L Options History — May 2014

In May 2014, L traded between $42.48 and $44.10. ATM implied volatility averaged 16.5%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.6% (HV 20d: 11.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.81.

Notable Days

  • 2014-05-30: Highest Volume — 2,587 contracts
  • 2014-05-14: Largest IV spike — 213.0% change
  • 2014-05-14: Highest IV Rank — 100.0%
  • 2014-05-22: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.20$42.48$44.10$44.09$43.13
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV16.5%8.8%54.1%12.8%10.1%
Expected Move3.5%2.5%5.2%3.7%2.9%
HV 20d11.9%10.6%13.2%11.9%10.6%
HV 60d12.9%11.9%15.2%15.0%11.9%
IV Rank21.1%0.0%100.0%12.0%3.0%
IV Percentile40.8%0.0%100.0%23.0%4.8%
Term Structure2.3%-4.8%8.0%3.0%3.0%
VWIV12.9%7.5%20.7%11.1%16.7%
Skew 25d3.9%-2.7%21.4%8.5%1.2%
Skew 10d4.0%-19.9%31.4%-16.1%3.1%
Call IV 25d11.9%9.1%19.3%10.7%11.9%
Put IV 25d15.8%11.2%40.8%19.2%13.1%
Bid-Ask Spread %95.4075.98108.10108.10105.05
Gamma HHI0.580.440.740.600.51
Net GEX54.8K-317.7K264.2K225.6K210.7K
Net DEX-256.4K-1.7M2.2M-1.6M-1.1M
Net VEX-23.4K-42.0K-12.6K-15.8K-41.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.0040.020.300.00
Total Volume368.8102,587482,587
Total OI4,534.7623,1487,1023,1487,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$44.09$45.0012.8%3.7%11.9%12.0%0.0%8.5%3.0%225.6K-1.6M-15.8K0.30108.1037112,0621,086
2014-05-02$44.10$45.0012.7%3.6%11.7%11.5%0.0%5.1%0.9%264.2K-1.7M-15.5K0.00103.53102,0861,086
2014-05-05$43.75$45.0029.0%3.2%11.9%67.7%0.0%0.5%-0.0%213.8K-1.5M-15.1K0.2089.763062,0861,086
2014-05-06$43.16$45.0018.2%3.3%12.1%30.6%11.1%-0.7%1.4%195.4K-982.3K-13.5K0.1796.091832,0801,092
2014-05-07$43.85$45.0010.8%3.2%13.1%4.9%0.0%-0.1%2.2%233.8K-1.4M-14.4K0.0094.33602,0931,095
2014-05-08$43.66$45.0033.5%3.5%13.2%83.2%0.0%-2.7%-0.6%192.1K-1.3M-14.4K0.00104.67002,0991,095
2014-05-09$43.25$45.0014.1%3.2%12.7%16.5%0.0%4.5%1.5%187.9K-966.7K-13.2K4.0087.21282,0991,095
2014-05-12$43.31$45.0018.4%4.8%12.1%31.4%12.6%2.2%1.5%178.5K-902.4K-13.9K0.1199.654452,1011,103
2014-05-13$43.28$45.0017.3%5.1%11.8%27.4%0.0%21.4%-1.1%199.7K-859.9K-12.6K0.1493.02712,1421,108
2014-05-14$42.83$45.0054.1%4.0%12.3%100.0%10.7%2.0%4.5%94.7K-206.6K-13.2K0.76100.7521162,1491,107
2014-05-15$42.56$45.0012.7%3.6%12.1%7.5%19.3%6.3%0.8%50.2K-181.9K-14.5K40.0286.46572,2812,0861,100
2014-05-16$42.55$45.0011.1%3.2%12.1%3.9%0.0%7.6%3.4%-289.6K2.2M-30.2K0.0088.791502,1003,247
2014-05-19$42.58$45.008.9%2.6%12.1%0.0%9.5%6.9%5.4%-281.8K2.0M-28.9K4.8275.9817822,0143,218
2014-05-20$42.48$45.0017.0%4.9%12.1%17.8%12.5%7.3%-4.8%-317.7K2.0M-26.8K4.9489.9817842,0143,234
2014-05-21$42.70$45.009.1%2.6%12.3%0.3%7.5%-2.4%5.4%-301.5K2.1M-28.1K0.0382.723012,0233,278
2014-05-22$42.94$45.0018.0%5.2%11.3%20.0%20.7%2.8%-1.1%-228.9K1.5M-28.6K0.05102.432112,0503,278
2014-05-23$43.16$45.0010.3%3.0%11.4%3.0%8.3%2.6%8.0%-184.7K1.3M-26.9K0.0092.722,23702,0453,279
2014-05-27$43.28$45.009.9%2.8%11.1%2.1%0.0%1.8%4.5%142.4K-1.2M-42.0K0.60106.1925153,7673,279
2014-05-28$43.26$45.009.5%2.7%10.6%1.3%0.0%1.8%5.3%169.2K-1.5M-41.2K0.00101.214403,7813,289
2014-05-29$43.27$45.008.8%2.5%10.6%0.0%16.7%4.2%5.9%196.2K-1.1M-41.8K0.0094.791503,8073,289
2014-05-30$43.13$45.0010.1%2.9%10.6%3.0%0.0%1.2%3.0%210.7K-1.1M-41.4K0.00105.052,577103,8153,287