L Options History — June 2015

In June 2015, L traded between $38.23 and $40.75. ATM implied volatility averaged 15.1%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.8% (HV 20d: 14.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2015-06-08: Highest Volume — 522 contracts
  • 2015-06-25: Largest IV drop — 15.6% change
  • 2015-06-03: Highest IV Rank — 19.1%
  • 2015-06-05: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.65$38.23$40.75$40.01$38.58
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.1%12.0%16.4%16.2%14.6%
Expected Move4.3%3.5%4.7%4.6%4.2%
HV 20d14.3%10.7%16.4%10.7%16.3%
HV 60d13.8%13.0%14.7%14.6%13.4%
IV Rank16.1%9.0%19.1%18.6%14.9%
IV Percentile30.3%6.0%52.4%48.4%20.2%
Term Structure0.7%-0.7%2.2%-0.1%1.1%
VWIV15.1%10.7%22.4%16.5%14.3%
Skew 25d0.2%-23.3%33.5%-1.1%1.4%
Skew 10d-2.7%-46.4%50.0%-1.3%-6.6%
Call IV 25d21.3%12.1%40.5%21.9%17.9%
Put IV 25d21.5%16.0%50.3%20.7%19.3%
Bid-Ask Spread %103.2394.17111.46108.39100.20
Gamma HHI0.450.380.580.490.41
Net GEX-6.3K-55.4K57.8K57.8K-40.8K
Net DEX642.6K-79.6K1.3M23.0K1.2M
Net VEX-6.5K-7.8K-5.2K-6.5K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.415.522.045.52
Total Volume284.318159522280365
Total OI1,921.2731,5922,1551,9021,629

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$40.01$40.0016.2%4.6%10.7%18.6%16.5%-1.1%-0.1%57.8K23.0K-6.5K2.04108.39921881,285617
2015-06-02$40.43$40.0016.2%4.7%11.6%18.7%22.4%-0.5%-0.7%34.0K-5.6K-7.0K0.00100.6701591,284724
2015-06-03$40.75$40.0016.4%4.7%11.6%19.1%17.4%9.0%-0.5%26.3K-79.6K-7.5K2.63100.97882311,285762
2015-06-04$40.09$40.0016.0%4.3%12.8%18.3%15.2%3.9%0.7%294326.6K-7.8K2.3394.17992311,291818
2015-06-05$40.14$40.0015.9%4.7%12.6%18.0%16.5%1.6%-0.6%8.7K271.5K-7.8K1.6897.83991661,302818
2015-06-08$39.76$40.0016.4%4.4%12.8%19.1%15.6%0.7%0.6%-8.8K647.1K-7.3K0.41104.863691531,302853
2015-06-09$39.67$40.0016.4%4.3%12.7%19.1%15.2%0.6%1.6%-5.3K638.8K-7.1K2.25103.06711601,211825
2015-06-10$40.58$40.0015.4%4.4%15.3%16.8%15.4%1.9%0.4%-2.6K107.2K-6.8K1.23105.191321631,211835
2015-06-11$40.45$40.0014.8%4.2%14.9%15.5%14.8%1.6%1.2%6.4K120.5K-7.1K1.14103.291321511,242828
2015-06-12$40.01$40.0015.7%4.5%15.1%17.4%15.7%1.1%0.3%8.1K465.1K-6.8K1.14108.461321511,242828
2015-06-15$39.48$40.0015.5%4.4%15.7%17.0%15.5%10.9%0.5%14.3K808.4K-6.1K1.1799.501491751,242819
2015-06-16$39.56$40.0014.9%4.3%15.2%15.7%14.9%-0.8%1.0%19.7K753.9K-5.7K1.6798.711532551,217776
2015-06-17$39.47$40.0015.0%4.3%15.1%16.0%15.0%-13.9%1.0%42.1K680.1K-6.3K1.59109.391542451,256821
2015-06-18$39.64$40.0014.7%4.2%15.2%15.2%14.7%-23.3%0.8%37.8K918.3K-6.3K1.47103.121542261,257857
2015-06-19$39.31$40.0014.7%4.2%15.4%15.2%14.7%0.6%1.0%-48.6K1.2M-5.8K1.7497.321131971,257854
2015-06-22$39.66$40.0014.2%4.1%15.7%14.1%14.2%3.1%0.9%-55.4K872.7K-6.1K1.27103.9490114830762
2015-06-23$39.58$40.0014.1%4.1%14.6%13.9%14.2%-21.9%2.1%-51.8K835.9K-6.7K1.54107.6974114859772
2015-06-24$39.19$40.0014.3%4.1%14.8%14.2%14.2%-3.4%1.3%-53.2K980.3K-6.4K1.68111.4671119860772
2015-06-25$38.76$40.0012.0%3.5%15.1%9.0%10.7%1.8%2.2%-44.6K1.1M-5.7K1.53102.3368104875742
2015-06-26$38.95$40.0013.3%3.8%15.2%12.0%11.8%33.5%0.3%-41.9K1.0M-5.7K1.53107.5568104879740
2015-06-29$38.23$40.0014.8%4.2%16.4%15.4%13.5%-2.9%-0.1%-41.1K1.3M-5.4K1.59102.9568108889740
2015-06-30$38.58$40.0014.6%4.2%16.3%14.9%14.3%1.4%1.1%-40.8K1.2M-5.2K5.52100.2056309889740