L Options History — August 2014

In August 2014, L traded between $41.73 and $43.74. ATM implied volatility averaged 23.4%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 12.1% (HV 20d: 11.3%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-08-15: Highest Volume — 2,522 contracts
  • 2014-08-11: Largest IV spike — 92.0% change
  • 2014-08-11: Highest IV Rank — 94.1%
  • 2014-08-05: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.62$41.73$43.74$42.25$43.74
Max Pain$40.48$30.00$45.00$30.00$45.00
ATM IV23.4%11.5%51.4%34.5%18.9%
Expected Move4.4%3.6%5.7%5.4%3.9%
HV 20d11.3%8.8%12.6%11.8%8.9%
HV 60d9.8%9.5%10.3%9.7%10.1%
IV Rank33.3%7.3%94.1%57.5%23.5%
IV Percentile67.3%13.9%99.6%99.2%83.7%
Term Structure0.1%-15.9%18.7%-15.9%-3.5%
VWIV14.5%8.1%18.6%14.3%12.6%
Skew 25d6.2%0.4%27.5%1.3%10.8%
Skew 10d9.1%-2.9%44.7%14.2%-2.9%
Call IV 25d15.1%9.2%26.6%26.6%14.2%
Put IV 25d21.3%16.7%49.1%27.9%25.0%
Bid-Ask Spread %102.3289.91124.15124.15101.41
Gamma HHI0.900.680.970.920.97
Net GEX1.2M266.9K2.2M901.0K2.2M
Net DEX-2.3M-4.7M439.1K-2.6M-3.9M
Net VEX-25.6K-30.2K-13.9K-30.2K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.003.860.050.02
Total Volume248.33392,52277172
Total OI8,023.3335,8128,4357,8808,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$42.25$30.0034.5%5.4%11.8%57.5%0.0%1.3%-15.9%901.0K-2.6M-30.2K0.05124.157346,942938
2014-08-04$42.29$30.0043.8%4.3%11.7%77.7%14.3%4.0%2.1%981.0K-2.1M-28.5K0.06111.4312276,979940
2014-08-05$42.11$30.0035.4%5.7%11.8%59.3%18.6%1.8%-8.0%908.3K-2.1M-27.6K0.08109.016056,982944
2014-08-06$42.14$40.0035.7%3.7%11.8%60.0%14.2%0.9%-5.9%957.6K-2.1M-26.5K0.63109.0916106,985949
2014-08-07$41.73$40.0016.8%4.7%11.9%18.8%15.5%5.5%-1.2%839.8K-1.8M-27.0K3.86104.26351356,989949
2014-08-08$42.10$40.0026.8%5.1%12.6%40.5%17.8%3.3%2.3%929.0K-2.0M-28.2K0.0089.915507,0101,014
2014-08-11$42.15$40.0051.4%5.1%12.3%94.1%0.0%0.4%-6.4%827.9K-1.4M-23.6K0.97107.7938376,9861,014
2014-08-12$41.93$40.0029.9%4.9%11.9%47.3%16.7%1.1%8.1%789.2K-1.4M-24.3K0.6497.291561007,0161,051
2014-08-13$42.13$40.0041.8%4.7%12.1%73.2%14.3%4.5%2.4%977.2K-1.9M-25.5K0.1597.4267107,1001,151
2014-08-14$42.31$40.0020.0%4.0%11.9%25.8%8.1%2.9%-1.2%909.4K-1.5M-24.3K0.00109.053107,1171,137
2014-08-15$42.22$40.0015.4%4.7%10.2%15.9%15.7%2.7%6.1%892.4K-1.4M-24.5K0.07104.372,3591637,1481,137
2014-08-18$42.19$40.0013.3%4.4%10.2%11.3%14.3%2.6%18.7%266.9K439.1K-13.9K0.04109.669344,7621,050
2014-08-19$42.31$40.0015.5%4.6%10.0%16.1%14.1%2.7%3.5%675.3K-571.4K-19.1K0.1397.35150197,0111,054
2014-08-20$42.72$45.0013.8%3.9%10.7%12.2%13.6%4.6%-7.1%980.4K-1.4M-21.8K1.7690.791282257,0901,068
2014-08-21$43.18$45.0011.6%3.9%11.5%7.5%13.5%7.3%3.5%1.4M-2.7M-26.7K0.2699.13325837,0671,089
2014-08-22$43.06$45.0013.1%3.7%11.4%10.9%16.2%13.0%5.5%1.4M-3.3M-28.0K0.50101.28637,3361,095
2014-08-25$43.56$45.0013.0%3.7%12.2%10.7%13.8%8.8%-5.2%1.7M-3.9M-27.2K0.5497.1546257,3371,098
2014-08-26$43.67$45.0011.5%3.7%12.1%7.3%12.9%27.5%-5.3%1.9M-4.2M-27.7K0.7691.1517137,3241,109
2014-08-27$43.59$45.0013.7%3.6%11.9%12.1%12.6%10.3%1.0%2.0M-4.1M-28.2K0.0193.0038047,2981,116
2014-08-28$43.55$45.0016.3%3.9%8.8%17.9%0.0%14.0%8.4%1.8M-4.7M-29.3K0.00103.983906,9341,114
2014-08-29$43.74$45.0018.9%3.9%8.9%23.5%0.0%10.8%-3.5%2.2M-3.9M-24.8K0.02101.4116936,9461,114