L Options History — June 2014

In June 2014, L traded between $43.23 and $44.01. ATM implied volatility averaged 14.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 7.4% (HV 20d: 7.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2014-06-04: Highest Volume — 2,240 contracts
  • 2014-06-11: Largest IV spike — 147.5% change
  • 2014-06-11: Highest IV Rank — 46.2%
  • 2014-06-16: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.69$43.23$44.01$43.30$44.01
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV14.8%8.4%29.7%15.9%11.1%
Expected Move4.0%2.4%6.7%4.6%3.2%
HV 20d7.4%6.0%10.7%10.7%6.8%
HV 60d10.9%9.9%11.8%11.8%9.9%
IV Rank13.3%0.0%46.2%15.7%5.9%
IV Percentile41.1%0.0%98.8%67.9%12.3%
Term Structure2.3%-2.0%7.0%2.4%0.5%
VWIV10.9%6.7%13.8%13.8%12.8%
Skew 25d12.7%1.2%31.0%6.5%2.2%
Skew 10d13.9%-18.8%46.4%1.8%0.0%
Call IV 25d13.8%7.8%24.0%10.7%13.0%
Put IV 25d26.6%12.3%53.0%17.2%15.1%
Bid-Ask Spread %100.0620.83122.61101.5549.45
Gamma HHI0.810.510.940.510.93
Net GEX521.7K199.1K652.2K236.9K592.4K
Net DEX-2.9M-3.7M-828.5K-1.8M-3.4M
Net VEX-24.0K-40.5K-19.7K-40.5K-22.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0018.6518.650.00
Total Volume154.28602,2401017
Total OI4,608.1433,0807,1707,1703,219

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$43.30$45.0015.9%4.6%10.7%15.7%0.0%6.5%2.4%236.9K-1.8M-40.5K0.00101.550103,8833,287
2014-06-03$43.49$45.0011.9%3.4%10.5%6.8%13.8%4.7%1.9%199.1K-828.5K-36.5K0.00106.11063,5653,290
2014-06-04$43.87$45.0011.9%3.4%9.8%6.8%9.7%10.4%7.0%396.1K-2.9M-23.0K18.6598.931142,1263,5653,292
2014-06-05$43.99$45.0012.5%3.6%8.0%8.2%0.0%8.2%3.5%639.1K-3.4M-24.1K0.56117.5218103,6271,182
2014-06-06$43.98$45.0010.2%3.1%7.8%3.0%0.0%1.2%3.4%652.2K-3.3M-24.5K2.40104.6710243,6371,182
2014-06-09$44.01$45.0016.7%3.3%6.9%17.5%0.0%29.8%2.0%629.8K-3.6M-25.2K0.00101.11023,6271,189
2014-06-10$43.86$45.0012.0%5.2%7.1%7.1%0.0%27.8%-0.0%619.7K-2.9M-22.7K0.00110.301003,6271,187
2014-06-11$43.54$45.0029.7%3.5%7.6%46.2%11.6%24.2%-0.0%497.0K-2.8M-24.7K0.00108.71043,6361,187
2014-06-12$43.59$45.0022.8%6.5%6.5%30.9%0.0%27.8%3.1%464.5K-2.6M-21.6K0.00113.030163,6361,183
2014-06-13$43.52$45.0021.7%6.2%6.0%28.6%0.0%27.7%-2.0%592.0K-2.9M-24.3K1.00116.222532533,6361,183
2014-06-16$43.23$45.0023.2%6.7%6.6%31.8%0.0%6.8%2.8%451.7K-2.1M-22.2K0.00113.033003,6361,183
2014-06-17$43.32$45.0011.0%3.2%6.6%4.9%0.0%5.0%5.3%469.7K-2.2M-21.5K1.00104.2610103,6661,183
2014-06-18$43.62$45.009.9%2.8%6.8%2.4%0.0%3.8%5.8%586.6K-2.8M-19.7K0.15109.692743,6661,122
2014-06-19$43.78$45.0012.3%3.5%6.7%7.8%0.0%28.0%0.3%636.3K-3.1M-20.8K0.00116.77403,399938
2014-06-20$43.80$45.009.3%2.7%6.5%1.0%10.2%2.1%3.1%645.4K-3.3M-21.6K4.0069.519363,399938
2014-06-23$43.63$45.0010.3%3.0%6.6%3.4%11.5%1.4%2.7%466.5K-2.9M-21.2K0.00101.577802,588492
2014-06-24$43.73$45.0014.0%4.0%6.6%11.5%0.0%1.5%1.4%493.6K-3.1M-21.4K0.20110.0950102,648492
2014-06-25$43.85$45.0019.2%5.5%6.6%23.1%6.7%11.2%0.5%590.4K-3.7M-22.2K1.87122.6123432,661502
2014-06-26$43.65$45.008.4%2.4%6.8%0.0%0.0%6.0%6.5%603.1K-3.4M-21.8K0.00105.38002,674545
2014-06-27$43.80$45.0015.7%4.5%6.8%16.0%0.0%31.0%-1.1%494.7K-3.2M-21.7K0.2720.832672,674545
2014-06-30$44.01$45.0011.1%3.2%6.8%5.9%12.8%2.2%0.5%592.4K-3.4M-22.0K0.0049.451702,674545