L Options History — May 2017

In May 2017, L traded between $45.76 and $47.31. ATM implied volatility averaged 15.1%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.9% (HV 20d: 13.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2017-05-01: Highest Volume — 175 contracts
  • 2017-05-09: Largest IV spike — 135.5% change
  • 2017-05-09: Highest IV Rank — 43.9%
  • 2017-05-17: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.55$45.76$47.31$47.31$47.17
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV15.1%10.3%35.2%15.9%11.3%
Expected Move4.0%2.9%4.6%4.6%3.2%
HV 20d13.3%10.2%14.2%13.7%10.2%
HV 60d11.4%10.9%12.0%11.2%11.0%
IV Rank10.2%2.1%43.9%11.5%3.8%
IV Percentile31.5%0.8%98.4%44.8%4.8%
Term Structure2.1%-4.1%12.4%12.4%2.2%
VWIV13.8%9.6%19.9%19.9%12.0%
Skew 25d3.6%-1.4%13.3%13.3%0.7%
Skew 10d8.8%-2.6%46.4%46.4%-0.1%
Call IV 25d11.2%8.6%12.3%8.6%11.1%
Put IV 25d14.8%9.6%21.9%21.9%11.7%
Bid-Ask Spread %45.518.3997.9192.508.39
Gamma HHI0.700.500.990.910.61
Net GEX38.1K7.1K63.7K63.7K40.9K
Net DEX-899.8K-1.1M-574.8K-1.0M-1.1M
Net VEX-3.2K-4.4K-2.3K-4.4K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.090.630.520.30
Total Volume118.63680175175100
Total OI887.2736601,001991690

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$47.31$45.0015.9%4.6%13.7%11.5%19.9%13.3%12.4%63.7K-1.0M-4.4K0.5292.5011560727264
2017-05-02$47.01$45.0014.1%4.0%13.9%8.5%13.0%0.7%-4.1%37.5K-1.1M-3.8K0.5981.4010160729250
2017-05-03$47.03$45.0011.3%3.2%13.6%3.7%10.2%2.1%3.4%41.9K-977.6K-3.6K0.6387.459560729250
2017-05-04$46.74$45.0019.7%4.1%13.8%17.8%14.6%5.1%3.8%33.1K-993.2K-3.8K0.2386.499522728250
2017-05-05$46.94$45.0013.4%4.4%13.7%7.4%14.0%4.0%1.9%40.5K-959.2K-3.5K0.2397.919522727255
2017-05-08$46.74$45.0014.9%4.4%13.8%9.9%13.3%5.8%2.0%36.0K-981.3K-3.4K0.2122.358919727255
2017-05-09$46.26$45.0035.2%4.1%14.1%43.9%14.4%6.6%5.3%45.5K-813.4K-3.7K0.2093.559619722258
2017-05-10$46.40$45.0014.8%4.3%14.1%9.7%14.6%2.8%1.4%32.4K-834.9K-3.2K0.1783.3611419722258
2017-05-11$46.00$45.0015.2%4.4%14.0%10.4%14.6%4.3%0.2%17.1K-677.9K-3.4K0.2314.888319726258
2017-05-12$45.76$45.0014.8%4.2%13.8%9.6%14.4%3.3%0.7%7.1K-574.8K-3.4K0.2415.187919721258
2017-05-15$46.05$45.0015.3%4.4%14.0%10.5%15.1%4.0%0.4%16.1K-708.7K-3.2K0.2013.929218721258
2017-05-16$46.32$45.0015.6%4.5%14.1%11.1%15.0%4.4%0.4%32.8K-823.2K-3.1K0.1630.369115731262
2017-05-17$45.95$45.0016.1%4.6%14.1%11.8%15.8%3.8%0.2%18.8K-702.2K-3.1K0.1816.199317733262
2017-05-18$46.22$45.0015.4%4.4%14.0%10.6%15.5%3.3%1.1%33.5K-823.2K-3.0K0.1886.099317740261
2017-05-19$45.87$45.0014.9%4.3%14.2%9.9%14.7%3.0%0.5%54.0K-747.5K-2.9K0.1715.028915736261
2017-05-22$46.37$45.0015.5%4.4%12.6%10.8%15.2%3.8%-0.6%55.0K-885.7K-2.9K0.1617.666911485175
2017-05-23$46.76$45.0014.9%4.3%12.7%9.8%15.4%5.9%-1.2%55.3K-958.9K-2.9K0.2223.9213930486177
2017-05-24$46.56$45.0012.8%3.7%12.7%6.2%11.3%4.5%4.3%48.8K-941.9K-2.7K0.0933.2513912481197
2017-05-25$46.80$45.0010.6%3.0%12.9%2.6%9.6%1.4%6.2%43.8K-1.0M-2.4K0.1342.929412482197
2017-05-26$46.84$45.0010.3%2.9%11.5%2.1%10.3%-1.1%1.5%44.7K-1.1M-2.5K0.3529.066824483197
2017-05-30$46.93$45.0010.5%3.0%10.3%2.5%10.9%-1.4%4.1%40.6K-1.1M-2.3K0.349.446823483208
2017-05-31$47.17$45.0011.3%3.2%10.2%3.8%12.0%0.7%2.2%40.9K-1.1M-2.3K0.308.397723483207