L Options History — October 2014

In October 2014, L traded between $40.23 and $43.55. ATM implied volatility averaged 22.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.1% (HV 20d: 17.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-10-30: Highest Volume — 283 contracts
  • 2014-10-07: Largest IV spike — 76.9% change
  • 2014-10-15: Highest IV Rank — 84.0%
  • 2014-10-21: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.75$40.23$43.55$41.33$43.55
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.2%11.1%46.7%14.3%13.4%
Expected Move4.5%3.1%6.3%4.2%4.4%
HV 20d17.1%11.4%20.5%11.4%19.4%
HV 60d13.0%11.0%14.5%11.0%14.1%
IV Rank30.7%6.5%84.0%13.5%11.4%
IV Percentile74.6%11.1%99.2%40.9%27.8%
Term Structure-1.0%-14.7%13.9%-1.8%-0.2%
VWIV14.1%8.4%18.6%15.1%14.4%
Skew 25d7.7%-5.7%37.2%-5.7%37.2%
Skew 10d12.1%1.2%54.3%1.2%54.3%
Call IV 25d15.0%9.7%22.8%17.5%22.8%
Put IV 25d22.7%11.8%60.0%11.8%60.0%
Bid-Ask Spread %102.3590.15117.16100.69101.30
Gamma HHI0.530.430.810.500.51
Net GEX-14.2K-81.1K68.4K-22.1K37.8K
Net DEX886.5K-275.8K1.8M906.5K-275.8K
Net VEX-9.9K-12.0K-6.3K-10.6K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.008.001.250.33
Total Volume100.13028345232
Total OI1,866.8261,7812,0171,7812,017

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$41.33$45.0014.3%4.2%11.4%13.5%15.1%-5.7%-1.8%-22.1K906.5K-10.6K1.25100.692025932849
2014-10-02$41.45$45.0016.4%4.4%11.6%18.0%14.9%3.5%-2.9%-23.6K1.1M-10.3K4.0098.2814939847
2014-10-03$41.81$45.0016.0%4.4%12.1%17.0%15.2%-2.5%-6.2%-17.0K890.2K-10.5K8.0096.6318940851
2014-10-06$41.89$45.0015.2%4.5%12.0%15.4%15.7%6.0%-3.2%-20.1K939.2K-10.0K0.3195.363210941855
2014-10-07$41.24$45.0026.9%4.2%12.9%40.9%10.2%4.1%3.2%-12.0K740.6K-10.8K0.00103.29100951865
2014-10-08$41.76$45.0029.4%4.6%13.9%46.3%16.5%3.3%3.8%-14.8K827.5K-11.1K0.1990.1511722961865
2014-10-09$40.90$45.0024.3%4.4%15.5%35.3%12.5%2.6%-0.1%-35.4K1.2M-9.3K0.1796.45305961867
2014-10-10$40.55$45.0022.4%3.9%15.6%31.2%12.0%3.9%-0.5%-28.8K1.4M-9.0K0.00100.0308991870
2014-10-13$40.36$45.0023.6%6.3%15.6%33.7%16.4%2.4%7.9%-1.6K1.0M-11.8K0.45105.222210991873
2014-10-14$41.20$45.0027.1%3.9%17.6%41.2%14.0%11.4%-6.5%-81.1K1.7M-6.3K0.28106.2192261,010870
2014-10-15$40.23$45.0046.7%4.4%19.3%84.0%13.3%4.4%-14.7%-65.8K1.8M-7.3K0.58101.03103601,010870
2014-10-16$40.60$45.0033.3%5.7%18.8%54.8%18.6%6.3%-11.7%-54.4K1.8M-7.3K0.00101.10500937883
2014-10-17$41.15$45.0019.4%4.9%19.7%24.4%0.0%11.9%-2.0%-34.4K1.2M-9.4K0.0097.1700987883
2014-10-20$41.49$45.0028.2%3.7%19.9%43.7%10.4%19.1%-4.3%-48.3K1.3M-8.4K0.00114.82130951883
2014-10-21$42.20$45.0016.3%6.3%20.5%17.8%15.1%10.9%13.9%-24.1K1.1M-8.8K0.60100.0810563963883
2014-10-22$41.94$45.0022.2%5.0%20.4%30.6%13.2%11.1%-0.2%4.2K748.9K-10.2K0.71100.378963991891
2014-10-23$42.20$45.0023.2%5.3%19.9%32.8%15.1%9.3%-3.3%8.3K711.4K-10.4K0.71103.448963991891
2014-10-24$42.51$45.0022.9%4.8%19.7%32.2%17.2%10.0%1.6%-16.8K588.4K-10.0K0.27106.1713135991891
2014-10-27$42.60$45.0016.3%3.3%19.5%17.8%0.0%4.5%-2.2%2.9K404.0K-10.6K0.00111.4305989896
2014-10-28$43.05$45.0023.5%3.1%19.6%33.4%8.4%6.1%-1.6%1.2K49.6K-10.6K0.02117.161904989892
2014-10-29$43.09$45.0019.2%3.9%19.2%24.1%14.2%15.6%4.3%50.2K226.9K-11.9K0.14105.27248341,120892
2014-10-30$43.07$45.0011.1%3.9%19.2%6.5%14.4%2.0%2.5%68.4K-110.5K-12.0K0.14102.36249341,125892
2014-10-31$43.55$45.0013.4%4.4%19.4%11.4%14.4%37.2%-0.2%37.8K-275.8K-10.4K0.33101.30174581,125892