L Options History — September 2016

In September 2016, L traded between $39.90 and $41.82. ATM implied volatility averaged 17.3%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.2% (HV 20d: 13.1%). 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 18 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-09-02: Highest Volume — 743 contracts
  • 2016-09-12: Largest IV spike — 54.7% change
  • 2016-09-13: Highest IV Rank — 16.9%
  • 2016-09-15: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.97$39.90$41.82$41.28$41.26
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.3%11.1%34.7%11.1%14.0%
Expected Move4.4%3.2%5.1%3.2%4.0%
HV 20d13.1%8.9%18.0%10.6%17.8%
HV 60d16.2%13.7%18.0%17.2%13.9%
IV Rank4.7%0.4%16.9%0.4%2.5%
IV Percentile33.6%0.4%96.8%0.4%14.3%
Term Structure2.2%-1.1%6.7%4.2%6.5%
VWIV15.1%10.9%18.4%10.9%14.0%
Skew 25d1.6%-39.8%33.8%-10.9%0.5%
Skew 10d11.8%-29.1%55.8%-13.5%21.4%
Call IV 25d20.7%10.8%53.9%26.7%15.2%
Put IV 25d22.3%12.6%53.3%15.8%15.7%
Bid-Ask Spread %100.3084.64117.16103.9497.59
Gamma HHI0.610.480.730.480.58
Net GEX185.7K45.0K340.5K45.0K282.4K
Net DEX-2.2M-2.9M-1.7M-1.9M-2.9M
Net VEX-11.6K-13.5K-7.9K-7.9K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.203.200.371.83
Total Volume444.524122743742147
Total OI2,221.2861,8452,3861,8452,189

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$41.28$40.0011.1%3.2%10.6%0.4%10.9%-10.9%4.2%45.0K-1.9M-7.9K0.37103.945402021,007838
2016-09-02$41.61$40.0012.6%3.6%9.0%1.5%11.7%-3.4%3.0%107.2K-2.4M-12.8K0.37106.205412021,504855
2016-09-06$41.53$40.0013.6%4.8%9.1%2.2%16.9%5.3%-0.1%116.3K-2.3M-12.1K0.3898.975372021,502855
2016-09-07$41.49$40.0018.3%4.8%9.0%5.5%18.4%12.1%1.7%109.6K-2.2M-11.7K0.38117.165372021,510855
2016-09-08$41.79$40.0020.1%4.3%8.9%6.7%15.0%2.9%2.5%113.9K-2.5M-12.3K0.35108.225431911,510855
2016-09-09$41.34$40.0021.5%4.8%9.4%7.7%17.4%4.9%0.6%103.2K-2.3M-12.3K0.35102.115431911,512851
2016-09-12$41.82$40.0033.3%4.4%10.0%15.9%14.9%9.9%6.7%117.4K-2.2M-11.7K0.20102.955481101,513851
2016-09-13$41.21$40.0034.7%4.9%11.2%16.9%17.1%3.7%0.7%107.6K-2.1M-11.5K0.20101.505481101,517828
2016-09-14$40.70$40.0017.5%5.0%12.0%4.9%17.5%3.0%-0.4%81.3K-1.8M-11.0K3.0698.55471441,517828
2016-09-15$40.96$40.0017.8%5.1%12.2%5.1%17.8%14.8%-1.1%100.2K-2.0M-11.0K3.20101.83491571,517850
2016-09-16$40.27$40.0016.3%4.7%13.3%4.0%16.3%-7.1%0.5%104.7K-1.7M-8.6K0.30100.045561651,523863
2016-09-19$40.36$40.0014.1%4.1%13.4%2.5%14.3%-0.1%3.2%256.3K-2.2M-10.8K0.2797.404901301,703310
2016-09-20$40.42$40.0015.4%4.4%13.4%3.4%15.4%14.6%1.4%252.2K-2.1M-13.2K0.2584.644901211,708374
2016-09-21$40.91$40.0011.6%3.3%14.2%0.8%11.9%-39.8%5.5%326.0K-2.4M-9.8K1.57115.9153831,708376
2016-09-22$41.21$40.0013.4%3.8%14.5%2.0%12.4%0.9%2.8%340.5K-2.9M-11.7K1.3097.9853691,735376
2016-09-23$40.17$40.0015.5%4.4%16.8%3.5%15.5%1.5%1.1%260.4K-2.2M-13.5K1.2199.5661741,735381
2016-09-26$39.90$40.0015.8%4.5%16.8%3.7%15.7%33.8%1.5%267.8K-1.7M-12.4K1.4894.7661901,736375
2016-09-27$40.39$40.0015.7%4.5%17.3%3.7%15.7%-20.6%0.6%285.2K-2.1M-13.1K2.28100.39611391,736391
2016-09-28$40.92$40.0013.6%3.9%18.0%2.1%11.8%8.2%4.7%276.7K-2.5M-12.7K1.9587.51641251,736438
2016-09-29$40.88$40.0017.1%4.9%18.0%4.6%16.8%0.4%1.2%246.3K-2.5M-12.3K1.4889.1864951,741438
2016-09-30$41.26$40.0014.0%4.0%17.8%2.5%14.0%0.5%6.5%282.4K-2.9M-11.8K1.8397.5952951,741448