L Options History — November 2016

In November 2016, L traded between $41.39 and $44.80. ATM implied volatility averaged 17.9%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.9% (HV 20d: 21.8%). 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 10 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-11-02: Highest Volume — 567 contracts
  • 2016-11-09: Largest IV drop — 43.5% change
  • 2016-11-08: Highest IV Rank — 12.6%
  • 2016-11-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.46$41.39$44.80$42.35$44.71
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.9%13.2%28.6%25.3%14.3%
Expected Move4.9%3.8%7.3%7.3%4.1%
HV 20d21.8%12.8%23.8%22.1%12.8%
HV 60d17.7%17.0%18.1%17.0%17.8%
IV Rank5.2%1.9%12.6%10.3%2.7%
IV Percentile42.5%8.3%94.0%87.7%15.9%
Term Structure-0.3%-11.0%6.2%-5.1%0.5%
VWIV17.8%14.0%22.2%14.9%14.3%
Skew 25d13.9%-0.3%54.9%10.5%12.4%
Skew 10d21.8%-3.7%71.7%17.2%16.6%
Call IV 25d17.4%13.7%20.9%14.7%19.1%
Put IV 25d31.3%18.2%72.4%25.3%31.5%
Bid-Ask Spread %99.4988.88117.11103.2799.99
Gamma HHI0.770.560.910.740.91
Net GEX217.3K147.4K307.4K147.4K307.4K
Net DEX-3.8M-4.8M-2.3M-2.8M-4.4M
Net VEX-12.1K-13.8K-10.7K-13.4K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.201.250.220.49
Total Volume290.095124567534199
Total OI2,205.9052,1232,2712,1342,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$42.35$40.0025.3%7.3%22.1%10.3%14.9%10.5%-5.1%147.4K-2.8M-13.4K0.22103.27436981,572562
2016-11-02$41.92$40.0024.5%7.0%22.3%9.7%22.2%3.3%-11.0%167.1K-2.3M-12.6K0.30117.114361311,707562
2016-11-03$41.83$40.0019.9%6.0%22.3%6.6%20.9%7.0%-2.1%167.3K-2.6M-13.7K0.5196.352651361,707540
2016-11-04$41.39$40.0025.8%5.7%22.6%10.7%20.3%1.3%0.2%154.1K-2.5M-13.8K0.4293.393351411,707539
2016-11-07$41.74$40.0022.1%5.7%22.7%8.1%19.9%1.8%0.5%164.3K-2.3M-12.5K0.4593.543141411,686534
2016-11-08$42.62$40.0028.6%4.8%23.6%12.6%20.7%2.8%-0.4%184.3K-2.9M-12.8K0.5388.882641411,686534
2016-11-09$43.12$40.0016.2%4.6%23.8%4.0%20.6%2.5%0.9%204.8K-3.6M-11.4K0.7099.612081461,698534
2016-11-10$43.53$40.0013.2%3.8%23.3%1.9%16.8%8.7%3.0%209.7K-4.1M-12.0K0.6597.62120781,698539
2016-11-11$43.48$40.0013.5%3.9%23.3%2.1%21.2%10.8%2.9%212.3K-3.6M-13.4K0.66103.31118781,700544
2016-11-14$43.89$40.0016.6%4.7%23.3%4.2%18.9%5.7%0.3%218.9K-4.4M-11.6K0.5597.82140771,699544
2016-11-15$43.88$40.0017.6%5.0%23.3%4.9%19.2%5.8%-0.2%216.6K-4.3M-11.8K0.6996.81111771,701544
2016-11-16$43.61$40.0014.6%4.2%23.1%2.8%18.0%6.6%-0.1%212.6K-4.1M-11.9K0.7396.93105771,700544
2016-11-17$43.94$40.0015.6%4.5%22.7%3.5%16.6%49.0%0.6%214.8K-4.3M-11.3K0.6299.79125771,703544
2016-11-18$43.89$40.0017.4%5.0%21.8%4.8%18.0%5.1%-1.3%215.7K-4.3M-11.3K0.7096.86110771,727544
2016-11-21$44.13$40.0016.0%4.6%21.8%3.8%16.5%54.9%6.2%226.1K-4.2M-11.3K1.21103.6657691,656496
2016-11-22$44.50$40.0014.6%4.2%21.8%2.9%14.6%53.5%0.8%249.4K-4.5M-11.4K0.88102.3078691,663496
2016-11-23$44.80$40.0016.1%4.6%21.8%3.9%16.1%46.1%-1.0%252.2K-4.7M-11.6K1.2595.3155691,675496
2016-11-25$44.47$40.0013.5%3.9%22.2%2.1%14.0%1.1%-0.2%267.4K-4.8M-10.7K0.20105.67338691,676496
2016-11-28$44.36$40.0015.3%4.4%22.3%3.4%15.6%2.9%-0.3%281.9K-4.2M-11.8K0.35100.43198691,628496
2016-11-29$44.41$40.0015.3%4.4%14.6%3.3%15.4%-0.3%-0.3%288.4K-4.2M-11.7K0.36100.58191691,628496
2016-11-30$44.71$40.0014.3%4.1%12.8%2.7%14.3%12.4%0.5%307.4K-4.4M-12.0K0.4999.99134651,632491