L Options History — July 2014

In July 2014, L traded between $42.13 and $44.41. ATM implied volatility averaged 15.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.8% (HV 20d: 10.1%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-07-18: Highest Volume — 5,739 contracts
  • 2014-07-08: Largest IV spike — 123.1% change
  • 2014-07-31: Highest IV Rank — 47.0%
  • 2014-07-10: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.80$42.13$44.41$44.40$42.13
Max Pain$39.29$30.00$45.00$45.00$30.00
ATM IV15.9%8.1%29.7%11.0%29.7%
Expected Move4.3%2.3%5.6%3.2%5.0%
HV 20d10.1%7.3%12.1%7.3%12.1%
HV 60d9.8%9.5%10.3%10.0%10.3%
IV Rank16.9%0.0%47.0%5.7%47.0%
IV Percentile55.4%0.0%98.4%11.5%98.4%
Term Structure-0.9%-13.8%6.0%0.0%-13.8%
VWIV15.8%12.0%19.2%12.0%19.0%
Skew 25d13.1%-5.5%38.6%-1.1%-5.5%
Skew 10d17.7%-6.3%51.5%-2.5%4.0%
Call IV 25d15.9%9.6%26.8%13.5%26.8%
Put IV 25d29.0%12.4%54.8%12.4%21.4%
Bid-Ask Spread %76.7118.57119.8618.57115.33
Gamma HHI0.940.880.980.920.94
Net GEX977.5K491.4K1.8M647.4K950.7K
Net DEX-5.0M-11.5M-2.4M-4.1M-2.4M
Net VEX-29.9K-51.6K-19.4K-22.6K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.006.820.130.40
Total Volume382.95505,73911298
Total OI5,183.3183,2648,0063,2647,812

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$44.40$45.0011.0%3.2%7.3%5.7%12.0%-1.1%0.0%647.4K-4.1M-22.6K0.1318.5799132,714550
2014-07-02$43.73$45.009.6%2.7%8.8%2.5%0.0%4.0%3.7%598.8K-3.3M-21.6K0.0065.33402,795561
2014-07-03$44.03$45.008.1%2.3%9.1%0.0%0.0%7.8%6.0%631.3K-3.6M-22.5K0.0056.75002,795561
2014-07-07$44.09$45.0010.3%3.9%9.1%4.7%14.0%26.2%-1.0%639.9K-3.5M-21.4K0.0087.951702,795561
2014-07-08$44.05$45.0022.9%5.0%9.1%32.2%0.0%26.9%0.3%562.7K-3.2M-19.4K0.0061.52002,802561
2014-07-09$44.05$45.0022.6%5.0%9.0%31.4%16.1%27.1%-0.4%553.7K-3.5M-20.2K0.0065.353002,802561
2014-07-10$43.72$45.0019.4%5.6%9.0%24.6%19.2%24.8%-3.1%491.4K-3.5M-21.5K0.0065.522202,831561
2014-07-11$43.61$45.0015.3%4.4%9.1%15.7%0.0%26.0%-2.2%514.7K-3.2M-21.1K0.0060.00002,853561
2014-07-14$43.89$45.0015.4%4.4%9.3%15.9%0.0%30.7%0.7%567.4K-3.5M-20.2K0.0074.711102,853561
2014-07-15$44.16$45.0015.3%4.4%9.1%15.5%0.0%29.2%-2.2%672.3K-3.8M-20.5K5.7132.547402,853561
2014-07-16$44.25$45.0014.3%4.1%9.1%13.4%14.3%30.3%-0.9%689.0K-3.8M-20.3K6.8229.1811752,856566
2014-07-17$43.76$45.0013.5%3.9%9.8%11.7%0.0%-2.9%-2.2%614.9K-3.0M-19.9K0.3137.7665202,850625
2014-07-18$44.41$45.0015.8%4.5%11.0%16.8%15.9%31.7%-0.3%681.2K-4.2M-22.2K0.0079.365,73632,850644
2014-07-21$44.30$0.0015.2%4.2%11.1%15.5%0.0%38.6%-0.4%1.8M-11.5M-51.6K0.00119.8657106,896645
2014-07-22$43.90$30.0014.8%4.1%11.5%14.6%0.0%-1.0%-0.6%1.7M-10.0M-49.1K0.2483.55210517,001645
2014-07-23$44.00$30.0015.7%5.0%11.5%16.4%0.0%-2.2%-1.2%1.8M-10.3M-49.3K2.13117.96942007,071696
2014-07-24$43.85$30.0013.3%4.6%11.6%11.2%0.0%-1.6%-1.5%1.8M-8.1M-46.9K0.0097.1742107,111895
2014-07-25$43.62$30.0014.3%4.2%11.6%13.4%0.0%4.8%5.0%1.5M-6.3M-42.3K0.0295.9811626,971895
2014-07-28$43.47$30.0016.2%3.9%11.6%17.5%0.0%0.3%-2.2%1.5M-6.2M-41.9K0.1299.46280346,946893
2014-07-29$43.27$30.0022.5%5.5%11.5%31.2%0.0%-3.7%-2.4%1.4M-5.4M-38.5K0.00114.857706,858912
2014-07-30$43.01$30.0015.3%4.0%11.0%15.7%0.0%-2.5%-0.1%1.3M-4.5M-35.9K0.03108.9111536,791912
2014-07-31$42.13$30.0029.7%5.0%12.1%47.0%19.0%-5.5%-13.8%950.7K-2.4M-29.7K0.40115.3370286,897915