.5%56.2%0.0%-2.5%
Skew 10d7.2%-7.0%71.8%-0.4%-6.8%
Call IV 25d14.5%8.6%19.7%11.9%15.8%
Put IV 25d20.6%11.9%72.0%11.9%13.3%
Bid-Ask Spread %49.5215.5995.5025.7995.50
Gamma HHI0.690.460.910.480.91
Net GEX247.3K134.0K480.8K152.2K381.2K
Net DEX-3.2M-4.4M-2.0M-2.5M-3.3M
Net VEX-14.5K-17.0K-12.1K-12.1K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0015.000.130.15
Total Volume111.47866838614
Total OI2,079.4351,5132,7641,5132,699

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$47.16$45.0012.2%3.5%11.3%17.7%0.0%0.0%2.0%152.2K-2.5M-12.1K0.1325.7976101,148365
2013-10-02$47.05$45.0010.9%3.1%11.1%13.6%10.9%1.9%1.0%164.7K-2.4M-12.4K0.3626.9728101,219375
2013-10-03$46.21$45.0013.8%4.0%13.1%22.8%14.5%0.4%3.8%134.0K-2.0M-13.3K15.0023.181151,215385
2013-10-04$47.06$45.0011.0%4.3%14.3%13.9%18.2%10.4%5.8%160.3K-2.4M-12.8K6.8644.807481,215375
2013-10-07$46.86$45.0016.9%5.6%13.3%32.5%17.2%1.9%-2.9%143.2K-2.4M-13.2K0.2333.9870161,220423
2013-10-08$46.17$45.0015.0%5.6%14.4%26.6%19.6%7.6%-2.8%144.0K-2.2M-13.1K0.3646.141141,280425
2013-10-09$46.49$45.0014.8%5.2%14.3%25.9%0.0%5.7%-0.8%142.3K-2.1M-13.1K0.3940.22108421,287428
2013-10-10$48.13$45.0016.0%4.6%18.8%29.8%16.1%2.7%-0.4%177.5K-3.2M-13.7K0.1729.54311531,328455
2013-10-11$48.33$45.0015.8%4.5%18.7%29.2%15.9%2.1%-1.0%227.5K-3.5M-15.3K0.3035.0456171,535500
2013-10-14$48.56$50.0016.9%4.8%18.0%32.5%16.9%2.3%-1.4%240.3K-3.6M-15.1K2.7781.4322611,556517
2013-10-15$48.06$50.0017.0%4.9%18.4%32.8%17.1%2.2%-1.2%216.9K-3.3M-15.9K1.0430.5825261,570573
2013-10-16$48.55$50.0013.9%4.0%18.7%23.0%0.0%1.6%0.9%230.3K-3.7M-16.0K0.0036.47601,595599
2013-10-17$48.76$50.0013.8%4.0%18.7%22.7%11.1%11.1%6.8%244.1K-3.6M-15.2K0.3536.4571251,558597
2013-10-18$49.07$50.0013.4%3.9%18.7%21.6%13.4%32.3%1.0%270.7K-3.9M-14.7K0.7442.8027201,566617
2013-10-21$48.92$50.0014.3%4.1%18.5%24.3%14.2%-0.5%0.0%262.8K-3.7M-14.7K0.0761.697451,561629
2013-10-22$49.20$50.0014.4%4.1%18.5%24.8%14.4%-0.3%0.6%263.9K-3.8M-14.5K2.0925.7811231,533634
2013-10-23$48.44$50.0015.8%4.5%19.6%29.0%15.9%-2.4%-0.8%232.7K-3.1M-14.4K0.3779.7583311,539638
2013-10-24$48.59$50.0015.3%4.4%19.6%27.6%0.0%-2.1%-1.0%261.3K-3.2M-14.1K1.2590.3712151,580651
2013-10-25$48.81$50.0017.6%5.1%19.3%34.8%17.8%3.5%-2.4%260.1K-3.4M-14.4K0.0475.01658251,582666
2013-10-28$48.70$50.0014.8%4.3%19.2%26.1%15.6%7.1%-1.7%416.7K-4.0M-16.8K0.4515.5980362,002678
2013-10-29$49.14$50.0013.8%4.0%19.2%22.8%15.3%56.2%-2.0%480.8K-4.4M-16.7K0.3674.602282,051713
2013-10-30$48.93$50.0011.6%3.3%19.3%15.8%13.5%-1.2%0.0%480.4K-4.2M-17.0K0.1587.24261402,040705
2013-10-31$48.31$50.0012.7%3.6%18.6%19.3%10.4%-2.5%-1.0%381.2K-3.3M-15.9K0.0095.500141,954745