L Options History — October 2016

In October 2016, L traded between $40.82 and $43.09. ATM implied volatility averaged 17.8%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.9% (HV 20d: 15.9%). 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 12 of 21 days. Put/call ratio averaged 3.22.

Notable Days

  • 2016-10-31: Highest Volume — 446 contracts
  • 2016-10-11: Largest IV spike — 46.3% change
  • 2016-10-31: Highest IV Rank — 9.0%
  • 2016-10-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.24$40.82$43.09$40.97$43.09
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.8%11.2%23.3%17.8%23.3%
Expected Move5.3%4.7%6.7%5.1%6.7%
HV 20d15.9%12.1%21.0%17.7%21.0%
HV 60d13.9%13.4%16.5%13.6%16.5%
IV Rank5.1%0.5%9.0%5.1%9.0%
IV Percentile49.9%0.8%80.2%49.6%80.2%
Term Structure0.1%-7.0%6.3%1.3%-7.0%
VWIV18.4%15.3%23.1%17.8%23.1%
Skew 25d-0.5%-45.6%13.9%0.7%5.5%
Skew 10d16.8%-5.1%54.9%5.8%9.3%
Call IV 25d24.1%12.0%67.9%17.8%22.9%
Put IV 25d23.6%17.1%41.6%18.5%28.5%
Bid-Ask Spread %98.8618.00118.8793.1494.28
Gamma HHI0.570.500.770.570.77
Net GEX192.2K91.3K275.7K256.1K158.0K
Net DEX-2.6M-3.6M-1.0M-2.6M-2.7M
Net VEX-11.5K-12.8K-10.4K-12.1K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.285.933.060.28
Total Volume257.714142446142446
Total OI2,189.3331,8432,3912,2101,990

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$40.97$40.0017.8%5.1%17.7%5.1%17.8%0.7%1.3%256.1K-2.6M-12.1K3.0693.14351071,762448
2016-10-04$40.88$40.0016.8%4.8%17.7%4.4%16.8%3.6%1.9%275.7K-2.6M-12.0K1.9189.08561071,766440
2016-10-05$41.28$40.0016.8%4.8%18.1%4.4%16.8%-45.6%6.3%240.4K-3.0M-12.5K3.88107.71421631,766440
2016-10-06$41.18$40.0015.6%5.6%17.9%3.6%19.6%5.6%-2.8%254.2K-3.0M-12.2K3.8898.98421631,771460
2016-10-07$41.32$40.0011.2%5.5%17.5%0.5%19.3%7.0%-2.0%242.5K-3.2M-11.8K3.8818.00421631,771460
2016-10-10$41.57$40.0013.8%5.1%17.1%2.3%17.8%5.5%-0.0%221.9K-3.5M-11.2K3.8868.83421631,771460
2016-10-11$41.21$40.0020.2%5.1%16.6%6.8%17.7%-5.5%0.7%240.9K-2.8M-10.7K5.93115.80422491,771460
2016-10-12$41.43$40.0018.6%5.3%16.0%5.6%19.0%-28.4%1.5%227.6K-3.0M-12.8K4.26101.39421791,769551
2016-10-13$40.92$40.0019.5%5.6%16.5%6.3%19.5%4.7%-1.2%247.5K-2.4M-12.1K4.2691.99421791,769556
2016-10-14$41.25$40.0018.1%5.2%15.5%5.3%18.2%8.9%0.7%237.1K-3.1M-12.7K5.49106.37392141,769556
2016-10-17$41.07$40.0019.5%5.6%15.6%6.3%19.5%4.3%-1.2%247.6K-2.8M-11.7K5.0888.77391981,769596
2016-10-18$41.22$40.0019.6%5.6%15.6%6.4%19.5%5.5%-0.0%193.9K-3.1M-11.1K5.0893.52391981,769600
2016-10-19$41.84$40.0016.6%4.7%15.9%4.2%15.3%4.5%2.1%137.2K-3.6M-11.0K3.88111.39511981,769600
2016-10-20$41.42$40.0019.3%5.5%16.2%6.2%19.3%-29.6%-1.7%207.4K-3.3M-11.5K3.88115.82511981,791600
2016-10-21$40.82$40.0016.4%4.7%14.3%4.1%16.4%4.8%1.7%91.3K-3.1M-10.4K2.36116.16841981,791600
2016-10-24$40.88$40.0016.5%4.7%14.0%4.2%17.2%1.7%0.3%93.4K-1.0M-10.4K1.19118.681651971,316527
2016-10-25$40.84$40.0017.6%5.1%13.4%5.0%17.4%13.9%0.6%113.4K-1.2M-10.6K1.19118.871651971,408527
2016-10-26$40.93$40.0017.7%5.1%12.6%5.0%17.5%9.3%1.0%115.5K-1.3M-10.7K1.19108.381661971,408527
2016-10-27$40.97$40.0018.8%5.4%12.6%5.8%17.9%3.4%0.7%115.9K-1.3M-10.6K1.19114.431661971,409527
2016-10-28$41.03$40.0020.0%5.7%12.1%6.6%20.0%9.3%-1.7%118.0K-1.3M-10.6K1.80104.5754971,409527
2016-10-31$43.09$40.0023.3%6.7%21.0%9.0%23.1%5.5%-7.0%158.0K-2.7M-12.2K0.2894.28348981,429561