L Options History — December 2016

In December 2016, L traded between $44.92 and $47.94. ATM implied volatility averaged 17.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 7.1% (HV 20d: 10.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2016-12-16: Highest Volume — 265 contracts
  • 2016-12-09: Largest IV spike — 57.7% change
  • 2016-12-09: Highest IV Rank — 17.4%
  • 2016-12-09: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.95$44.92$47.94$44.92$46.78
Max Pain$44.52$40.00$45.00$40.00$45.00
ATM IV17.6%9.0%35.5%16.1%16.3%
Expected Move4.2%2.6%5.9%4.6%4.7%
HV 20d10.5%9.7%11.9%11.9%11.0%
HV 60d16.7%15.7%17.8%17.8%15.7%
IV Rank5.3%0.0%17.4%3.9%5.0%
IV Percentile38.0%0.0%97.6%32.5%36.5%
Term Structure2.2%-8.2%11.9%-0.4%-3.9%
VWIV14.7%12.1%18.3%16.1%13.1%
Skew 25d4.4%-4.6%13.9%5.1%-4.6%
Skew 10d10.3%0.9%36.7%7.9%4.6%
Call IV 25d12.8%9.5%18.5%18.5%15.3%
Put IV 25d17.2%10.7%27.3%23.6%10.7%
Bid-Ask Spread %105.1997.97115.71105.36105.05
Gamma HHI0.890.830.950.930.87
Net GEX195.8K120.2K398.5K311.7K141.3K
Net DEX-5.2M-6.6M-4.1M-4.8M-4.1M
Net VEX-10.4K-12.3K-8.8K-11.9K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.542.680.552.68
Total Volume196.19130265183210
Total OI1,927.2861,5242,3492,1691,542

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$44.92$40.0016.1%4.6%11.9%3.9%16.1%5.1%-0.4%311.7K-4.8M-11.9K0.55105.36118651,678491
2016-12-02$44.92$40.0012.9%3.7%11.8%1.7%12.1%0.7%3.2%380.3K-4.7M-12.0K0.57112.71115651,687491
2016-12-05$45.16$45.0019.6%4.4%10.6%6.4%15.2%3.2%1.6%310.1K-4.9M-12.3K0.70100.7993651,688491
2016-12-06$45.99$45.0015.4%4.3%11.6%3.4%14.8%13.9%2.7%398.5K-5.7M-11.1K0.90101.9772651,692491
2016-12-07$46.46$45.0018.0%4.4%10.1%5.2%14.9%6.1%2.6%275.5K-6.0M-10.4K0.54100.62121651,694491
2016-12-08$46.98$45.0022.5%4.6%10.1%8.4%14.9%4.0%4.5%215.4K-6.2M-10.6K0.59106.20111651,687491
2016-12-09$47.35$45.0035.5%5.9%10.0%17.4%18.3%9.7%0.4%200.1K-6.2M-10.7K1.09109.7678851,694492
2016-12-12$47.48$45.0032.3%4.9%9.8%15.2%15.4%2.8%2.1%179.5K-6.6M-9.3K1.13109.4868771,695512
2016-12-13$47.74$45.0032.6%3.5%9.7%15.4%12.9%4.7%1.3%164.4K-6.6M-9.7K0.7897.9773571,692514
2016-12-14$47.26$45.0015.4%4.4%10.8%3.4%15.7%2.9%-2.1%184.0K-6.3M-10.1K2.17108.07781691,705543
2016-12-15$47.47$45.0016.5%4.7%10.2%4.2%15.4%5.9%2.0%144.5K-6.3M-10.8K1.98101.04861701,699639
2016-12-16$47.49$45.0013.8%4.0%10.2%2.3%12.8%6.0%7.3%133.0K-6.4M-10.7K1.79101.99951701,709640
2016-12-19$47.41$45.0013.4%3.8%10.2%2.0%14.3%6.4%11.9%147.3K-4.4M-9.1K2.47115.71601481,229295
2016-12-20$47.65$45.0014.1%4.1%10.2%2.5%13.6%2.4%5.8%128.7K-4.2M-10.6K2.43104.56611481,249295
2016-12-21$47.94$45.009.0%2.6%10.1%0.0%16.3%8.8%4.9%142.9K-4.4M-9.6K2.34103.99611431,247296
2016-12-22$47.70$45.009.9%2.8%10.5%0.6%12.8%0.7%5.1%120.2K-4.2M-10.4K2.34105.20611431,247299
2016-12-23$47.52$45.0010.4%3.0%10.1%0.9%16.1%5.7%4.5%129.2K-4.1M-10.6K2.64106.12581531,247299
2016-12-27$47.52$45.0011.9%3.4%9.9%1.9%13.0%1.6%3.8%134.7K-4.2M-10.2K2.54106.62611551,240299
2016-12-28$47.19$45.0017.5%5.0%10.6%5.8%17.3%8.4%-3.1%135.3K-4.3M-8.8K2.50100.43621551,240301
2016-12-29$47.00$45.0017.1%4.9%10.8%5.6%13.5%-2.4%-8.2%135.5K-4.1M-10.0K2.47105.40621531,241301
2016-12-30$46.78$45.0016.3%4.7%11.0%5.0%13.1%-4.6%-3.9%141.3K-4.1M-9.8K2.68105.05571531,241301