L Options History — December 2014

In December 2014, L traded between $39.13 and $42.57. ATM implied volatility averaged 21.5%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.7% (HV 20d: 14.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2014-12-15: Highest Volume — 239 contracts
  • 2014-12-03: Largest IV spike — 131.5% change
  • 2014-12-03: Highest IV Rank — 64.0%
  • 2014-12-22: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.16$39.13$42.57$41.23$42.02
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV21.5%14.7%37.5%14.7%28.4%
Expected Move5.1%4.0%6.9%4.6%5.5%
HV 20d14.8%8.7%21.2%11.3%19.9%
HV 60d16.0%14.7%17.3%14.9%17.3%
IV Rank29.2%14.3%64.0%14.3%44.2%
IV Percentile72.3%37.7%98.0%37.7%91.7%
Term Structure-2.9%-41.5%7.8%5.2%-10.4%
VWIV17.0%13.2%23.0%15.7%19.3%
Skew 25d5.4%-10.2%33.8%4.0%-3.5%
Skew 10d12.9%-7.8%38.9%13.4%9.8%
Call IV 25d18.9%12.3%41.5%14.1%26.0%
Put IV 25d24.3%15.6%50.7%18.1%22.6%
Bid-Ask Spread %110.7995.61127.7797.00125.49
Gamma HHI0.550.490.670.530.51
Net GEX-28.2K-93.0K35.7K-36.1K29.4K
Net DEX709.2K-619.6K1.7M1.3M-433.2K
Net VEX-8.1K-9.4K-7.0K-8.1K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.232.500.230.28
Total Volume135.59102391440
Total OI1,913.6821,2842,2352,1581,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$41.23$45.0014.7%4.6%11.3%14.3%15.7%4.0%5.2%-36.1K1.3M-8.1K0.2397.00117271,263895
2014-12-02$41.20$45.0016.2%5.4%10.8%17.6%18.5%5.2%1.5%-24.7K1.2M-8.4K0.39115.40115451,266894
2014-12-03$41.21$45.0037.5%5.0%10.8%64.0%16.9%-8.3%-41.5%-15.2K1.1M-8.3K0.47115.6497461,274893
2014-12-04$41.00$45.0026.3%4.5%8.8%39.6%0.0%-10.2%-22.7%-58.5K1.2M-8.5K0.00110.98001,282893
2014-12-05$40.99$45.0016.5%4.7%8.7%18.2%15.1%2.8%0.8%-43.2K1.3M-7.6K0.4398.6697421,282893
2014-12-08$41.17$45.0017.5%4.6%9.0%20.5%15.1%8.0%-0.2%-44.3K1.3M-7.4K0.4495.6195421,288890
2014-12-09$41.08$45.0019.3%4.5%9.0%24.4%14.7%8.5%0.0%-47.6K881.1K-7.8K0.6596.43111721,291815
2014-12-10$40.24$45.0017.0%4.8%10.9%19.4%17.8%1.6%0.9%-93.0K1.3M-7.9K0.70109.18119831,309848
2014-12-11$40.32$45.0015.7%4.8%11.0%16.5%19.0%1.3%1.1%-92.6K1.1M-8.7K0.61109.64119731,328851
2014-12-12$39.44$45.0018.1%5.0%12.8%21.8%19.4%-2.1%-0.0%-44.5K1.6M-8.0K0.46110.91119551,328861
2014-12-15$39.52$45.0017.7%5.2%13.0%20.8%18.5%0.2%0.4%-88.2K1.7M-7.0K0.58102.15151881,328861
2014-12-16$39.13$45.0022.0%5.7%13.2%30.2%23.0%-3.4%-1.5%-58.2K1.7M-7.0K0.48105.96114551,374861
2014-12-17$39.71$45.0016.9%4.7%14.7%19.1%16.9%-0.1%-0.5%-84.4K1.6M-7.1K0.23109.09138321,374861
2014-12-18$40.92$45.0018.9%5.2%18.9%23.3%16.9%14.4%-1.1%-40.1K1.1M-8.3K0.34103.84137461,363859
2014-12-19$41.81$45.0015.5%5.0%20.7%16.0%17.3%7.8%6.5%-5.0K562.2K-8.6K2.50103.636151,364863
2014-12-22$42.14$0.0019.6%6.9%20.8%25.1%13.2%7.6%7.8%33.8K-13.5K-7.5K0.38121.1010038741543
2014-12-23$42.57$45.0026.0%4.0%21.2%38.8%14.9%12.0%1.9%11.5K-507.7K-7.4K0.39115.039738788542
2014-12-24$42.37$45.0021.2%6.3%20.9%28.5%15.4%1.4%0.9%-12.7K-598.7K-8.2K0.34126.1311338801542
2014-12-26$42.42$45.0035.7%5.9%20.9%59.9%15.8%29.8%-5.0%35.7K-500.3K-9.4K0.34117.3111338818542
2014-12-29$42.50$45.0023.2%4.8%19.7%32.9%19.3%8.4%-3.6%34.6K-555.7K-9.0K0.28120.4211933818542
2014-12-30$42.55$45.0029.7%5.9%19.3%46.9%0.0%33.8%-3.4%23.2K-619.6K-8.8K0.00127.7700808528
2014-12-31$42.02$45.0028.4%5.5%19.9%44.2%0.0%-3.5%-10.4%29.4K-433.2K-8.6K0.00125.4900808528