L Options History — January 2018

In January 2018, L traded between $49.87 and $53.40. ATM implied volatility averaged 14.9%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.6% (HV 20d: 10.3%). 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 4 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-01-12: Highest Volume — 1,441 contracts
  • 2018-01-10: Largest IV spike — 46.7% change
  • 2018-01-31: Highest IV Rank — 51.0%
  • 2018-01-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.93$49.87$53.40$49.87$51.70
Max Pain$47.86$45.00$50.00$50.00$50.00
ATM IV14.9%10.5%21.5%12.7%21.5%
Expected Move4.5%3.6%6.2%3.6%6.2%
HV 20d10.3%8.5%13.8%8.5%13.8%
HV 60d10.4%8.9%11.2%10.0%10.2%
IV Rank26.6%11.0%51.0%18.4%51.0%
IV Percentile53.9%11.1%93.7%34.5%93.7%
Term Structure-0.8%-7.7%4.9%2.8%-7.7%
VWIV15.8%12.7%19.8%12.7%16.2%
Skew 25d2.1%-1.6%6.3%0.6%3.5%
Skew 10d2.8%-3.0%6.9%0.9%6.8%
Call IV 25d14.6%9.6%19.9%12.8%15.4%
Put IV 25d16.6%13.4%20.2%13.4%18.9%
Bid-Ask Spread %41.937.2296.0911.7880.38
Gamma HHI0.660.490.820.590.66
Net GEX482.0K163.2K996.6K163.2K668.3K
Net DEX-3.9M-7.1M-1.5M-1.5M-4.8M
Net VEX-13.4K-23.1K-8.3K-9.2K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.040.680.420.35
Total Volume289.5241211,441155318
Total OI2,349.2861,3503,8491,3503,842

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$49.87$50.0012.7%3.6%8.5%18.4%12.7%0.6%2.8%163.2K-1.5M-9.2K0.4211.78109461,025325
2018-01-03$50.46$50.0012.8%3.7%9.4%18.7%12.8%1.9%2.7%169.0K-1.8M-9.4K0.5426.0191491,025331
2018-01-04$50.71$50.0012.0%4.3%8.8%16.1%15.1%3.6%-0.1%180.5K-2.1M-9.1K0.617.2280491,036326
2018-01-05$50.64$50.0011.7%4.4%8.6%14.9%15.3%3.6%-0.5%187.5K-2.0M-9.1K0.5910.8183491,046325
2018-01-08$50.61$50.0012.5%4.6%8.7%17.6%15.9%3.8%-0.7%193.8K-2.1M-9.1K0.607.7982491,060325
2018-01-09$51.10$50.0010.5%4.5%9.1%11.0%15.5%4.9%-0.8%191.2K-2.4M-8.8K0.487.37103491,060325
2018-01-10$51.16$50.0015.4%4.4%9.0%27.4%15.4%-0.6%-0.5%185.5K-2.6M-8.6K0.6821.0574501,088325
2018-01-11$51.47$50.0016.0%4.6%9.0%29.3%15.0%6.3%-0.9%186.8K-2.7M-8.6K0.5780.1187501,086325
2018-01-12$52.69$50.0021.0%6.0%11.2%46.2%16.0%3.1%-0.1%196.7K-3.4M-8.3K0.0496.091,391501,077325
2018-01-16$52.22$50.0016.7%4.8%11.3%31.6%15.4%1.5%0.4%472.8K-4.0M-12.8K0.2427.30191462,199324
2018-01-17$52.35$45.0014.0%4.0%11.2%22.7%15.4%1.1%4.9%499.3K-4.0M-12.9K0.1947.66245462,249325
2018-01-18$52.51$45.0013.8%4.0%11.2%23.6%15.6%0.4%-0.5%596.6K-4.5M-14.1K0.1961.36248462,408325
2018-01-19$52.52$45.0013.7%3.9%10.7%23.2%15.5%1.1%-0.6%619.1K-4.7M-15.0K0.2947.22146422,572325
2018-01-22$52.80$45.0014.6%4.2%10.5%26.6%15.8%0.9%-1.5%653.8K-4.2M-14.3K0.3039.3693282,528273
2018-01-23$52.88$45.0015.0%4.3%10.6%27.9%15.5%4.5%-1.1%664.3K-5.0M-16.2K0.2068.34143282,542273
2018-01-24$53.07$45.0014.2%4.1%10.4%25.1%16.3%1.1%-2.9%787.2K-5.1M-15.5K0.3034.1293282,609273
2018-01-25$53.14$45.0014.3%4.1%10.4%25.5%17.2%0.4%-2.6%796.1K-5.1M-15.6K0.0632.53659382,639273
2018-01-26$53.40$45.0015.3%4.4%10.4%28.9%17.4%1.4%-2.8%964.9K-7.0M-20.7K0.0872.63489383,103279
2018-01-29$53.16$45.0015.3%4.4%10.8%28.9%17.9%1.6%-2.0%996.6K-7.1M-23.1K0.2345.00233533,411279
2018-01-30$52.10$50.0019.7%5.6%13.5%44.5%19.8%-1.6%-2.8%748.6K-5.3M-21.5K0.3956.44207813,552297
2018-01-31$51.70$50.0021.5%6.2%13.8%51.0%16.2%3.5%-7.7%668.3K-4.8M-20.6K0.3580.38235833,536306