L Options History — June 2017

In June 2017, L traded between $46.23 and $48.14. ATM implied volatility averaged 14.2%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.5% (HV 20d: 10.8%). 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 20 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2017-06-16: Highest Volume — 511 contracts
  • 2017-06-15: Largest IV drop — 52.6% change
  • 2017-06-12: Highest IV Rank — 21.9%
  • 2017-06-14: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.18$46.23$48.14$47.62$46.97
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV14.2%10.2%22.1%12.1%10.2%
Expected Move3.8%2.3%6.2%3.5%2.9%
HV 20d10.8%9.5%11.8%10.7%11.0%
HV 60d11.5%11.1%11.9%11.1%11.8%
IV Rank8.7%1.9%21.9%5.2%1.9%
IV Percentile30.6%0.8%90.1%7.9%0.8%
Term Structure2.4%-3.2%8.0%-3.2%6.4%
VWIV13.3%9.6%16.1%14.0%10.4%
Skew 25d3.0%-3.9%8.3%0.7%0.7%
Skew 10d3.8%-18.0%24.2%1.0%0.2%
Call IV 25d11.3%6.7%15.9%11.1%10.1%
Put IV 25d14.3%9.4%18.9%11.8%10.8%
Bid-Ask Spread %23.975.8192.769.0734.51
Gamma HHI0.730.560.950.770.63
Net GEX64.4K32.1K131.5K41.9K59.1K
Net DEX-1.1M-1.9M-817.9K-1.1M-907.7K
Net VEX-4.2K-6.3K-2.1K-2.4K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.080.760.290.30
Total Volume226.2277651176185
Total OI908.7736711,1366711,126

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$47.62$45.0012.1%3.5%10.7%5.2%14.0%0.7%-3.2%41.9K-1.1M-2.4K0.299.075917464207
2017-06-02$47.27$45.0012.3%3.5%10.8%5.5%13.9%-1.0%0.4%37.4K-1.1M-2.3K0.306.977322464213
2017-06-05$47.15$0.0012.5%4.4%10.8%5.8%15.2%1.9%0.7%33.1K-1.0M-2.2K0.3212.057825460225
2017-06-06$46.81$45.0012.2%4.5%11.0%5.3%15.7%7.0%0.5%33.0K-993.4K-2.1K0.3213.417825465225
2017-06-07$46.70$45.0014.2%4.3%10.4%8.7%14.9%6.0%1.3%34.0K-953.2K-2.2K0.3212.557825465225
2017-06-08$46.69$45.0013.4%4.4%10.3%7.2%15.1%6.1%1.0%32.1K-986.3K-2.1K0.3210.757825465225
2017-06-09$47.36$45.0016.5%3.8%10.9%12.5%10.5%8.3%5.5%34.4K-1.1M-2.1K0.2915.337221465224
2017-06-12$47.59$45.0022.1%2.3%10.6%21.9%15.0%6.6%6.1%35.5K-1.1M-2.1K0.3015.447121469230
2017-06-13$47.75$45.0021.7%3.0%10.5%21.3%11.1%4.2%1.8%32.6K-1.2M-2.2K0.0822.7941233469238
2017-06-14$47.66$45.0021.6%6.2%10.5%21.0%15.8%3.2%-2.3%59.1K-1.6M-4.2K0.0892.7640934650238
2017-06-15$48.03$45.0010.2%2.9%10.1%2.0%11.7%2.4%1.6%73.9K-1.8M-4.2K0.5621.93225127686241
2017-06-16$48.14$45.0010.5%3.0%10.0%2.5%12.3%2.4%1.7%84.8K-1.9M-5.3K0.3479.92380131800336
2017-06-19$48.00$45.0010.3%3.0%9.5%2.1%12.9%2.6%2.4%131.5K-1.1M-5.7K0.5920.03212125743174
2017-06-20$47.50$45.0010.7%3.1%10.0%2.8%12.7%-3.9%8.0%128.7K-1.3M-6.0K0.7636.16189144857174
2017-06-21$46.88$45.0014.6%4.2%10.8%9.3%15.0%-0.7%2.6%68.5K-821.5K-5.8K0.5820.83199116884202
2017-06-22$46.43$45.0015.3%4.4%11.3%10.5%16.1%-0.5%2.2%87.3K-878.3K-6.1K0.7130.57172122903201
2017-06-23$46.23$45.0015.9%4.6%11.2%11.5%15.6%5.2%1.5%82.8K-817.9K-6.3K0.1711.2317730914198
2017-06-26$46.63$45.0015.7%4.5%11.6%11.2%11.4%4.7%2.1%94.1K-937.6K-6.1K0.1715.1317630912195
2017-06-27$46.64$45.0016.0%4.6%11.6%11.7%11.5%4.3%1.6%95.7K-954.0K-6.0K0.2611.1916843914195
2017-06-28$47.00$45.0013.7%3.9%11.8%7.8%9.6%6.8%7.2%77.7K-966.5K-5.8K0.305.8114243914212
2017-06-29$46.88$45.0011.4%3.3%11.3%3.9%12.0%-1.3%2.9%58.4K-931.8K-5.8K0.3028.9614243914212
2017-06-30$46.97$45.0010.2%2.9%11.0%1.9%10.4%0.7%6.4%59.1K-907.7K-5.6K0.3034.5114243914212