L Options History — July 2018

In July 2018, L traded between $48.21 and $50.77. ATM implied volatility averaged 17.6%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.2% (HV 20d: 12.4%). 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 3 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2018-07-02: Highest Volume — 935 contracts
  • 2018-07-11: Largest IV spike — 13.1% change
  • 2018-07-23: Highest IV Rank — 53.4%
  • 2018-07-23: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.58$48.21$50.77$48.21$50.77
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV17.6%13.3%20.1%13.4%16.2%
Expected Move5.2%3.8%5.8%3.8%4.6%
HV 20d12.4%9.5%14.1%9.5%13.9%
HV 60d14.6%13.6%15.0%14.6%13.9%
IV Rank43.1%25.4%53.4%25.5%37.2%
IV Percentile69.5%32.9%91.3%33.3%55.6%
Term Structure-0.8%-2.5%3.8%2.7%0.3%
VWIV18.2%13.3%20.1%13.3%16.2%
Skew 25d5.4%-3.1%9.4%-3.1%3.2%
Skew 10d8.7%-3.8%15.3%-3.8%4.2%
Call IV 25d15.3%12.9%21.6%15.6%12.9%
Put IV 25d20.6%12.6%24.4%12.6%16.1%
Bid-Ask Spread %21.330.5264.8811.105.70
Gamma HHI0.870.830.920.870.83
Net GEX572.1K409.3K801.8K409.3K646.2K
Net DEX-5.4M-7.5M-3.4M-3.4M-7.5M
Net VEX-21.5K-22.8K-20.2K-20.8K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.346.500.340.93
Total Volume469.952255935935464
Total OI3,088.4762,8433,4552,8433,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$48.21$50.0013.4%3.8%9.5%25.5%13.3%-3.1%2.7%409.3K-3.4M-20.8K0.3411.107002352,450393
2018-07-03$48.30$50.0013.5%3.9%9.5%26.0%14.3%-2.3%3.8%449.1K-3.9M-22.1K0.3459.046962352,583393
2018-07-05$48.34$50.0013.3%5.4%9.5%25.4%18.8%4.8%-0.6%443.7K-3.8M-21.7K0.3410.426962352,584392
2018-07-06$48.91$50.0015.0%5.2%9.9%32.4%18.3%6.0%-0.6%515.7K-4.5M-22.6K1.2334.821942382,584392
2018-07-09$50.07$50.0016.7%5.2%13.1%39.3%18.3%7.9%-0.6%576.3K-6.2M-22.3K2.1310.921082302,585397
2018-07-10$49.91$50.0016.6%5.3%13.0%38.9%18.6%7.2%-1.2%584.0K-5.9M-22.6K2.7150.08942552,611422
2018-07-11$49.55$50.0018.8%5.4%13.1%48.0%18.8%7.1%-1.1%570.5K-5.3M-22.8K2.4610.821062612,612471
2018-07-12$49.36$50.0018.9%5.4%13.1%48.5%18.9%7.6%-1.1%559.2K-5.0M-22.4K2.4212.311082612,612483
2018-07-13$49.45$50.0018.6%5.3%13.0%47.4%18.6%7.4%-1.3%596.3K-5.1M-22.1K1.9911.261082152,617483
2018-07-16$49.83$50.0019.2%5.5%13.3%49.8%19.2%7.4%-1.4%652.3K-5.6M-21.8K2.0514.571082212,617495
2018-07-17$49.78$50.0018.7%5.4%13.3%47.5%18.7%8.9%-1.2%689.6K-5.5M-21.5K0.7910.622912292,617485
2018-07-18$50.15$50.0018.9%5.4%13.5%48.3%18.9%8.7%-1.2%801.8K-6.5M-21.9K1.4113.261622292,728495
2018-07-19$49.44$50.0018.9%5.4%14.1%48.3%18.9%6.8%-1.2%744.4K-5.0M-21.4K1.3814.881622242,685495
2018-07-20$49.65$50.0018.4%5.3%12.9%46.6%18.4%7.9%-1.0%498.3K-5.2M-21.4K1.3014.031772302,740495
2018-07-23$49.87$50.0020.1%5.8%12.7%53.4%20.1%2.0%-2.5%506.6K-5.6M-21.0K1.230.521812232,522467
2018-07-24$49.99$50.0019.5%5.6%12.7%51.0%19.5%8.9%-1.8%517.9K-5.8M-20.9K2.2813.00972212,525477
2018-07-25$49.88$50.0019.0%5.4%12.6%48.7%19.0%2.0%-1.4%521.3K-5.5M-20.5K6.5064.88342212,530488
2018-07-26$50.16$50.0019.2%5.5%12.1%49.7%19.2%9.4%-1.8%526.8K-5.9M-20.2K4.7014.05472212,536488
2018-07-27$49.81$50.0019.6%5.6%12.5%51.2%19.9%2.8%-2.0%531.1K-5.5M-20.5K0.5364.184412332,546488
2018-07-30$49.81$50.0017.4%5.0%12.6%42.3%17.5%2.3%-1.0%674.6K-6.0M-21.1K2.087.391553232,919501
2018-07-31$50.77$50.0016.2%4.6%13.9%37.2%16.2%3.2%0.3%646.2K-7.5M-20.4K0.935.702412232,902553