L Options History — April 2018

In April 2018, L traded between $48.65 and $52.60. ATM implied volatility averaged 19.6%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.4% (HV 20d: 22.0%). 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 2 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2018-04-13: Highest Volume — 2,458 contracts
  • 2018-04-30: Largest IV drop — 32.4% change
  • 2018-04-17: Highest IV Rank — 52.5%
  • 2018-04-10: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.78$48.65$52.60$48.65$52.60
Max Pain$50.71$50.00$55.00$55.00$50.00
ATM IV19.6%12.7%21.9%21.3%12.7%
Expected Move5.7%3.6%6.4%6.1%3.6%
HV 20d22.0%16.1%24.7%23.2%16.1%
HV 60d23.2%22.5%23.6%22.5%23.3%
IV Rank44.4%19.6%52.5%50.4%19.6%
IV Percentile85.9%33.7%94.8%93.3%33.7%
Term Structure-1.5%-3.3%1.6%-1.1%-1.3%
VWIV18.5%13.8%21.9%21.4%17.0%
Skew 25d4.6%-1.6%11.2%4.2%4.0%
Skew 10d7.6%1.2%28.0%6.6%10.3%
Call IV 25d17.2%11.6%21.2%21.2%16.2%
Put IV 25d21.9%17.7%26.2%25.3%20.2%
Bid-Ask Spread %37.377.1696.5757.977.83
Gamma HHI0.620.510.840.590.84
Net GEX183.8K69.8K353.9K69.8K353.9K
Net DEX1.8M-2.6M4.7M4.7M-2.6M
Net VEX-15.2K-19.4K-13.8K-14.1K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.735.861.020.73
Total Volume1,805.3332462,4582,2391,120
Total OI3,751.5712,2054,4024,1173,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$48.65$55.0021.3%6.1%23.2%50.4%21.4%4.2%-1.1%69.8K4.7M-14.1K1.0257.971,1101,1292,4801,637
2018-04-03$49.41$55.0019.4%5.6%21.2%43.5%16.9%7.4%0.8%87.0K4.3M-14.6K1.0614.521,0701,1292,4861,644
2018-04-04$49.96$55.0018.5%5.3%21.3%40.4%17.4%0.9%1.6%102.9K4.0M-15.3K1.017.161,1191,1272,4841,644
2018-04-05$50.57$50.0019.1%5.6%21.8%42.6%19.2%3.7%-1.1%147.0K3.4M-16.3K1.0524.941,0741,1272,5381,645
2018-04-06$49.32$50.0019.8%5.8%23.4%45.1%20.8%2.4%-1.2%107.8K4.3M-14.4K1.0361.961,0991,1272,5391,645
2018-04-09$49.99$50.0019.1%5.7%23.6%42.5%20.0%2.6%-0.5%130.4K3.9M-14.9K1.0425.151,0911,1312,5391,645
2018-04-10$50.46$50.0020.0%6.4%23.9%45.7%21.9%4.1%-3.3%164.5K3.5M-14.8K0.9196.571,2461,1312,5761,640
2018-04-11$50.15$50.0019.7%5.6%23.9%44.7%19.8%3.8%-1.3%163.4K3.7M-14.9K0.9128.911,2421,1312,6461,640
2018-04-12$50.71$50.0019.7%5.6%24.2%44.5%19.6%4.1%-1.6%193.6K3.2M-14.9K0.8622.841,3221,1312,6691,640
2018-04-13$50.45$50.0020.3%5.8%24.3%47.0%20.4%4.0%-2.0%185.7K3.4M-14.7K0.8618.741,3221,1362,6821,640
2018-04-16$51.14$50.0019.7%5.7%24.7%44.7%19.5%3.3%-1.4%212.5K2.8M-14.9K1.0554.021,0821,1372,6831,640
2018-04-17$51.03$50.0021.9%6.3%24.6%52.5%18.4%11.2%-3.1%204.4K2.8M-14.5K1.0556.821,0821,1372,6831,641
2018-04-18$51.10$50.0020.9%6.0%24.5%49.0%18.7%5.6%-2.4%206.7K2.8M-14.4K1.0580.541,0771,1272,6831,641
2018-04-19$51.52$50.0020.3%5.8%24.6%46.6%18.6%10.2%-1.8%213.3K2.4M-14.5K0.9992.061,1331,1272,6961,646
2018-04-20$51.58$50.0019.4%5.6%22.6%43.7%18.6%1.8%-0.8%225.5K2.2M-14.5K0.9834.581,1551,1272,7561,646
2018-04-23$51.54$50.0020.0%5.7%20.6%45.7%14.2%7.7%-2.4%227.0K-2.3M-13.8K0.8511.311331131,640565
2018-04-24$51.17$50.0020.0%5.7%19.7%45.5%15.1%6.6%-1.2%204.4K-2.1M-14.1K0.8639.321331151,641566
2018-04-25$51.52$50.0020.7%5.9%18.1%48.2%13.8%9.1%-2.6%222.8K-2.3M-14.3K5.8614.04653811,641574
2018-04-26$51.83$50.0021.0%6.0%18.0%49.2%17.8%2.4%-3.0%204.4K-1.8M-17.2K1.8317.192304221,643804
2018-04-27$51.74$50.0018.8%5.4%18.0%41.4%19.7%-1.6%-1.0%231.9K-1.8M-17.9K1.0218.415055171,809844
2018-04-30$52.60$50.0012.7%3.6%16.1%19.6%17.0%4.0%-1.3%353.9K-2.6M-19.4K0.737.836464742,2811,001