L Options History — August 2017

In August 2017, L traded between $46.59 and $49.19. ATM implied volatility averaged 10.1%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.0% (HV 20d: 9.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.34.

Notable Days

  • 2017-08-01: Highest Volume — 305 contracts
  • 2017-08-08: Largest IV spike — 71.6% change
  • 2017-08-08: Highest IV Rank — 19.1%
  • 2017-08-11: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.04$46.59$49.19$49.19$46.59
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV10.1%7.8%13.4%11.8%10.0%
Expected Move3.0%2.4%3.4%3.4%2.9%
HV 20d9.1%7.7%10.0%9.9%9.0%
HV 60d10.2%9.7%10.6%10.6%10.3%
IV Rank7.1%0.0%19.1%9.8%7.3%
IV Percentile5.3%0.0%24.6%9.5%4.8%
Term Structure2.5%-0.8%5.8%-0.3%5.8%
VWIV11.1%9.4%16.8%11.8%10.0%
Skew 25d1.3%-6.8%39.1%39.1%-0.6%
Skew 10d2.0%-23.9%49.5%49.5%-2.3%
Call IV 25d11.7%8.5%18.0%12.0%12.0%
Put IV 25d13.1%8.6%51.1%51.1%11.4%
Bid-Ask Spread %24.295.25102.5915.4329.56
Gamma HHI0.770.540.920.910.61
Net GEX110.2K14.8K239.7K219.1K15.4K
Net DEX-1.4M-2.1M-825.2K-1.9M-940.8K
Net VEX-4.7K-5.3K-3.9K-5.1K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.141.130.780.17
Total Volume184.957112305305127
Total OI1,103.6099471,2331,126947

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$49.19$45.0011.8%3.4%9.9%9.8%11.8%39.1%-0.3%219.1K-1.9M-5.1K0.7815.43171134808318
2017-08-02$49.17$45.0010.0%2.9%9.2%3.4%10.3%-0.1%0.2%239.7K-1.9M-5.1K0.9714.72138134824308
2017-08-03$48.98$45.009.9%3.2%9.0%3.0%10.8%-0.6%1.9%202.9K-1.7M-4.8K0.9311.14111103783308
2017-08-04$49.14$45.009.0%3.3%8.6%0.0%11.1%-0.4%1.8%224.9K-1.8M-5.0K1.1310.81109123791317
2017-08-07$49.00$45.007.8%3.3%8.7%0.0%11.7%6.2%1.9%197.0K-1.7M-4.8K0.268.5317145822332
2017-08-08$48.98$45.0013.4%3.2%8.3%19.1%11.5%-6.8%0.0%221.0K-2.1M-5.3K0.28102.5916246882336
2017-08-09$48.85$45.0010.9%3.1%8.2%10.7%11.2%-0.3%2.1%190.8K-1.7M-5.3K0.1828.9217631882338
2017-08-10$48.61$45.009.0%2.6%8.6%4.0%9.7%-1.3%2.5%145.9K-1.6M-5.3K0.1732.6717329890343
2017-08-11$48.32$45.0012.0%3.4%9.0%14.2%13.4%3.5%1.4%115.2K-1.5M-5.0K0.1723.5516729871339
2017-08-14$48.44$45.009.5%2.7%9.0%5.9%9.7%3.6%1.7%122.3K-1.5M-4.8K0.2022.0017134871339
2017-08-15$48.42$45.009.7%2.8%9.0%6.5%9.9%-2.3%1.0%114.9K-1.5M-4.8K0.158.0917627876340
2017-08-16$48.34$45.009.6%2.8%7.7%6.3%10.0%-1.9%2.2%128.9K-1.5M-4.7K0.1542.6417827878340
2017-08-17$47.55$45.0010.8%3.1%9.8%10.3%10.8%-4.0%0.1%58.6K-1.1M-5.0K0.1624.8916827878340
2017-08-18$47.69$45.0011.4%3.3%9.8%12.4%12.8%2.0%-0.8%60.9K-1.1M-4.9K0.1729.3716728881340
2017-08-21$47.45$45.0010.3%2.9%9.9%8.3%13.7%-3.8%5.0%61.3K-1.1M-5.1K0.1424.5314620690286
2017-08-22$47.71$45.008.2%2.4%9.6%1.4%9.4%1.2%4.5%38.3K-1.2M-3.9K0.225.259220700286
2017-08-23$47.55$45.008.7%2.5%9.3%3.0%9.9%0.7%4.2%33.6K-1.1M-4.1K0.336.029230700286
2017-08-24$47.27$45.0010.2%2.9%9.5%8.3%9.7%0.3%3.8%28.8K-1.1M-4.1K0.306.7110030700296
2017-08-25$47.54$45.008.8%2.5%9.5%3.4%10.6%1.7%4.8%31.9K-1.1M-4.1K0.3030.119930706296
2017-08-28$46.88$45.0010.1%2.9%10.0%7.7%16.8%-5.6%5.2%50.8K-825.2K-5.0K0.249.8010625700296
2017-08-29$46.64$45.0010.0%2.9%9.0%7.4%10.3%0.4%3.7%17.6K-1.0M-4.3K0.1933.3813325705265
2017-08-30$46.62$45.0011.3%3.2%9.0%11.9%11.2%-0.0%4.1%14.8K-944.3K-4.2K0.1738.0310618684265
2017-08-31$46.59$45.0010.0%2.9%9.0%7.3%10.0%-0.6%5.8%15.4K-940.8K-4.2K0.1729.5610918684263