L Options History — December 2015

In December 2015, L traded between $36.68 and $38.78. ATM implied volatility averaged 18.5%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.5% (HV 20d: 20.0%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-12-15: Highest Volume — 355 contracts
  • 2015-12-14: Largest IV spike — 84.9% change
  • 2015-12-14: Highest IV Rank — 63.9%
  • 2015-12-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.83$36.68$38.78$38.31$38.52
Max Pain$32.95$30.00$40.00$40.00$30.00
ATM IV18.5%12.0%33.4%19.8%16.6%
Expected Move5.1%3.4%9.6%5.7%4.8%
HV 20d20.0%13.6%24.0%13.9%23.8%
HV 60d18.9%17.2%20.4%17.3%18.5%
IV Rank20.4%1.6%63.9%24.3%14.9%
IV Percentile53.9%1.2%97.6%75.0%51.2%
Term Structure1.2%-25.6%13.3%-3.0%3.9%
VWIV15.0%9.9%18.8%15.1%13.6%
Skew 25d5.9%-5.7%31.2%12.4%7.9%
Skew 10d8.9%-8.2%43.8%11.0%0.1%
Call IV 25d15.8%11.0%22.3%14.1%14.1%
Put IV 25d21.7%13.1%51.5%26.5%22.0%
Bid-Ask Spread %107.0893.43123.87118.50107.10
Gamma HHI0.560.460.700.570.67
Net GEX18.0K-9.5K41.7K24.5K31.2K
Net DEX-277.9K-663.8K14.5K-187.7K-565.2K
Net VEX-3.6K-4.4K-3.1K-3.6K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.187.000.290.65
Total Volume215.54523552219
Total OI1,071.4097171,3681,200733

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$38.31$40.0019.8%5.7%13.9%24.3%0.0%12.4%-3.0%24.5K-187.7K-3.6K0.00118.5002723477
2015-12-02$38.27$40.0013.7%3.9%13.6%6.5%15.1%-0.0%4.8%24.3K-110.3K-3.3K0.2993.4317550726479
2015-12-03$37.51$35.0017.1%4.6%15.3%16.3%16.9%3.1%-0.1%3.3K-40.4K-3.2K0.26102.0719350736479
2015-12-04$38.40$35.0020.2%4.5%17.2%25.4%15.7%31.2%2.0%41.7K-283.0K-3.4K0.26107.8918950764459
2015-12-07$38.33$35.0018.0%4.3%16.5%19.1%0.0%-2.6%0.8%40.8K-236.4K-3.4K7.00104.0017760459
2015-12-08$38.04$35.0021.4%4.4%16.7%29.0%17.4%-1.1%0.6%30.7K-192.0K-3.2K0.18101.9420637764458
2015-12-09$37.18$35.0016.8%4.8%18.5%15.6%18.5%-5.7%0.4%159-63.2K-3.4K0.38104.6017867799459
2015-12-10$37.74$35.0017.8%5.1%19.3%18.3%18.8%2.6%0.8%9.4K-132.5K-3.1K0.42100.6018276777459
2015-12-11$36.88$35.0018.1%5.2%19.5%19.2%12.8%7.2%5.9%-4.3K-85.0K-3.3K0.64103.93163104789459
2015-12-14$36.76$35.0033.4%9.6%19.5%63.9%18.8%-1.9%-25.6%-9.5K14.5K-3.3K0.64121.35163104798488
2015-12-15$37.44$35.0022.0%6.3%19.8%30.6%14.4%8.3%1.2%8.8K-89.8K-3.3K0.51105.59235120798488
2015-12-16$37.80$30.0017.4%5.0%20.1%17.2%15.7%13.2%6.0%13.1K-216.9K-4.0K0.70123.87172120855511
2015-12-17$37.01$30.0027.2%7.8%21.0%45.9%16.5%2.7%-19.9%4.5K-181.6K-4.0K0.72104.67173125857511
2015-12-18$36.68$30.0017.8%5.1%21.2%18.3%16.0%4.0%4.8%10.9K-77.0K-3.8K0.47101.3117481857511
2015-12-21$37.00$30.0019.5%5.6%21.5%23.4%15.4%9.3%13.3%14.3K-218.1K-3.4K0.55101.9010558477240
2015-12-22$37.75$30.0020.8%6.0%22.7%27.1%14.6%7.4%4.2%13.7K-393.1K-3.6K0.51116.6511458481240
2015-12-23$38.48$30.0015.4%4.4%23.7%11.6%11.8%6.6%3.8%24.1K-574.9K-3.6K0.44113.6813258493240
2015-12-24$38.47$30.0013.7%3.9%23.7%6.5%13.9%7.0%4.9%29.6K-574.9K-4.1K0.44106.2613258496240
2015-12-28$38.34$30.0012.0%3.4%23.7%1.6%9.9%7.7%6.5%23.1K-599.1K-4.1K0.5299.6713268496240
2015-12-29$38.78$30.0015.3%4.4%24.0%11.0%12.9%6.7%5.8%31.0K-663.8K-4.1K0.54108.5012769496250
2015-12-30$38.52$30.0012.5%3.6%23.8%2.9%12.3%4.0%5.0%31.0K-643.7K-4.0K0.67108.1412986498251
2015-12-31$38.52$30.0016.6%4.8%23.8%14.9%13.6%7.9%3.9%31.2K-565.2K-4.4K0.65107.1013386500233