L Options History — January 2015

In January 2015, L traded between $38.25 and $41.80. ATM implied volatility averaged 18.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.8% (HV 20d: 19.9%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-01-28: Highest Volume — 279 contracts
  • 2015-01-14: Largest IV drop — 22.6% change
  • 2015-01-13: Highest IV Rank — 31.1%
  • 2015-01-02: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.61$38.25$41.80$41.80$38.25
Max Pain$39.75$35.00$45.00$45.00$35.00
ATM IV18.2%15.6%22.4%19.5%15.8%
Expected Move5.4%4.5%8.5%8.5%4.5%
HV 20d19.9%16.2%23.5%20.0%17.9%
HV 60d16.8%16.2%17.7%17.1%16.8%
IV Rank21.9%16.2%31.1%24.8%16.7%
IV Percentile62.9%42.1%79.8%73.0%45.6%
Term Structure-0.7%-19.8%10.6%10.6%-0.3%
VWIV17.9%15.0%20.1%20.1%18.5%
Skew 25d2.6%-48.0%42.2%-48.0%-3.0%
Skew 10d4.5%-56.0%59.0%-56.0%-5.8%
Call IV 25d20.5%15.5%71.2%71.2%18.4%
Put IV 25d23.0%15.2%59.5%23.2%15.4%
Bid-Ask Spread %105.3988.10126.70122.26100.42
Gamma HHI0.520.460.620.490.62
Net GEX-19.4K-40.5K20.3K20.3K-29.7K
Net DEX719.5K-313.1K1.3M-313.1K1.3M
Net VEX-6.6K-8.1K-5.7K-8.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.024.000.310.75
Total Volume123.52279156217
Total OI1,451.81,3361,7341,3471,734

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$41.80$45.0019.5%8.5%20.0%24.8%20.1%-48.0%10.6%20.3K-313.1K-8.1K0.31122.2611937808539
2015-01-05$40.74$45.0019.1%7.7%22.0%23.8%0.0%-1.4%-19.8%-946184.1K-7.4K4.00126.7028798538
2015-01-06$40.02$45.0019.7%5.4%22.9%25.1%0.0%5.8%-0.4%-3.6K448.7K-7.0K0.00106.5002798538
2015-01-07$40.02$45.0019.9%5.0%22.8%25.6%17.6%26.5%-0.1%-7.8K559.8K-6.7K0.36111.86259798540
2015-01-08$40.60$40.0019.5%5.2%23.5%24.8%15.0%4.2%-0.5%-6.8K326.6K-7.1K0.23111.7012428810559
2015-01-09$40.09$40.0016.2%5.3%22.7%17.5%18.2%1.6%-0.5%-642453.2K-7.0K0.26105.3312432830559
2015-01-12$39.74$40.0018.9%5.1%22.9%23.4%16.9%0.3%-0.0%-4.6K634.7K-6.5K0.26102.3412432830559
2015-01-13$39.64$40.0022.4%5.2%21.5%31.1%18.0%-0.1%0.4%-3.7K686.0K-6.3K0.32110.2112640830559
2015-01-14$39.26$40.0017.3%5.0%21.8%20.0%17.3%-0.8%0.1%-27.7K919.6K-5.7K0.44101.6312153838567
2015-01-15$38.82$40.0018.9%5.4%21.9%23.4%19.0%-0.7%0.3%-19.6K944.0K-6.1K0.4499.8612153849586
2015-01-16$39.31$40.0017.4%5.0%21.7%20.3%17.4%42.2%0.2%-24.0K857.3K-6.0K0.76107.442116849575
2015-01-20$39.35$40.0017.7%5.1%18.5%20.8%17.7%-0.0%-0.1%-40.5K960.8K-5.7K0.02101.51481804577
2015-01-21$39.22$40.0019.2%5.5%16.2%24.2%19.3%-2.4%-1.2%-31.0K867.8K-6.3K0.6096.7553852578
2015-01-22$39.81$40.0017.6%5.1%17.1%20.7%17.6%32.8%-0.7%-36.1K760.7K-6.5K0.2988.1013539857591
2015-01-23$39.44$40.0016.7%4.8%16.5%18.7%17.3%-0.1%0.6%-29.5K793.8K-6.4K0.2699.0913635875591
2015-01-26$39.54$35.0016.6%4.8%16.6%18.4%0.0%-0.4%-0.3%-36.5K775.1K-6.1K1.75102.334070897590
2015-01-27$39.43$35.0017.6%5.0%16.5%20.6%0.0%-0.7%-1.2%-37.0K792.7K-7.0K1.67104.931525937650
2015-01-28$38.51$35.0015.6%4.5%17.8%16.2%18.0%-3.2%0.5%-33.3K1.2M-6.6K0.70107.07164115951685
2015-01-29$38.67$35.0017.8%5.1%18.0%21.0%18.1%-1.6%-0.8%-34.5K1.2M-6.8K0.74101.6911887987723
2015-01-30$38.25$35.0015.8%4.5%17.9%16.7%18.5%-3.0%-0.3%-29.7K1.3M-6.5K0.75100.42124931,007727