L Options History — August 2015

In August 2015, L traded between $35.69 and $39.03. ATM implied volatility averaged 20.8%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.4% (HV 20d: 17.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-08-26: Highest Volume — 373 contracts
  • 2015-08-24: Largest IV spike — 62.4% change
  • 2015-08-31: Highest IV Rank — 65.8%
  • 2015-08-31: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.66$35.69$39.03$37.09$36.51
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV20.8%13.5%33.7%19.6%33.7%
Expected Move5.9%3.8%9.7%5.6%9.7%
HV 20d17.4%13.9%21.9%14.5%19.8%
HV 60d15.3%14.0%16.7%14.0%16.5%
IV Rank31.0%12.3%65.8%25.4%65.8%
IV Percentile60.4%8.3%98.8%79.4%98.8%
Term Structure-2.0%-13.9%4.0%-3.0%-7.5%
VWIV20.2%13.7%34.3%13.7%30.9%
Skew 25d7.9%-3.6%39.3%14.2%15.2%
Skew 10d12.7%-14.2%50.8%35.1%46.8%
Call IV 25d18.5%12.2%31.4%12.2%23.4%
Put IV 25d26.4%14.4%56.0%26.4%38.6%
Bid-Ask Spread %98.9786.70109.31109.3196.62
Gamma HHI0.620.490.760.630.63
Net GEX5.3K-55.2K68.4K-40.0K-42.9K
Net DEX1.0M155.1K1.8M1.4M1.6M
Net VEX-6.1K-6.7K-5.5K-5.6K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.221.681.300.30
Total Volume214.4760373106317
Total OI2,311.3332,1682,5142,1932,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$37.09$35.0019.6%5.6%14.5%25.4%0.0%14.2%-3.0%-40.0K1.4M-5.6K1.30109.3146601,284909
2015-08-04$37.47$35.0022.6%6.5%14.9%32.5%13.7%12.8%-5.5%-23.9K1.4M-5.5K0.9597.2280761,268903
2015-08-05$37.68$35.0014.0%4.0%14.3%12.3%14.8%3.5%4.0%-24.3K1.3M-5.6K0.99103.2277761,268900
2015-08-06$38.01$40.0017.3%4.7%14.5%20.0%16.4%5.3%2.0%-7.3K1.1M-6.3K0.83104.1592761,271900
2015-08-07$37.95$40.0019.0%3.8%13.9%24.1%13.8%2.2%0.6%6.5K921.3K-6.0K0.9398.7282761,290895
2015-08-10$38.99$40.0015.4%4.4%16.9%15.7%15.5%28.6%0.6%68.4K443.4K-6.0K0.97102.3196931,285895
2015-08-11$39.03$40.0015.9%4.7%16.7%16.8%16.7%-1.2%-0.2%62.4K428.0K-6.3K0.98106.9742411,275908
2015-08-12$38.78$40.0015.7%4.5%16.9%18.4%15.9%-0.8%0.6%44.0K595.9K-6.5K0.8992.4583741,313929
2015-08-13$38.77$40.0015.4%4.4%16.8%17.4%15.5%-0.5%0.9%40.3K594.2K-6.6K1.6898.9844741,347939
2015-08-14$38.99$40.0016.3%4.7%16.6%20.0%16.5%39.3%-0.1%66.6K475.4K-6.5K1.21104.0561741,348939
2015-08-17$38.77$40.0015.3%4.4%16.6%17.3%15.1%31.7%0.5%62.5K592.1K-6.2K0.47101.97159741,366939
2015-08-18$38.77$40.0013.5%3.9%16.6%12.6%14.9%-3.4%0.5%62.7K155.1K-6.7K0.2790.48270741,452939
2015-08-19$38.45$40.0013.6%3.9%16.7%12.8%0.0%-2.4%-0.0%52.5K385.6K-6.7K0.0099.22001,557939
2015-08-20$37.81$40.0015.6%4.5%17.6%18.1%15.6%-2.2%-0.4%12.5K607.5K-6.1K0.31100.62238741,559939
2015-08-21$37.15$40.0020.7%5.9%18.7%31.5%18.8%-3.5%-3.5%-29.8K1.2M-5.5K0.3290.55227731,575939
2015-08-24$36.32$40.0033.6%9.6%20.2%65.5%30.1%11.2%-1.2%-28.9K1.6M-5.9K0.2299.65201441,384941
2015-08-25$35.69$40.0032.1%9.2%20.2%61.6%34.3%-0.9%-13.9%-35.4K1.6M-5.7K0.55100.932011111,401938
2015-08-26$35.71$40.0027.3%7.8%20.1%49.0%28.2%-3.6%-4.1%-55.2K1.8M-5.7K0.5286.702451281,401985
2015-08-27$36.47$40.0027.9%8.0%21.9%50.6%26.4%8.1%-4.6%-43.9K1.7M-6.0K0.3292.25244791,410994
2015-08-28$36.52$40.0032.7%9.4%21.9%63.0%30.1%12.4%-8.6%-36.2K1.5M-6.5K0.33102.07243791,417990
2015-08-31$36.51$40.0033.7%9.7%19.8%65.8%30.9%15.2%-7.5%-42.9K1.6M-6.1K0.3096.62243741,417990