L Options History — November 2017

In November 2017, L traded between $49.18 and $50.33. ATM implied volatility averaged 13.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.5% (HV 20d: 12.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2017-11-17: Highest Volume — 11,750 contracts
  • 2017-11-28: Largest IV drop — 25.3% change
  • 2017-11-09: Highest IV Rank — 31.4%
  • 2017-11-02: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.62$49.18$50.33$49.53$50.33
Max Pain$49.29$45.00$50.00$50.00$50.00
ATM IV13.9%10.1%16.6%16.2%12.7%
Expected Move4.1%2.9%5.3%4.7%3.6%
HV 20d12.4%7.0%13.8%13.8%7.2%
HV 60d12.8%11.4%13.3%13.3%11.4%
IV Rank22.3%9.6%31.4%30.2%18.3%
IV Percentile42.0%7.9%71.8%65.9%30.6%
Term Structure1.5%-0.4%4.3%2.6%1.0%
VWIV14.4%10.1%18.7%16.3%12.7%
Skew 25d9.8%-0.6%92.9%9.4%1.9%
Skew 10d14.6%-0.9%124.2%13.9%4.1%
Call IV 25d13.2%10.5%18.6%15.5%12.7%
Put IV 25d23.1%10.4%105.9%24.9%14.6%
Bid-Ask Spread %42.9611.9291.1591.1546.51
Gamma HHI0.970.910.990.910.97
Net GEX5.1M1.3M7.1M1.3M3.8M
Net DEX-22.1M-32.7M-8.0M-8.0M-17.5M
Net VEX-62.9K-85.6K-25.4K-25.4K-31.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.020.580.020.31
Total Volume2,090.1951911,7507,827619
Total OI12,073.0484,52016,2734,5207,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$49.53$50.0016.2%4.7%13.8%30.2%16.3%9.4%2.6%1.3M-8.0M-25.4K0.0291.157,7001274,063457
2017-11-02$49.49$45.0014.8%5.3%13.6%25.3%18.7%3.6%-0.4%2.8M-19.1M-58.6K0.0320.554,1221428,998476
2017-11-03$49.60$45.0014.3%4.9%13.6%23.6%17.1%2.9%0.9%3.7M-24.0M-74.2K0.0471.131,8366911,204581
2017-11-06$49.70$45.0013.8%4.8%13.3%21.9%16.6%6.8%0.6%4.4M-27.5M-78.4K0.1415.0587912112,314613
2017-11-07$49.45$50.0014.1%4.8%13.2%23.1%16.8%6.7%0.5%4.4M-25.4M-78.6K0.0911.929508712,726696
2017-11-08$49.56$50.0016.1%4.6%13.1%29.9%16.2%7.1%1.2%4.9M-27.3M-83.1K0.2250.9568514913,393733
2017-11-09$49.37$50.0016.6%4.8%13.2%31.4%16.6%6.6%0.8%4.8M-25.6M-82.6K0.0412.251,1354413,529844
2017-11-10$49.51$50.0015.7%4.5%13.2%28.5%15.7%6.7%1.3%5.5M-28.2M-85.6K0.1926.0057311114,176864
2017-11-13$49.89$50.0015.8%4.5%13.4%28.9%15.9%7.0%1.3%6.0M-32.0M-83.5K0.2628.6544611514,208901
2017-11-14$49.92$50.0016.1%4.6%12.8%29.7%16.1%6.6%1.0%6.4M-32.7M-82.0K0.4124.4736715214,279901
2017-11-15$49.75$50.0015.8%4.5%12.9%28.9%15.8%7.1%1.4%6.4M-30.9M-80.6K0.5843.3035620514,250954
2017-11-16$49.21$50.0016.1%4.6%13.5%29.8%16.1%5.6%1.1%5.5M-24.2M-77.4K0.1715.581,41224314,3621,006
2017-11-17$49.18$50.0012.3%3.5%13.5%17.0%12.3%5.5%3.5%6.5M-19.4M-71.9K0.0274.7211,55519515,1981,075
2017-11-20$49.37$50.0010.1%2.9%13.4%9.6%10.1%-0.1%4.3%6.5M-16.2M-54.6K0.0752.501,50310511,279737
2017-11-21$49.41$50.0011.5%3.3%13.3%14.2%11.5%-0.6%2.6%5.4M-15.6M-51.0K0.1855.2673913010,359715
2017-11-22$49.36$50.0011.8%3.4%13.1%15.5%11.9%0.4%1.2%5.2M-15.2M-48.4K0.2379.7558413410,082623
2017-11-24$49.35$50.0011.2%3.2%13.1%13.2%11.2%1.0%1.0%5.7M-14.9M-47.4K0.1844.4663811210,186542
2017-11-27$49.67$50.0013.9%4.0%12.7%22.4%12.9%92.9%1.4%6.1M-15.4M-44.2K0.0985.271,29111210,176492
2017-11-28$50.08$50.0010.4%3.0%7.0%10.6%10.4%27.2%2.5%7.1M-23.1M-45.2K0.1525.291,7892729,457492
2017-11-29$50.32$50.0012.0%3.5%7.2%16.2%12.0%1.8%1.2%5.1M-21.8M-37.0K0.1327.451,8542367,977462
2017-11-30$50.33$50.0012.7%3.6%7.2%18.3%12.7%1.9%1.0%3.8M-17.5M-31.0K0.3146.514721476,586568