L Options History — March 2017

In March 2017, L traded between $45.97 and $47.86. ATM implied volatility averaged 17.1%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 6.6% (HV 20d: 10.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.35.

Notable Days

  • 2017-03-01: Highest Volume — 352 contracts
  • 2017-03-15: Largest IV drop — 50.6% change
  • 2017-03-14: Highest IV Rank — 15.3%
  • 2017-03-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.99$45.97$47.86$47.86$46.88
Max Pain$46.25$40.00$50.00$40.00$45.00
ATM IV17.1%12.4%31.1%17.8%15.5%
Expected Move4.0%3.3%5.1%5.1%4.4%
HV 20d10.5%8.5%11.8%9.5%8.5%
HV 60d10.7%10.2%11.6%11.2%10.7%
IV Rank5.5%2.3%15.3%6.1%4.4%
IV Percentile41.3%6.3%96.0%65.1%36.5%
Term Structure4.0%-4.7%13.6%-4.7%13.6%
VWIV14.2%8.3%45.0%19.8%45.0%
Skew 25d3.0%-23.1%10.4%6.3%-23.1%
Skew 10d8.6%-22.0%35.7%8.6%-22.0%
Call IV 25d13.9%9.5%42.0%15.6%42.0%
Put IV 25d16.8%11.9%30.8%21.9%18.8%
Bid-Ask Spread %104.8398.41126.00101.57120.18
Gamma HHI0.550.490.640.640.53
Net GEX89.0K46.5K145.5K124.5K55.8K
Net DEX-3.2M-5.3M-642.2K-4.8M-947.7K
Net VEX-5.4K-7.2K-4.3K-6.2K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.150.690.150.36
Total Volume182.9578735235299
Total OI1,322.876111,8921,791629

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$47.86$40.0017.8%5.1%9.5%6.1%19.8%6.3%-4.7%124.5K-4.8M-6.2K0.15101.57307451,329462
2017-03-02$47.28$40.0014.0%4.0%10.5%3.4%15.0%0.5%-2.9%127.6K-5.0M-6.2K0.2699.13173451,392462
2017-03-03$47.69$40.0016.1%4.6%10.8%4.9%15.5%6.5%4.3%122.8K-5.0M-6.1K0.26102.33174451,394462
2017-03-06$47.64$0.0019.9%3.3%10.5%7.5%0.0%2.6%1.2%143.7K-4.6M-7.2K0.2698.41174451,397462
2017-03-07$47.44$0.0018.5%4.4%10.6%6.5%0.0%1.8%2.7%145.5K-4.5M-7.1K0.27100.97171461,397462
2017-03-08$47.30$0.0019.8%3.8%10.6%7.4%13.9%0.7%7.6%127.5K-5.1M-5.8K0.22101.13208461,396463
2017-03-09$47.18$50.0022.3%4.1%10.6%9.2%13.7%2.5%5.9%143.4K-5.0M-6.0K0.2299.86208461,416463
2017-03-10$47.18$50.0025.0%3.6%10.6%11.0%15.0%1.2%8.7%142.9K-5.0M-5.9K0.2399.26198461,416463
2017-03-13$47.16$50.0028.5%4.0%10.4%13.5%10.3%5.3%-1.6%117.5K-5.1M-5.3K0.24102.00190461,416463
2017-03-14$47.23$50.0031.1%4.7%10.1%15.3%10.8%7.2%2.9%97.0K-5.2M-5.1K0.26104.26190491,416463
2017-03-15$47.57$50.0015.4%4.4%10.4%4.4%15.4%10.4%-0.9%106.7K-5.2M-5.4K0.26126.00190491,416466
2017-03-16$47.34$50.0015.5%4.4%10.4%4.4%8.3%4.9%0.4%74.9K-5.3M-4.7K0.24107.11207491,416466
2017-03-17$47.23$50.0012.5%3.6%10.4%2.4%10.0%1.0%3.9%55.0K-5.3M-4.9K0.33107.24193631,426466
2017-03-20$47.01$50.0013.3%3.8%10.5%2.9%9.5%5.5%13.6%52.7K-968.9K-4.9K0.6198.627143466145
2017-03-21$46.42$45.0014.4%4.1%11.3%3.7%11.6%3.0%12.1%50.3K-944.1K-5.0K0.69101.346243468145
2017-03-22$46.27$45.0012.4%3.6%11.3%2.3%11.9%2.3%6.5%51.5K-790.7K-4.8K0.69102.816243466145
2017-03-23$46.34$45.0013.7%3.9%11.1%3.2%11.2%3.9%3.6%47.9K-806.3K-4.9K0.69100.506243466145
2017-03-24$46.06$45.0013.0%3.7%11.2%2.7%12.6%1.4%4.0%48.2K-775.1K-4.9K0.40106.586225466145
2017-03-27$45.97$45.0013.3%3.8%11.1%3.0%12.6%9.7%4.8%46.5K-642.2K-4.5K0.37113.027026466147
2017-03-28$46.45$45.0013.7%3.9%11.8%3.2%12.1%5.0%1.8%56.6K-753.1K-4.3K0.37102.037026476148
2017-03-29$46.37$45.0012.8%3.7%9.2%2.6%12.6%2.4%1.9%53.5K-787.2K-4.5K0.36102.867326476148
2017-03-30$46.83$45.0013.6%3.9%9.1%3.1%12.0%7.3%2.2%56.2K-910.8K-4.7K0.36113.867326481148
2017-03-31$46.88$45.0015.5%4.4%8.5%4.4%45.0%-23.1%13.6%55.8K-947.7K-4.7K0.36120.187326481148