L Options History — April 2015

In April 2015, L traded between $40.40 and $42.39. ATM implied volatility averaged 16.2%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.7% (HV 20d: 15.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.47.

Notable Days

  • 2015-04-02: Highest Volume — 680 contracts
  • 2015-04-06: Largest IV spike — 30.3% change
  • 2015-04-29: Highest IV Rank — 22.8%
  • 2015-04-29: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.56$40.40$42.39$40.40$41.64
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV16.2%13.5%18.6%14.8%16.9%
Expected Move4.7%4.1%5.3%4.3%4.8%
HV 20d15.5%13.2%19.3%17.9%14.3%
HV 60d17.3%15.4%18.0%17.9%15.4%
IV Rank17.7%11.7%22.8%14.6%19.0%
IV Percentile46.3%19.8%67.9%30.6%54.8%
Term Structure0.8%-4.8%4.5%1.2%2.1%
VWIV15.9%13.2%17.5%14.9%17.2%
Skew 25d5.8%0.3%24.4%24.4%2.8%
Skew 10d22.8%6.0%58.5%58.5%37.2%
Call IV 25d13.9%10.3%18.6%18.6%17.3%
Put IV 25d19.6%16.0%43.0%43.0%20.1%
Bid-Ask Spread %96.7340.33116.80110.74111.04
Gamma HHI0.630.500.770.510.65
Net GEX104.6K57.3K146.1K72.7K82.4K
Net DEX-1.2M-2.0M-474.5K-474.5K-1.2M
Net VEX-11.8K-13.1K-6.9K-6.9K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.298.591.311.27
Total Volume254.28649680171134
Total OI1,971.6671,2182,2591,2182,259

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$40.40$40.0014.8%4.3%17.9%14.6%14.9%24.4%1.2%72.7K-474.5K-6.9K1.31110.747497865353
2015-04-02$41.16$40.0013.5%4.9%19.2%11.7%17.2%13.0%-1.0%77.3K-782.7K-7.2K0.9786.49346334875357
2015-04-06$41.54$40.0017.6%4.8%19.2%20.6%16.7%5.5%-0.3%100.6K-1.1M-11.1K1.2196.661902291,174581
2015-04-07$41.35$40.0013.6%4.8%19.3%11.9%16.7%4.6%-0.5%120.0K-1.2M-12.6K1.2291.551902311,344576
2015-04-08$41.52$40.0016.8%4.8%15.7%18.8%0.0%4.9%-0.5%119.3K-1.3M-12.3K0.2988.7738111,343578
2015-04-09$41.43$40.0017.5%5.0%15.7%20.4%17.5%6.0%-0.8%118.9K-1.2M-12.5K4.0085.02582321,372580
2015-04-10$41.15$40.0016.6%4.8%14.6%18.4%16.6%3.8%-0.5%120.1K-1.1M-12.0K8.5984.77272321,372575
2015-04-13$41.50$40.0017.4%5.0%13.8%20.1%17.4%4.7%-0.3%121.1K-1.2M-11.9K8.5992.57272321,373575
2015-04-14$41.62$40.0017.0%4.9%13.2%19.4%17.0%5.1%0.0%125.3K-1.3M-12.1K3.7496.40622321,372575
2015-04-15$42.39$40.0015.2%4.4%14.5%15.4%15.2%8.0%2.7%146.1K-2.0M-13.1K1.81105.49621121,408575
2015-04-16$42.16$40.0015.2%4.3%14.3%15.3%15.2%5.9%3.2%141.5K-1.8M-12.8K1.32103.0062821,408595
2015-04-17$41.83$40.0017.1%4.9%14.5%19.5%17.1%3.5%0.3%129.2K-1.6M-12.7K1.2199.6168821,408595
2015-04-20$41.89$40.0018.5%5.3%14.4%22.5%16.0%0.3%-4.8%132.8K-1.4M-12.3K5.3289.20562981,364582
2015-04-21$41.22$40.0017.0%4.9%15.7%19.4%17.0%0.7%-0.6%57.3K-861.0K-12.3K3.0640.33942881,366790
2015-04-22$41.35$40.0014.3%4.1%15.2%13.4%15.9%2.7%4.5%70.5K-994.0K-12.3K3.06107.55942881,404796
2015-04-23$41.69$40.0015.2%4.4%15.0%15.4%13.2%5.3%3.2%87.5K-1.3M-12.5K0.9899.9894921,404796
2015-04-24$41.62$40.0015.3%4.4%15.0%15.7%13.3%2.8%3.0%86.4K-1.2M-12.3K1.39105.2266921,404796
2015-04-27$41.41$40.0016.3%4.7%14.9%17.7%14.2%2.5%2.9%84.9K-1.1M-11.8K0.91105.4366601,403796
2015-04-28$41.94$40.0016.9%4.8%14.7%19.1%13.8%8.4%3.4%99.8K-1.3M-12.4K0.84116.8075631,403797
2015-04-29$41.88$40.0018.6%5.3%14.8%22.8%16.8%6.0%-0.4%103.6K-1.4M-12.2K0.79114.7595751,413803
2015-04-30$41.64$40.0016.9%4.8%14.3%19.0%17.2%2.8%2.1%82.4K-1.2M-12.1K1.27111.0459751,431828