L Options History — May 2018

In May 2018, L traded between $47.93 and $52.30. ATM implied volatility averaged 16.8%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.2% (HV 20d: 15.6%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-05-03: Highest Volume — 1,037 contracts
  • 2018-05-02: Largest IV spike — 18.9% change
  • 2018-05-07: Highest IV Rank — 43.6%
  • 2018-05-08: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.78$47.93$52.30$52.30$48.77
Max Pain$50.45$50.00$55.00$55.00$50.00
ATM IV16.8%14.8%19.4%14.8%15.3%
Expected Move4.7%4.2%5.1%4.2%4.4%
HV 20d15.6%14.0%18.9%15.8%17.8%
HV 60d19.5%18.3%23.2%23.2%18.8%
IV Rank37.8%27.0%43.6%27.0%33.5%
IV Percentile64.2%48.0%83.7%48.0%48.0%
Term Structure0.6%-0.7%4.7%4.4%0.3%
VWIV16.1%12.1%18.2%12.1%15.4%
Skew 25d1.9%-3.7%6.1%6.1%-0.8%
Skew 10d2.8%-4.4%8.7%8.2%-1.3%
Call IV 25d14.8%9.8%17.4%9.8%15.5%
Put IV 25d16.7%12.9%20.6%15.9%14.7%
Bid-Ask Spread %15.265.6536.1913.8610.40
Gamma HHI0.580.350.860.860.60
Net GEX158.6K40.2K280.6K280.6K85.9K
Net DEX-703.5K-2.0M1.5M-2.0M593.3K
Net VEX-14.5K-18.5K-9.4K-18.5K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.372.410.870.73
Total Volume650.8642671,0371,020289
Total OI3,026.7732,6323,2813,1822,789

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$52.30$55.0014.8%4.2%15.8%27.0%12.1%6.1%4.4%280.6K-2.0M-18.5K0.8713.865464742,1821,000
2018-05-02$51.19$55.0017.5%5.0%17.7%37.0%17.2%6.0%0.1%167.8K-809.2K-17.4K0.9212.465244812,1721,000
2018-05-03$50.33$50.0018.4%5.1%18.3%39.9%18.0%3.3%-0.3%124.9K-139.1K-16.5K0.7617.745904472,215955
2018-05-04$51.00$50.0018.7%4.9%16.4%41.0%17.5%3.4%0.1%203.8K-963.9K-17.0K0.8419.685324492,284972
2018-05-07$51.16$50.0019.4%5.0%15.8%43.6%17.8%3.6%0.0%218.4K-1.1M-16.5K1.0119.803893932,301974
2018-05-08$51.25$50.0019.0%5.1%15.5%42.0%18.2%3.7%0.2%204.7K-1.1M-17.0K1.0023.593893892,286994
2018-05-09$51.50$50.0017.3%4.9%15.3%35.9%17.3%3.0%-0.3%223.5K-1.4M-16.6K0.9029.134303892,286995
2018-05-10$51.84$50.0017.1%4.9%15.0%40.8%16.2%2.6%0.4%248.5K-1.6M-16.8K1.0313.713693792,276995
2018-05-11$51.71$50.0016.9%4.8%14.9%40.2%16.5%2.1%0.1%234.2K-1.6M-16.2K0.9918.803793762,279994
2018-05-14$51.27$50.0016.9%4.8%14.6%40.1%15.9%0.3%0.4%163.8K-1.0M-14.9K0.997.043683652,159989
2018-05-15$51.22$50.0017.2%4.9%14.5%41.2%16.1%0.3%0.9%164.7K-1.0M-14.8K1.016.693313352,172992
2018-05-16$51.28$50.0017.6%5.0%14.5%42.9%17.1%-0.2%-0.3%171.0K-1.1M-14.6K1.0015.443293302,172991
2018-05-17$51.38$50.0016.1%4.6%14.2%37.0%16.3%-0.6%1.1%169.9K-1.2M-14.1K1.0415.923163302,173991
2018-05-18$51.37$50.0017.0%4.9%14.2%40.5%16.7%-0.7%0.3%168.7K-1.1M-14.2K1.0414.503183302,176991
2018-05-21$51.34$50.0016.4%4.7%14.2%38.0%15.3%5.0%4.7%163.9K-1.1M-13.5K1.9336.191482861,757875
2018-05-22$51.29$50.0015.8%4.5%14.0%35.6%13.8%4.3%0.7%150.9K-1.0M-13.1K2.168.281342891,782875
2018-05-23$50.58$50.0016.3%4.7%14.6%37.8%15.4%2.7%-0.1%102.1K-466.3K-12.6K2.167.821342891,783878
2018-05-24$50.16$50.0015.8%4.5%14.6%35.8%15.9%2.4%0.1%75.3K-98.9K-12.3K2.415.651242991,781880
2018-05-25$49.64$50.0015.1%4.3%14.9%32.7%15.1%-0.3%0.7%52.1K441.3K-11.3K0.3714.372991111,783880
2018-05-29$47.93$50.0015.3%4.4%17.4%33.7%14.8%-3.7%-0.7%40.2K1.5M-9.4K0.4116.492651081,904881
2018-05-30$48.72$50.0015.6%4.5%18.9%34.8%15.6%-1.4%0.2%74.6K870.5K-10.6K0.638.241641031,931844
2018-05-31$48.77$50.0015.3%4.4%17.8%33.5%15.4%-0.8%0.3%85.9K593.3K-11.0K0.7310.401671221,945844