L Options History — March 2016

In March 2016, L traded between $36.29 and $39.40. ATM implied volatility averaged 21.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.3% (HV 20d: 21.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2016-03-04: Highest Volume — 521 contracts
  • 2016-03-08: Largest IV spike — 88.5% change
  • 2016-03-08: Highest IV Rank — 50.7%
  • 2016-03-08: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.94$36.29$39.40$37.19$38.31
Max Pain$35.45$35.00$40.00$40.00$35.00
ATM IV21.8%12.9%53.5%27.6%15.4%
Expected Move5.8%3.7%11.7%7.9%4.4%
HV 20d21.5%20.1%23.6%21.5%20.3%
HV 60d22.5%21.9%23.4%23.4%21.9%
IV Rank12.5%1.7%50.7%19.5%4.7%
IV Percentile59.4%2.4%99.2%91.7%24.2%
Term Structure1.4%-29.2%8.3%-1.4%5.9%
VWIV21.2%16.1%36.8%27.0%19.0%
Skew 25d8.0%-3.3%38.6%7.2%3.9%
Skew 10d10.0%-14.6%52.6%5.6%7.9%
Call IV 25d20.0%12.9%32.3%26.7%16.7%
Put IV 25d27.9%18.5%55.6%33.9%20.6%
Bid-Ask Spread %99.6724.39126.5287.29108.95
Gamma HHI0.600.470.770.510.69
Net GEX41.5K-16.2K78.8K21.6K68.7K
Net DEX-492.8K-1.1M123.3K-135.6K-637.6K
Net VEX-6.2K-6.7K-5.2K-5.7K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.803.260.801.97
Total Volume310.273147521467187
Total OI1,376.1361,2371,5951,2691,283

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$37.19$40.0027.6%7.9%21.5%19.5%27.0%7.2%-1.4%21.6K-135.6K-5.7K0.8087.29259208725544
2016-03-02$37.38$40.0024.3%7.0%20.1%15.4%26.4%3.7%5.8%26.6K-201.9K-5.7K0.9392.90257240725564
2016-03-03$37.67$35.0027.4%5.1%20.2%19.2%25.6%2.8%1.4%22.1K-226.7K-5.7K0.90107.13266240730584
2016-03-04$37.91$35.0024.9%4.8%20.1%16.3%22.2%2.1%1.8%41.3K-324.9K-6.3K0.94100.64268253744584
2016-03-07$37.34$35.0028.4%6.4%20.8%20.4%24.7%3.1%4.2%33.5K-251.2K-6.5K0.9498.60268253759588
2016-03-08$36.67$35.0053.5%11.7%21.9%50.7%36.8%2.0%-29.2%30.8K21.0K-6.1K0.94122.54268253759588
2016-03-09$36.29$35.0021.3%6.1%22.3%11.9%21.6%-3.3%0.3%-2.9K123.3K-5.2K2.9693.02115340779603
2016-03-10$36.55$35.0019.0%5.5%22.4%9.1%20.3%5.7%6.1%-16.2K-80.0K-6.0K3.2698.52112365813694
2016-03-11$37.69$35.0020.3%5.8%23.5%10.6%16.8%12.6%8.3%20.2K-356.2K-6.3K1.91100.32113216824721
2016-03-14$37.51$35.0018.3%5.2%23.6%8.2%17.6%6.7%-0.8%18.6K-329.3K-6.3K1.1224.39105118824731
2016-03-15$37.60$35.0018.6%5.3%22.9%8.6%16.6%2.3%-1.0%21.2K-396.7K-6.0K1.1089.99107118827722
2016-03-16$37.77$35.0029.5%8.4%21.1%21.7%32.2%9.1%3.9%30.3K-450.5K-6.5K1.09126.52107117832722
2016-03-17$38.57$35.0018.3%5.2%22.3%8.2%17.6%32.8%2.0%58.6K-870.2K-5.9K1.11105.64105117832730
2016-03-18$39.40$35.0018.6%5.3%22.9%8.6%18.8%33.6%0.4%58.0K-1.1M-6.1K0.83100.37165137865730
2016-03-21$39.40$35.0016.8%4.8%22.5%6.5%16.9%38.6%3.1%72.7K-996.4K-6.6K1.3897.3478108683554
2016-03-22$39.23$35.0017.2%4.9%20.4%6.9%17.8%-0.0%2.0%75.0K-1.0M-6.6K2.77104.0839108697554
2016-03-23$38.66$35.0016.7%4.8%20.9%6.3%17.1%0.7%0.9%78.8K-930.5K-6.5K2.40109.2845108707554
2016-03-24$38.37$35.0017.4%5.0%21.2%7.2%19.3%-1.0%-0.1%60.9K-666.9K-6.7K2.00100.1054108718554
2016-03-28$38.37$35.0018.8%5.4%21.1%8.9%17.9%5.9%5.8%59.4K-623.4K-6.2K2.16110.2850108718554
2016-03-29$38.24$35.0015.5%4.5%21.0%4.9%17.4%3.9%5.0%60.6K-590.5K-6.4K2.16106.5650108724554
2016-03-30$38.59$35.0012.9%3.7%20.1%1.7%16.1%2.8%5.7%72.0K-753.6K-6.2K2.03108.3961124724554
2016-03-31$38.31$35.0015.4%4.4%20.3%4.7%19.0%3.9%5.9%68.7K-637.6K-6.3K1.97108.9563124749534