L Options History — June 2018

In June 2018, L traded between $48.29 and $50.41. ATM implied volatility averaged 15.2%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.7% (HV 20d: 15.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-06-28: Highest Volume — 1,148 contracts
  • 2018-06-27: Largest IV drop — 21.8% change
  • 2018-06-12: Highest IV Rank — 44.4%
  • 2018-06-25: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.38$48.29$50.41$49.11$48.38
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV15.2%12.8%17.9%14.5%13.0%
Expected Move4.3%3.7%4.8%4.2%3.7%
HV 20d15.9%10.3%17.6%17.2%10.3%
HV 60d17.8%15.4%19.0%18.9%15.4%
IV Rank33.3%23.0%44.4%30.4%23.8%
IV Percentile49.9%29.8%71.8%44.0%31.3%
Term Structure1.8%0.7%4.8%0.7%4.8%
VWIV15.0%13.0%16.4%14.6%13.0%
Skew 25d1.3%-4.1%7.1%-0.8%0.3%
Skew 10d2.5%-6.1%11.5%-1.8%-0.9%
Call IV 25d13.6%10.3%17.3%14.8%13.2%
Put IV 25d14.9%11.3%19.3%13.9%13.5%
Bid-Ask Spread %13.045.8138.908.2415.35
Gamma HHI0.730.590.930.620.85
Net GEX209.8K93.4K709.2K93.4K337.2K
Net DEX-599.7K-2.7M469.5K469.5K-2.7M
Net VEX-12.3K-16.9K-11.0K-11.2K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.212.550.870.38
Total Volume367.6671491,148263846
Total OI2,343.6191,5073,2062,8062,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$49.11$50.0014.5%4.2%17.2%30.4%14.6%-0.8%0.7%93.4K469.5K-11.2K0.878.241411221,945861
2018-06-04$49.63$50.0014.7%4.3%16.9%31.1%14.5%6.0%1.8%111.7K-52.8K-11.4K0.8914.151161031,957861
2018-06-05$49.68$50.0016.3%4.3%16.9%37.5%16.4%5.9%1.8%110.8K-79.3K-11.5K0.5113.972351211,957861
2018-06-06$49.72$50.0016.5%4.3%16.8%38.3%14.9%6.2%1.6%192.5K-531.7K-12.3K0.4814.732531212,104861
2018-06-07$50.18$50.0016.3%4.2%17.1%37.6%14.6%7.1%1.5%207.9K-1.1M-12.6K0.6714.411801212,108861
2018-06-08$50.41$50.0014.4%4.3%17.0%29.8%15.0%3.0%1.4%224.6K-1.6M-12.2K0.597.621891112,115863
2018-06-11$50.12$50.0015.9%4.1%17.1%36.1%14.1%2.1%1.9%268.4K-1.1M-11.5K0.516.362201132,112862
2018-06-12$49.78$50.0017.9%4.3%17.0%44.4%15.0%1.6%1.5%263.1K-371.6K-11.3K0.345.983311122,134869
2018-06-13$49.93$50.0014.8%4.3%17.1%31.7%14.9%6.4%1.5%462.8K-1.1M-11.8K0.2120.805641202,280872
2018-06-14$49.71$50.0015.1%4.3%17.1%32.6%14.8%-3.8%1.0%373.7K-589.3K-13.1K0.225.815311192,328878
2018-06-15$49.85$50.0014.7%4.2%17.1%31.1%14.6%1.6%1.8%709.2K-257.4K-12.3K1.2316.141291592,325877
2018-06-18$49.84$50.0015.2%4.4%17.1%33.1%15.1%1.9%1.0%129.7K-799.2K-12.5K1.136.268697999508
2018-06-19$49.68$50.0014.9%4.3%17.1%32.1%14.8%1.4%1.7%123.3K-685.8K-13.0K0.696.168861995542
2018-06-20$49.26$50.0015.1%4.3%17.3%32.6%14.8%-0.7%2.2%118.0K-409.3K-12.3K0.696.1589611,001546
2018-06-21$48.50$50.0016.0%4.6%17.4%36.5%15.4%-2.4%1.4%99.4K-112.2K-12.1K0.7638.9086651,006546
2018-06-22$48.87$50.0015.4%4.4%17.6%34.1%15.5%4.3%1.6%110.3K-259.1K-12.4K0.7314.5986631,013551
2018-06-25$48.93$50.0016.7%4.8%17.3%39.3%16.4%-2.7%2.2%107.9K-253.7K-12.2K0.6926.4599681,010554
2018-06-26$48.72$50.0016.3%4.7%11.7%37.7%15.5%-2.0%1.4%107.5K-169.0K-12.2K0.398.27173671,027565
2018-06-27$48.29$50.0012.8%3.7%10.7%23.0%14.3%-4.0%2.9%118.3K-61.4K-11.9K2.5512.07922351,117553
2018-06-28$48.30$50.0013.4%3.9%10.7%25.8%15.9%-4.1%2.5%135.6K-784.9K-11.0K0.2611.369132351,117393
2018-06-29$48.38$50.0013.0%3.7%10.3%23.8%13.0%0.3%4.8%337.2K-2.7M-16.9K0.3815.356112351,889393