L Options History — October 2015

In October 2015, L traded between $35.20 and $36.84. ATM implied volatility averaged 24.0%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.2% (HV 20d: 19.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-10-14: Highest Volume — 316 contracts
  • 2015-10-13: Largest IV spike — 76.0% change
  • 2015-10-13: Highest IV Rank — 97.5%
  • 2015-10-30: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.30$35.20$36.84$35.20$36.53
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.0%15.5%45.8%20.5%27.4%
Expected Move6.1%4.4%7.9%5.9%7.9%
HV 20d19.8%17.8%21.0%18.3%17.9%
HV 60d19.0%17.8%19.4%17.8%19.0%
IV Rank40.7%17.7%97.5%30.9%50.4%
IV Percentile80.1%29.8%99.6%76.6%92.5%
Term Structure-0.0%-6.3%5.3%3.0%-5.3%
VWIV21.7%16.2%27.5%21.0%27.5%
Skew 25d4.5%-3.0%12.3%0.8%-0.8%
Skew 10d14.8%-1.9%33.5%6.2%-1.9%
Call IV 25d18.8%13.8%28.4%23.3%28.4%
Put IV 25d23.3%20.3%34.1%24.1%27.6%
Bid-Ask Spread %99.5672.06114.50114.5072.06
Gamma HHI0.610.500.860.780.51
Net GEX-29.2K-99.9K-11.3K-46.0K-12.2K
Net DEX341.3K150.6K744.9K690.9K150.6K
Net VEX-3.9K-4.4K-2.6K-4.1K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.060.780.720.42
Total Volume223.77353316267279
Total OI1,111.9551,0191,2031,0191,136

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$35.20$35.0020.5%5.9%18.3%30.9%21.0%0.8%3.0%-46.0K690.9K-4.1K0.72114.50155112466553
2015-10-02$35.53$35.0023.8%6.8%17.9%39.8%27.4%12.3%5.3%-39.3K744.9K-3.8K0.44107.5518380471553
2015-10-05$36.64$35.0025.4%5.2%21.0%44.0%20.4%5.3%-1.4%-34.3K495.2K-3.5K0.06102.24503500549
2015-10-06$36.73$35.0026.4%6.3%20.6%46.5%22.1%0.5%-0.6%-30.1K316.8K-4.3K0.4694.5015973551552
2015-10-07$36.51$35.0029.5%6.3%20.0%54.8%22.4%2.6%-2.0%-28.7K246.5K-4.4K0.5397.3513973551552
2015-10-08$36.70$35.0027.0%6.0%20.0%48.1%21.1%0.5%-0.0%-30.9K314.6K-4.2K0.7893.81169131561552
2015-10-09$36.30$35.0029.0%5.8%20.4%53.5%21.4%7.1%2.1%-34.3K203.7K-4.3K0.72100.81180130580552
2015-10-12$36.32$35.0026.0%6.2%20.4%45.5%22.0%6.2%-1.3%-32.4K276.8K-3.8K0.6496.79180116580552
2015-10-13$36.03$35.0045.8%6.4%20.3%97.5%22.9%6.8%0.5%-41.2K385.5K-3.7K0.64106.86180116580552
2015-10-14$35.57$35.0021.8%6.2%20.6%34.3%21.6%3.3%-0.1%-48.6K467.9K-3.9K0.6293.61195121580552
2015-10-15$36.00$35.0015.5%4.4%21.0%17.7%16.2%8.6%-0.1%-99.9K400.0K-2.6K0.77112.46170131602573
2015-10-16$36.19$35.0021.8%6.3%20.5%35.3%21.9%11.2%-1.5%-17.5K294.9K-4.0K0.6497.00170109620583
2015-10-19$36.11$35.0021.8%6.2%20.0%35.3%22.3%5.8%-1.5%-18.8K379.2K-3.8K0.23100.1014032598476
2015-10-20$36.47$35.0018.5%5.3%19.6%26.3%19.7%4.2%-3.1%-26.0K394.5K-3.3K0.23103.4114032619481
2015-10-21$36.23$35.0020.6%5.9%19.8%32.1%20.7%-3.0%0.3%-15.6K221.0K-4.1K0.2992.1912937621486
2015-10-22$36.55$35.0018.2%5.2%20.0%25.6%17.7%-2.7%3.5%-16.6K272.2K-3.8K0.2998.8812937625482
2015-10-23$36.69$35.0020.9%6.0%19.9%33.0%22.6%7.0%1.1%-12.4K238.4K-4.0K0.35101.9312443625482
2015-10-26$36.62$35.0017.9%5.1%19.1%24.7%17.0%4.9%5.3%-15.3K248.4K-3.9K0.3192.4613341626496
2015-10-27$36.10$35.0022.3%6.4%19.9%36.7%22.1%4.2%-1.1%-16.5K282.3K-3.8K0.3199.8313341635496
2015-10-28$36.84$35.0027.1%7.8%20.6%49.6%27.2%6.4%-6.3%-11.3K279.2K-3.7K0.33110.3112541635496
2015-10-29$36.82$35.0021.2%6.1%17.8%33.7%20.1%7.2%2.4%-14.3K205.2K-3.8K0.34101.6912141635496
2015-10-30$36.53$35.0027.4%7.9%17.9%50.4%27.5%-0.8%-5.3%-12.2K150.6K-4.0K0.4272.0619782640496