L Options History — August 2016

In August 2016, L traded between $40.17 and $41.84. ATM implied volatility averaged 14.7%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.1% (HV 20d: 12.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2016-08-29: Highest Volume — 525 contracts
  • 2016-08-30: Largest IV spike — 48.8% change
  • 2016-08-01: Highest IV Rank — 6.1%
  • 2016-08-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.22$40.17$41.84$40.44$41.84
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV14.7%11.6%19.3%19.3%15.7%
Expected Move4.2%3.3%5.5%5.5%4.5%
HV 20d12.5%9.2%15.0%15.0%9.2%
HV 60d17.1%16.9%17.2%17.1%17.1%
IV Rank2.9%0.8%6.1%6.1%3.7%
IV Percentile16.7%1.2%52.0%52.0%25.0%
Term Structure3.5%-9.8%26.3%-7.2%9.8%
VWIV14.9%11.9%18.5%17.1%16.2%
Skew 25d6.0%-2.2%29.6%-2.2%1.2%
Skew 10d18.0%-0.0%61.1%3.3%3.5%
Call IV 25d12.4%9.9%20.4%20.4%13.2%
Put IV 25d18.3%12.2%45.6%18.2%14.4%
Bid-Ask Spread %101.0379.38117.10117.10110.77
Gamma HHI0.510.470.600.530.47
Net GEX65.1K41.6K83.0K79.5K56.3K
Net DEX-1.4M-1.9M-825.0K-1.2M-1.8M
Net VEX-7.3K-8.5K-6.5K-7.1K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.405.251.920.54
Total Volume255.6093525251525
Total OI1,705.9571,4871,8451,4871,845

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$40.44$40.0019.3%5.5%15.0%6.1%17.1%-2.2%-7.2%79.5K-1.2M-7.1K1.92117.1086165904583
2016-08-02$40.17$40.0015.5%4.4%12.7%3.5%15.2%0.4%-0.0%66.9K-825.0K-7.4K2.17107.7276165907680
2016-08-03$40.44$40.0016.7%4.8%12.9%4.3%16.7%29.6%-2.8%70.5K-889.0K-7.2K0.82108.676755913680
2016-08-04$40.38$40.0015.2%4.1%12.9%3.2%15.2%3.8%1.8%67.2K-921.1K-7.3K0.8091.805141912680
2016-08-05$41.10$40.0016.2%4.2%13.2%4.0%14.7%12.8%1.5%77.6K-1.3M-6.8K0.8592.115345912679
2016-08-08$41.09$40.0012.8%4.0%13.2%1.6%12.9%16.4%4.9%67.8K-1.3M-7.0K0.6390.987145915697
2016-08-09$41.23$40.0015.0%4.1%12.3%3.1%14.8%6.3%2.8%72.1K-1.4M-6.8K0.4092.6612148915697
2016-08-10$40.95$40.0014.6%4.2%12.6%2.9%14.5%2.5%0.6%79.4K-1.4M-7.2K0.40103.2412148965697
2016-08-11$41.28$40.0014.2%4.1%12.7%2.6%13.6%12.8%3.2%83.0K-1.4M-6.7K0.40101.6512148965697
2016-08-12$41.04$40.0013.3%3.8%12.8%1.9%13.4%3.2%5.0%77.9K-1.4M-7.1K0.47106.5610348965697
2016-08-15$41.33$40.0011.6%3.3%13.0%0.8%12.8%1.3%6.3%75.0K-1.5M-6.5K0.57108.1710862959697
2016-08-16$41.24$40.0015.3%4.4%13.0%3.3%17.1%12.7%3.1%79.1K-1.4M-6.7K1.3998.40106147963682
2016-08-17$41.34$40.0013.1%3.8%13.0%1.8%0.0%3.5%3.5%52.0K-1.5M-6.7K5.2579.38421960773
2016-08-18$41.57$40.0013.0%3.7%13.1%1.7%0.0%4.7%4.7%50.5K-1.6M-6.9K5.00101.73210960793
2016-08-19$41.50$40.0013.8%3.9%13.0%2.3%14.3%4.6%3.5%50.1K-1.6M-6.6K3.0095.5963189963799
2016-08-22$41.47$40.0012.2%3.5%12.9%1.2%12.1%0.1%26.3%41.6K-1.3M-7.1K0.58106.05314183914829
2016-08-23$41.45$40.0013.9%4.0%12.8%2.4%13.8%4.6%12.6%55.8K-1.7M-8.5K0.57102.853211831,010829
2016-08-24$41.47$40.0014.4%4.1%12.8%2.8%0.0%5.1%-0.4%57.3K-1.6M-8.4K0.00100.44031,007829
2016-08-25$41.74$40.0014.1%4.0%13.0%2.5%14.1%7.7%-0.6%63.3K-1.7M-8.1K0.4998.133401651,010832
2016-08-26$41.48$40.0018.4%5.3%13.1%5.5%18.5%6.9%7.9%61.0K-1.7M-8.5K0.49107.873401651,010829
2016-08-29$41.75$40.0011.8%3.4%9.8%0.9%11.9%0.9%4.0%59.5K-1.9M-7.7K0.5492.043401851,010829
2016-08-30$41.78$40.0017.5%5.0%9.3%4.9%18.3%-1.4%-9.8%53.8K-1.9M-8.3K0.54109.813401851,007838
2016-08-31$41.84$40.0015.7%4.5%9.2%3.7%16.2%1.2%9.8%56.3K-1.8M-8.0K0.54110.773401851,007838