L Options History — June 2016

In June 2016, L traded between $38.35 and $41.00. ATM implied volatility averaged 16.3%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.3% (HV 20d: 12.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.79.

Notable Days

  • 2016-06-17: Highest Volume — 520 contracts
  • 2016-06-24: Largest IV spike — 48.5% change
  • 2016-06-01: Highest IV Rank — 6.5%
  • 2016-06-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.98$38.35$41.00$40.43$41.00
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV16.3%11.7%20.7%20.7%16.2%
Expected Move4.7%3.4%5.9%5.9%4.7%
HV 20d12.0%8.8%24.2%9.9%24.2%
HV 60d14.6%13.0%17.6%16.0%17.6%
IV Rank3.4%0.2%6.5%6.5%3.3%
IV Percentile29.1%0.8%59.5%59.5%25.4%
Term Structure1.5%-4.9%24.5%-4.9%1.7%
VWIV16.6%11.4%26.9%26.9%12.6%
Skew 25d14.5%-1.3%43.8%24.5%7.0%
Skew 10d24.5%-1.7%63.1%49.5%6.0%
Call IV 25d16.7%12.9%26.7%26.7%16.2%
Put IV 25d31.1%13.6%63.3%51.2%23.2%
Bid-Ask Spread %107.3498.68115.5498.68112.94
Gamma HHI0.860.481.000.960.75
Net GEX1.1M36.9K11.9M557.3K94.0K
Net DEX-2.4M-4.5M-430.4K-3.9M-1.2M
Net VEX-7.8K-10.3K-5.8K-10.3K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.2510.972.3610.97
Total Volume223.682104520141443
Total OI1,833.5458772,4142,3951,262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$40.43$40.0020.7%5.9%9.9%6.5%26.9%24.5%-4.9%557.3K-3.9M-10.3K2.3698.6842991,921474
2016-06-02$40.54$40.0012.4%4.7%9.8%0.6%17.5%18.6%-1.8%1.0M-4.5M-9.6K2.36100.3642991,921475
2016-06-03$40.32$40.0014.2%4.5%9.9%1.9%15.6%21.3%-0.8%969.7K-3.8M-9.6K2.70105.22401081,921475
2016-06-06$40.22$40.0014.9%4.3%10.0%2.4%15.2%2.2%1.6%850.0K-4.0M-9.6K2.63103.65411081,922452
2016-06-07$40.17$40.0016.8%4.0%9.6%3.7%14.0%22.5%2.6%802.8K-3.7M-9.2K1.83103.85591081,920452
2016-06-08$40.56$40.0017.1%4.9%9.0%4.0%16.9%20.8%-2.9%1.1M-4.5M-8.1K1.83105.93591081,925452
2016-06-09$40.12$40.0018.2%5.2%9.4%4.8%18.3%5.0%-2.6%951.8K-4.1M-8.3K1.9899.94591171,925452
2016-06-10$39.80$40.0019.8%5.7%9.8%5.8%19.9%2.1%-3.6%1.0M-2.5M-8.2K1.70111.41631071,925462
2016-06-13$39.67$40.0016.5%4.7%9.6%3.5%16.5%1.2%-0.6%950.1K-2.7M-7.2K1.75102.52641121,925468
2016-06-14$39.36$40.0019.1%5.5%8.9%5.4%19.3%0.7%-1.4%897.1K-1.8M-7.1K1.18108.7683981,925486
2016-06-15$39.47$40.0016.0%4.6%8.9%3.1%16.2%4.0%0.8%806.7K-1.9M-7.0K1.23112.3880981,907494
2016-06-16$39.67$40.0015.2%4.4%8.9%2.6%15.6%34.3%1.2%862.8K-1.9M-6.3K1.24112.48851051,906494
2016-06-17$40.03$40.0019.0%5.4%9.1%5.3%19.1%30.4%-2.3%11.9M-4.5M-5.8K0.25102.994151051,916498
2016-06-20$40.03$40.0014.4%4.1%8.8%2.1%14.4%1.1%24.5%82.1K-1.1M-7.2K1.17107.184856720157
2016-06-21$40.34$40.0011.8%3.4%9.2%0.2%11.4%23.6%5.1%88.6K-1.1M-7.4K1.17106.074856729159
2016-06-22$40.26$40.0014.5%4.2%9.2%2.1%14.5%3.5%2.7%83.8K-1.2M-7.3K1.59113.084978729159
2016-06-23$40.89$40.0011.7%3.4%10.7%0.2%11.8%-1.3%7.0%82.0K-1.3M-7.5K1.90111.604178730198
2016-06-24$39.47$40.0017.4%5.0%16.5%4.2%17.6%43.8%-2.7%78.4K-802.0K-7.4K2.55115.543179739198
2016-06-27$38.35$40.0019.1%5.5%19.1%5.4%19.1%2.3%-0.8%67.9K-441.5K-6.4K6.34109.8964406740201
2016-06-28$38.98$40.0016.3%4.7%20.2%3.4%16.6%9.7%8.0%36.9K-430.4K-7.5K6.34106.8464406732530
2016-06-29$39.92$40.0016.2%4.6%22.2%3.3%16.2%40.9%1.2%63.5K-814.5K-7.5K6.34110.1664406732530
2016-06-30$41.00$40.0016.2%4.7%24.2%3.3%12.6%7.0%1.7%94.0K-1.2M-6.9K10.97112.9437406732530