L Options History — March 2018

In March 2018, L traded between $48.68 and $51.72. ATM implied volatility averaged 17.3%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.1% (HV 20d: 21.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2018-03-22: Highest Volume — 2,329 contracts
  • 2018-03-19: Largest IV spike — 13.6% change
  • 2018-03-27: Highest IV Rank — 43.4%
  • 2018-03-27: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.51$48.68$51.72$48.68$49.79
Max Pain$51.67$50.00$55.00$50.00$55.00
ATM IV17.3%14.8%19.3%19.1%18.3%
Expected Move5.0%4.3%5.5%5.5%5.3%
HV 20d21.5%16.8%30.7%28.7%21.6%
HV 60d20.3%19.0%22.1%19.0%22.1%
IV Rank36.1%27.1%43.4%42.5%39.7%
IV Percentile76.0%54.8%88.1%84.5%81.7%
Term Structure0.6%-2.7%2.5%-1.0%0.7%
VWIV16.3%9.2%20.6%19.5%14.3%
Skew 25d5.9%-3.0%41.0%6.8%7.5%
Skew 10d9.3%-4.5%57.5%10.4%12.0%
Call IV 25d15.2%8.3%20.6%19.2%15.9%
Put IV 25d21.1%15.1%61.6%26.0%23.4%
Bid-Ask Spread %45.708.5789.8940.0063.42
Gamma HHI0.630.460.840.560.68
Net GEX235.4K78.0K531.5K341.8K109.1K
Net DEX-843.3K-4.3M4.4M-1.0M3.9M
Net VEX-17.2K-23.7K-15.4K-17.4K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.351.120.791.02
Total Volume1,055.6672232,3292652,231
Total OI3,720.7621,9994,1423,9634,141

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$48.68$50.0019.1%5.5%28.7%42.5%19.5%6.8%-1.0%341.8K-1.0M-17.4K0.7940.001481173,228735
2018-03-02$48.88$50.0018.1%5.2%28.8%39.0%18.0%41.0%-2.7%343.0K-1.0M-16.2K0.6175.861991223,225738
2018-03-05$50.36$50.0017.8%5.1%30.7%37.8%20.6%3.6%0.4%531.5K-3.4M-18.7K0.8237.731471213,236741
2018-03-06$50.84$50.0017.5%5.1%25.2%36.6%20.4%4.0%0.4%522.9K-4.3M-18.6K0.3536.342951023,247741
2018-03-07$50.99$50.0017.4%5.1%24.4%36.5%19.2%3.6%0.2%381.2K-3.6M-17.4K0.6224.111781103,010734
2018-03-08$51.19$50.0016.4%4.9%24.4%32.8%17.3%2.7%1.1%354.4K-3.7M-16.5K1.1229.281251402,977724
2018-03-09$51.72$50.0014.8%4.6%18.5%27.1%16.3%1.7%2.0%319.2K-4.1M-17.3K0.5037.292781402,937763
2018-03-12$51.60$50.0016.3%4.8%18.6%32.6%16.6%1.9%0.5%196.9K-4.1M-16.3K1.0252.671411442,898766
2018-03-13$51.27$50.0016.1%5.1%18.5%31.8%17.7%-3.0%0.3%214.4K-3.9M-16.3K1.0160.521371392,944771
2018-03-14$50.96$50.0018.2%5.2%18.4%39.3%17.8%0.6%-0.6%306.5K-3.4M-16.1K0.4789.893031412,923770
2018-03-15$50.93$50.0017.0%4.9%17.9%35.0%16.0%5.1%0.7%194.3K-3.2M-15.4K0.568.572231262,879777
2018-03-16$51.29$50.0015.1%4.3%16.8%28.1%12.4%4.4%1.5%158.1K-3.7M-17.0K0.3765.392741012,910802
2018-03-19$51.01$50.0017.1%4.9%16.9%35.4%14.4%7.6%1.5%143.1K-1.7M-16.6K0.6247.69138851,445554
2018-03-20$51.40$50.0016.4%4.7%17.0%32.9%9.2%6.3%0.4%164.2K-1.8M-16.6K0.9426.461,1511,0851,452571
2018-03-21$51.64$55.0015.4%4.4%16.9%29.2%11.5%9.4%2.5%179.0K1.4M-23.7K0.9524.871,1471,0852,4531,571
2018-03-22$50.32$55.0017.3%5.0%19.5%36.0%15.1%2.8%1.7%120.1K3.4M-18.5K1.0776.801,1261,2032,4491,568
2018-03-23$49.12$55.0019.1%5.5%20.7%42.4%15.9%-1.6%0.7%78.0K4.3M-16.6K1.0054.781,1291,1272,4491,640
2018-03-26$50.14$55.0018.1%5.2%21.9%38.8%13.4%7.9%1.0%101.5K3.8M-17.5K0.9631.231,1701,1272,4491,648
2018-03-27$49.14$55.0019.3%5.5%22.9%43.4%18.7%5.0%1.0%84.4K4.4M-15.8K1.0547.051,0731,1272,4941,648
2018-03-28$49.50$55.0018.7%5.4%22.2%41.0%17.3%6.5%0.5%99.9K4.1M-16.2K1.0429.681,0871,1272,4901,638
2018-03-29$49.79$55.0018.3%5.3%21.6%39.7%14.3%7.5%0.7%109.1K3.9M-16.6K1.0263.421,1041,1272,5031,638