L Options History — March 2014

In March 2014, L traded between $43.03 and $45.05. ATM implied volatility averaged 16.9%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.9% (HV 20d: 15.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2014-03-21: Highest Volume — 295 contracts
  • 2014-03-28: Largest IV spike — 63.6% change
  • 2014-03-26: Highest IV Rank — 63.9%
  • 2014-03-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.96$43.03$45.05$43.15$44.05
Max Pain$44.52$40.00$45.00$45.00$45.00
ATM IV16.9%12.7%26.9%17.2%26.2%
Expected Move4.8%3.6%7.7%4.9%7.5%
HV 20d15.0%11.7%22.5%22.5%14.5%
HV 60d18.8%18.4%19.1%18.8%18.6%
IV Rank32.4%19.4%63.9%33.4%61.3%
IV Percentile72.7%25.8%99.2%85.7%98.8%
Term Structure1.7%-1.9%9.4%-1.9%-1.5%
VWIV15.2%9.6%18.7%17.1%18.7%
Skew 25d16.5%-1.3%46.6%7.8%46.6%
Skew 10d20.4%-2.4%57.9%9.4%57.6%
Call IV 25d15.9%8.5%23.5%17.6%23.5%
Put IV 25d32.4%14.1%70.1%25.4%70.1%
Bid-Ask Spread %100.9994.32120.6594.32107.61
Gamma HHI0.530.410.600.410.57
Net GEX140.7K46.4K213.9K46.4K149.1K
Net DEX-436.8K-1.8M978.8K978.8K-1.2M
Net VEX-15.1K-16.6K-12.0K-12.0K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.0023.250.110.06
Total Volume79.667029510117
Total OI2,978.2382,2633,4732,8642,304

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$43.15$45.0017.2%4.9%22.5%33.4%17.1%7.8%-1.9%46.4K978.8K-12.0K0.1194.3291101,8391,025
2014-03-04$43.89$45.0014.8%4.2%21.4%26.0%14.6%37.1%-0.6%82.8K360.7K-12.3K1.2095.3325301,8441,035
2014-03-05$44.04$45.0015.6%4.5%19.4%28.3%15.6%39.8%-0.7%98.4K159.3K-12.8K0.18100.94228421,8631,058
2014-03-06$44.40$45.0015.6%4.5%19.6%28.3%15.3%43.1%0.0%159.5K-752.1K-15.5K0.0097.356002,0651,076
2014-03-07$45.05$40.0015.4%4.3%20.2%27.8%15.0%1.1%1.3%180.3K-1.8M-15.9K0.0097.2215102,0521,076
2014-03-10$44.64$40.0015.5%4.3%20.2%28.1%14.6%0.0%1.1%198.1K-1.3M-16.2K1.4995.5039582,1711,076
2014-03-11$44.39$45.0016.1%4.5%12.5%30.0%0.0%-0.6%1.0%184.8K-865.8K-16.6K1.0097.65222,2031,131
2014-03-12$44.70$45.0014.4%4.3%11.9%24.7%15.1%0.2%1.1%213.9K-1.3M-16.5K3.2799.9722722,2011,130
2014-03-13$44.38$45.0015.3%4.4%12.2%27.5%0.0%-0.7%0.9%186.8K-497.4K-16.0K0.0097.58032,1931,181
2014-03-14$43.97$45.0014.6%4.2%12.7%25.4%14.8%-0.9%1.9%133.5K-358.1K-15.8K0.1698.182542,1931,181
2014-03-17$43.97$45.0015.6%4.5%12.7%28.3%0.0%-1.3%0.9%141.4K428.9K-14.4K23.2598.174932,2031,184
2014-03-18$43.93$45.0015.6%4.5%12.6%28.5%15.8%33.4%0.8%131.1K318.0K-15.1K0.77102.1013102,2011,234
2014-03-19$43.68$45.0015.4%4.4%11.8%27.8%15.9%42.2%0.6%111.5K757.7K-14.1K0.3395.512792,2131,238
2014-03-20$43.91$45.0017.3%4.9%11.7%33.7%17.5%34.0%-0.9%138.5K428.6K-14.1K2.8295.96611722,2141,229
2014-03-21$44.23$45.0015.7%4.5%11.8%28.9%15.8%34.0%0.0%187.6K171.2K-14.1K0.0698.91278172,2531,220
2014-03-24$43.59$45.0016.4%4.7%13.0%31.0%13.3%4.0%4.6%141.6K-1.2M-16.0K0.34105.9756191,552711
2014-03-25$43.59$45.0016.9%4.9%13.0%32.6%0.0%5.0%4.8%136.9K-1.1M-16.1K2.50104.546151,558726
2014-03-26$43.17$45.0026.9%7.7%13.4%63.9%14.8%3.5%4.2%116.9K-860.6K-15.9K0.00120.65801,563741
2014-03-27$43.03$45.0012.7%3.6%13.5%19.4%9.6%6.1%8.6%98.3K-589.6K-15.5K0.00109.14401,561741
2014-03-28$43.42$45.0020.8%6.0%13.9%44.9%0.0%11.2%9.4%117.5K-937.9K-16.1K0.00108.09001,563741
2014-03-31$44.05$45.0026.2%7.5%14.5%61.3%18.7%46.6%-1.5%149.1K-1.2M-15.4K0.06107.611611,563741