L Options History — October 2017

In October 2017, L traded between $47.94 and $49.52. ATM implied volatility averaged 14.4%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.8% (HV 20d: 8.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2017-10-31: Highest Volume — 4,279 contracts
  • 2017-10-10: Largest IV spike — 127.4% change
  • 2017-10-10: Highest IV Rank — 53.1%
  • 2017-10-27: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.71$47.94$49.52$48.12$49.52
Max Pain$47.73$45.00$50.00$45.00$50.00
ATM IV14.4%7.2%23.1%8.7%15.6%
Expected Move4.3%2.5%4.8%2.5%4.5%
HV 20d8.6%5.5%15.7%15.7%13.8%
HV 60d12.0%11.5%13.3%11.8%13.3%
IV Rank23.6%0.0%53.1%3.1%28.2%
IV Percentile44.8%0.0%93.3%1.2%57.5%
Term Structure0.1%-4.3%8.6%8.6%1.0%
VWIV15.9%12.4%18.7%13.9%15.6%
Skew 25d3.4%-12.5%37.5%1.8%37.5%
Skew 10d3.3%-36.2%52.9%3.2%52.9%
Call IV 25d16.5%9.3%35.4%9.3%15.8%
Put IV 25d20.0%11.1%53.2%11.1%53.2%
Bid-Ask Spread %65.275.4996.535.4931.02
Gamma HHI0.660.610.750.610.75
Net GEX167.1K124.1K268.4K124.1K268.4K
Net DEX-2.0M-2.6M-1.5M-1.8M-2.6M
Net VEX-8.9K-9.7K-8.1K-9.6K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.031.590.080.03
Total Volume361.273914,2794314,279
Total OI1,437.2271,2611,6141,4261,614

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$48.12$45.008.7%2.5%15.7%3.1%13.9%1.8%8.6%124.1K-1.8M-9.6K0.085.49399321,139287
2017-10-03$48.37$45.0011.5%3.3%12.8%12.5%12.4%-1.6%2.3%150.5K-1.9M-9.7K0.3214.2199321,139287
2017-10-04$48.50$45.0011.0%3.2%12.6%11.0%15.7%-1.7%2.8%154.7K-1.9M-9.6K0.3130.18102321,138287
2017-10-05$48.88$45.0010.4%4.5%8.3%8.7%16.1%5.5%-0.0%177.7K-2.2M-9.5K0.349.35106361,154287
2017-10-06$48.88$45.007.2%4.5%6.5%0.0%15.7%5.4%0.0%170.5K-2.0M-9.7K0.3411.16103351,152291
2017-10-09$48.53$50.0010.1%4.6%5.5%9.8%16.4%2.6%-0.1%157.2K-2.0M-9.3K0.4817.4571341,181293
2017-10-10$48.92$50.0023.1%4.7%5.9%53.1%17.5%-3.8%-0.5%180.5K-2.3M-9.0K0.3891.85105401,187296
2017-10-11$48.71$50.0015.6%4.5%6.2%28.1%15.7%5.4%0.3%188.3K-2.2M-9.6K0.2958.25117341,195294
2017-10-12$48.86$50.0015.6%4.5%6.2%28.0%15.7%3.8%0.2%172.2K-2.2M-9.3K0.2991.47117341,200295
2017-10-13$48.84$50.0016.4%4.7%6.1%30.8%16.5%3.1%-1.3%190.0K-2.3M-9.2K0.2687.54130341,200295
2017-10-16$49.07$50.0015.8%4.5%6.2%28.6%16.0%5.1%-0.6%207.6K-2.3M-8.8K0.3892.1089341,200295
2017-10-17$48.62$50.0015.6%4.5%7.2%28.2%15.9%4.4%-0.6%179.6K-2.1M-8.6K0.3592.9894331,201295
2017-10-18$48.68$50.0015.4%4.4%7.2%27.5%15.7%4.7%-0.5%164.8K-2.1M-8.6K0.3992.9694371,201295
2017-10-19$48.91$50.0016.0%4.6%7.2%29.5%15.9%-0.9%0.5%175.5K-2.2M-8.6K0.4793.9880381,201295
2017-10-20$48.96$45.0016.0%4.6%7.2%29.3%16.0%-1.2%-0.5%149.9K-2.3M-8.6K0.3893.71100381,202298
2017-10-23$48.72$45.0015.9%4.5%7.5%29.0%15.9%-0.2%-1.3%148.9K-1.9M-8.2K0.3995.9577301,035226
2017-10-24$48.48$50.0015.6%4.5%7.8%28.2%16.6%4.9%0.2%145.1K-1.8M-8.1K0.4996.5361301,041228
2017-10-25$48.24$45.0013.5%3.9%8.0%20.9%15.4%4.1%-2.3%143.4K-1.6M-8.3K0.4888.5863301,043228
2017-10-26$48.38$45.0016.6%4.8%8.0%31.4%18.7%7.1%-1.4%145.0K-1.7M-8.1K0.5290.2464331,043228
2017-10-27$47.94$45.0016.9%4.8%8.7%32.3%18.2%2.3%-4.3%129.3K-1.5M-8.1K1.5967.721592531,047231
2017-10-30$49.45$50.0013.6%3.9%13.9%21.4%13.6%-12.5%0.2%153.2K-1.9M-8.4K0.4883.253641761,120455
2017-10-31$49.52$50.0015.6%4.5%13.8%28.2%15.6%37.5%1.0%268.4K-2.6M-9.4K0.0331.024,1451341,239375