L Options History — March 2015

In March 2015, L traded between $39.45 and $41.05. ATM implied volatility averaged 15.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.5% (HV 20d: 17.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2015-03-04: Highest Volume — 446 contracts
  • 2015-03-04: Largest IV spike — 17.2% change
  • 2015-03-10: Highest IV Rank — 20.8%
  • 2015-03-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.53$39.45$41.05$40.56$40.84
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.8%13.8%17.7%16.1%15.4%
Expected Move4.5%4.0%4.8%4.6%4.4%
HV 20d17.3%14.0%18.8%18.2%17.8%
HV 60d19.0%18.2%19.9%19.1%18.5%
IV Rank16.6%12.3%20.8%17.3%15.8%
IV Percentile41.7%21.8%59.5%46.8%35.7%
Term Structure1.0%0.1%4.7%0.6%1.5%
VWIV15.9%14.6%16.7%16.4%15.4%
Skew 25d5.5%-1.6%21.0%1.5%1.5%
Skew 10d16.1%-0.2%48.0%4.1%48.0%
Call IV 25d15.2%13.2%17.7%16.0%17.7%
Put IV 25d20.7%15.1%36.0%17.5%19.2%
Bid-Ask Spread %92.2183.04110.3184.81110.31
Gamma HHI0.580.500.710.620.50
Net GEX-10.3K-80.6K75.5K-70.4K75.5K
Net DEX-417.1K-1.5M991.0K24.5K-661.3K
Net VEX-7.7K-9.1K-6.7K-9.1K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.005.100.841.57
Total Volume126.3180446351167
Total OI1,801.4091,1112,2042,0781,211

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$40.56$40.0016.1%4.6%18.2%17.3%16.4%1.5%0.6%-70.4K24.5K-9.1K0.8484.811911601,229849
2015-03-03$41.00$40.0013.8%4.0%16.8%12.3%16.7%2.2%4.7%-80.5K-273.2K-8.7K0.9194.711781621,223844
2015-03-04$40.66$40.0016.2%4.6%14.2%17.5%16.2%1.7%0.2%-76.1K-45.1K-8.7K0.6094.992781681,217827
2015-03-05$40.70$40.0016.4%4.8%14.2%17.9%16.4%14.9%0.1%-29.6K-420.4K-8.8K2.6984.08782101,318820
2015-03-06$40.46$40.0015.6%4.7%14.0%16.3%16.4%7.1%0.2%-67.7K-189.0K-8.7K2.2486.90781751,319871
2015-03-09$40.62$40.0016.1%4.7%14.1%17.3%0.0%15.5%0.3%-70.0K-338.7K-8.4K2.0084.37481,322879
2015-03-10$39.45$40.0017.7%4.6%16.5%20.8%16.2%-0.3%0.6%-80.6K991.0K-8.0K1.3189.5736471,320884
2015-03-11$39.69$40.0016.1%4.6%16.4%17.4%0.0%0.3%0.6%-75.2K383.6K-8.1K5.1086.9310511,356807
2015-03-12$40.48$40.0016.4%4.7%18.2%18.1%0.0%18.1%0.4%-37.2K-580.9K-8.3K0.9586.1137351,356757
2015-03-13$39.93$40.0015.7%4.5%18.1%16.4%15.6%21.0%1.3%-52.2K121.2K-7.9K2.5084.86251,340746
2015-03-16$40.43$40.0016.5%4.7%18.3%18.2%16.5%18.1%0.3%-48.0K-554.9K-7.7K0.1683.471931,339751
2015-03-17$40.55$40.0016.0%4.6%18.3%17.2%0.0%2.3%1.0%-43.6K-833.8K-7.4K0.0083.0411201,324751
2015-03-18$41.03$40.0016.2%4.7%18.8%17.6%0.0%8.0%0.4%-2.3K-1.3M-7.3K1.1490.5944501,300751
2015-03-19$40.85$40.0016.0%4.6%18.6%17.2%0.0%2.5%0.7%18.9K-1.3M-7.2K0.0091.11001,341701
2015-03-20$41.05$40.0015.3%4.4%18.7%15.6%0.0%1.7%1.1%61.2K-1.5M-7.2K0.2090.954181,341701
2015-03-23$41.00$40.0015.5%4.4%18.6%16.0%0.0%2.0%1.4%63.1K-645.4K-7.0K0.56105.282514792319
2015-03-24$40.61$40.0015.0%4.3%18.6%15.0%0.0%2.4%1.5%61.0K-529.8K-7.1K0.0094.9280812319
2015-03-25$40.26$40.0014.6%4.2%18.1%14.0%14.6%2.1%1.9%56.5K-387.9K-6.7K1.10100.751011820319
2015-03-26$40.47$40.0015.4%4.4%17.8%15.9%15.4%0.6%1.4%56.0K-385.8K-6.7K2.1297.3050106814319
2015-03-27$40.19$40.0016.1%4.6%17.9%17.2%15.9%0.4%0.2%56.2K-374.6K-6.8K0.0098.60021824327
2015-03-30$40.76$40.0015.1%4.3%18.2%15.2%15.1%-1.6%1.8%57.3K-488.4K-7.0K1.72104.9065112825346
2015-03-31$40.84$40.0015.4%4.4%17.8%15.8%15.4%1.5%1.5%75.5K-661.3K-7.3K1.57110.3165102865346