L Options History — May 2016

In May 2016, L traded between $39.37 and $40.65. ATM implied volatility averaged 16.0%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.4% (HV 20d: 14.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-05-20: Highest Volume — 414 contracts
  • 2016-05-09: Largest IV spike — 40.0% change
  • 2016-05-27: Highest IV Rank — 4.5%
  • 2016-05-27: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.98$39.37$40.65$40.16$40.51
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV16.0%11.6%17.9%16.4%14.0%
Expected Move4.6%4.0%5.1%4.7%4.0%
HV 20d14.6%10.1%16.7%16.6%10.1%
HV 60d17.8%16.4%19.2%19.1%16.4%
IV Rank3.1%0.1%4.5%3.4%1.8%
IV Percentile28.0%0.4%45.2%32.5%8.3%
Term Structure1.1%-5.1%3.5%1.7%2.7%
VWIV17.3%14.3%22.7%16.3%14.3%
Skew 25d9.2%-8.7%41.5%34.5%-8.7%
Skew 10d15.2%-8.0%60.1%55.1%-8.0%
Call IV 25d18.1%15.5%26.3%19.1%26.3%
Put IV 25d27.3%16.0%61.5%53.6%17.6%
Bid-Ask Spread %100.2386.49123.97104.98101.87
Gamma HHI0.950.940.970.940.95
Net GEX566.8K458.2K810.6K474.0K595.8K
Net DEX-3.6M-4.8M-2.6M-3.9M-4.5M
Net VEX-12.4K-14.2K-10.3K-14.2K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.252.310.612.31
Total Volume234.524139414284139
Total OI2,519.7622,3932,6092,5232,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$40.16$40.0016.4%4.7%16.6%3.4%16.3%34.5%1.7%474.0K-3.9M-14.2K0.61104.981761082,067456
2016-05-03$39.91$40.0017.7%5.1%16.5%4.4%17.7%-0.6%-1.3%458.2K-3.5M-13.9K0.6293.841631012,045485
2016-05-04$39.79$40.0017.3%5.0%16.6%4.1%17.2%41.5%-0.8%458.2K-3.3M-13.8K0.72109.281391002,052484
2016-05-05$39.64$40.0017.6%4.5%16.6%4.3%22.7%1.6%1.9%482.2K-3.3M-13.9K0.72107.961391002,051503
2016-05-06$39.69$40.0011.6%4.5%16.3%0.1%19.9%24.3%2.2%519.6K-3.0M-13.5K0.72100.211391002,051503
2016-05-09$39.43$40.0016.2%4.3%16.5%3.3%16.4%1.1%2.7%503.7K-2.6M-12.8K0.7299.991391002,051503
2016-05-10$39.97$40.0016.7%4.5%16.7%3.7%17.4%25.7%1.6%566.5K-3.4M-13.0K0.44102.55139612,051503
2016-05-11$39.62$40.0015.2%4.4%15.6%2.6%15.5%0.7%2.6%564.4K-3.2M-12.8K0.3697.16169612,051503
2016-05-12$39.64$40.0014.7%4.2%15.6%2.2%14.9%0.5%2.9%601.9K-3.1M-12.8K0.4098.22152612,076506
2016-05-13$39.37$40.0014.4%4.1%15.7%2.0%14.7%0.4%3.5%609.7K-2.7M-12.5K0.4397.70146632,073506
2016-05-16$39.85$40.0015.5%4.5%16.3%2.8%17.8%0.9%2.5%579.6K-3.4M-12.3K0.6697.49131862,076509
2016-05-17$40.00$40.0016.5%4.7%16.1%3.5%17.9%19.4%0.9%692.1K-3.3M-12.3K0.6386.49136862,082518
2016-05-18$40.20$40.0015.8%4.5%16.0%3.0%18.5%23.4%2.0%810.6K-3.9M-12.1K0.5999.57143842,088518
2016-05-19$39.88$40.0016.3%4.7%14.2%3.4%18.3%1.0%1.6%706.6K-3.5M-12.0K0.55101.90152842,091518
2016-05-20$40.13$40.0017.1%4.9%12.8%4.0%17.2%2.6%0.5%544.2K-4.5M-11.7K0.2591.66330842,091518
2016-05-23$40.10$40.0017.1%4.9%12.7%3.9%17.1%1.5%0.3%507.6K-3.7M-11.6K0.5696.63146821,930463
2016-05-24$40.25$40.0016.8%4.8%12.2%3.8%16.9%1.5%0.1%525.0K-3.9M-11.4K0.6994.90140971,930463
2016-05-25$40.27$40.0015.6%4.5%12.0%2.9%15.7%0.6%1.0%562.7K-4.1M-11.5K0.69101.52140971,933473
2016-05-26$40.48$40.0014.7%4.2%10.6%2.3%14.7%23.1%-0.0%679.8K-4.1M-11.4K0.6196.86158971,933473
2016-05-27$40.65$40.0017.9%5.1%10.6%4.5%21.6%-2.1%-5.1%460.7K-4.8M-10.3K1.62123.9760971,920473
2016-05-31$40.51$40.0014.0%4.0%10.1%1.8%14.3%-8.7%2.7%595.8K-4.5M-10.3K2.31101.8742971,921474