L Options History — July 2015

In July 2015, L traded between $37.71 and $39.19. ATM implied volatility averaged 16.4%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.7% (HV 20d: 13.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.83.

Notable Days

  • 2015-07-21: Highest Volume — 502 contracts
  • 2015-07-08: Largest IV spike — 59.8% change
  • 2015-07-08: Highest IV Rank — 34.3%
  • 2015-07-27: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.46$37.71$39.19$38.87$38.10
Max Pain$37.27$35.00$40.00$40.00$35.00
ATM IV16.4%13.6%23.4%14.3%16.5%
Expected Move4.5%3.9%4.9%4.1%4.7%
HV 20d13.7%11.1%16.2%16.2%11.2%
HV 60d13.2%12.8%13.8%13.5%13.0%
IV Rank18.1%11.4%34.3%14.3%18.2%
IV Percentile42.0%9.1%86.9%18.3%55.6%
Term Structure-0.9%-2.8%0.6%-0.4%-1.9%
VWIV16.8%12.9%19.0%12.9%19.0%
Skew 25d-1.2%-14.2%23.9%-14.2%-3.8%
Skew 10d-6.6%-37.3%23.8%-5.6%-2.7%
Call IV 25d18.8%15.8%26.5%26.5%19.8%
Put IV 25d17.6%12.3%46.8%12.3%16.0%
Bid-Ask Spread %105.7594.91114.00114.00112.36
Gamma HHI0.530.450.600.590.60
Net GEX-66.4K-89.3K-23.7K-85.9K-23.7K
Net DEX1.5M1.0M1.8M1.7M1.0M
Net VEX-6.1K-7.0K-5.5K-7.0K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.238.143.800.23
Total Volume351.136179502379356
Total OI1,924.3641,8202,0411,8401,954

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$38.87$40.0014.3%4.1%16.2%14.3%12.9%-14.2%-0.4%-85.9K1.7M-7.0K3.80114.0079300889951
2015-07-02$38.69$40.0014.7%4.2%15.4%15.2%14.1%2.8%0.6%-84.0K1.6M-7.0K3.58108.4481290915952
2015-07-06$38.60$40.0019.0%4.7%15.4%25.2%16.5%3.5%-0.4%-80.2K1.7M-6.4K3.5894.9181290917950
2015-07-07$38.84$40.0014.6%4.9%15.3%13.8%17.0%3.9%-0.5%-80.9K1.7M-6.6K8.14106.6435285917950
2015-07-08$38.26$40.0023.4%4.9%16.1%34.3%17.3%2.4%-0.7%-78.4K1.7M-6.3K6.55102.9644288922950
2015-07-09$38.48$40.0015.2%4.7%13.6%15.0%16.5%3.8%0.0%-68.9K1.8M-6.3K3.4799.2583288935955
2015-07-10$38.87$40.0016.2%4.7%14.4%17.5%16.3%-1.5%0.3%-69.9K1.6M-6.7K5.0196.7075376975955
2015-07-13$39.19$40.0019.5%4.5%14.4%25.1%15.9%23.9%-0.0%-89.3K1.5M-6.7K4.91108.83753689791,043
2015-07-14$38.94$40.0023.2%4.6%13.8%34.0%16.1%-7.3%-0.4%-84.0K1.5M-6.5K4.43106.73833689791,036
2015-07-15$38.85$40.0016.5%4.7%13.8%18.2%17.1%-2.8%-0.9%-77.2K1.7M-6.2K3.57104.211033689771,036
2015-07-16$38.96$35.0015.5%4.4%13.8%15.9%15.6%-8.8%0.5%-80.1K1.6M-6.3K3.57111.011033689881,036
2015-07-17$38.59$35.0014.1%4.0%14.0%12.5%18.0%-3.5%-1.3%-60.2K1.8M-5.8K2.94102.211253689881,036
2015-07-20$38.40$35.0014.2%4.1%13.9%12.8%16.9%-2.8%-1.7%-59.5K1.4M-5.6K1.71101.4666113926894
2015-07-21$38.32$35.0013.6%3.9%13.3%11.4%15.7%-1.3%0.1%-55.2K1.3M-5.5K6.07106.0171431939895
2015-07-22$38.08$35.0014.8%4.2%13.4%14.2%17.2%-3.1%-1.7%-51.6K1.4M-5.6K4.94105.2853262948920
2015-07-23$37.78$35.0016.4%4.7%13.3%18.1%18.2%-3.5%-2.3%-53.6K1.4M-5.8K4.59106.4846211948919
2015-07-24$37.83$35.0016.3%4.7%12.9%17.7%17.8%-3.1%-2.2%-60.9K1.5M-5.5K3.65108.4546168958949
2015-07-27$37.71$35.0017.2%4.9%12.7%19.9%18.8%-5.0%-2.8%-59.3K1.6M-5.5K2.77105.4364177958951
2015-07-28$38.17$35.0015.2%4.3%11.9%15.1%18.9%-3.0%-2.1%-49.6K1.3M-5.5K1.91105.9664122988941
2015-07-29$38.33$35.0014.2%4.1%11.5%12.9%15.8%-0.4%-0.9%-52.5K1.3M-6.0K1.52111.8887132988988
2015-07-30$38.32$35.0016.3%4.7%11.1%17.7%19.0%-2.4%-1.8%-56.2K1.4M-6.3K3.37107.41762561,0131,028
2015-07-31$38.10$35.0016.5%4.7%11.2%18.2%19.0%-3.8%-1.9%-23.7K1.0M-6.0K0.23112.36290661,049905