L Options History — August 2018

In August 2018, L traded between $49.40 and $51.68. ATM implied volatility averaged 14.7%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.7% (HV 20d: 13.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 6.17.

Notable Days

  • 2018-08-02: Highest Volume — 2,016 contracts
  • 2018-08-13: Largest IV spike — 33.0% change
  • 2018-08-13: Highest IV Rank — 47.8%
  • 2018-08-06: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.33$49.40$51.68$51.68$50.25
Max Pain$45.65$45.00$50.00$50.00$45.00
ATM IV14.7%13.6%18.7%15.0%13.8%
Expected Move4.2%3.9%4.6%4.3%4.0%
HV 20d13.0%9.9%15.8%14.9%9.9%
HV 60d13.6%12.0%14.7%14.3%12.1%
IV Rank31.1%26.6%47.8%32.4%27.3%
IV Percentile36.2%23.8%76.6%40.5%25.0%
Term Structure1.1%0.4%2.0%1.1%0.9%
VWIV14.4%12.2%15.8%15.0%13.9%
Skew 25d4.9%0.2%8.1%6.7%1.4%
Skew 10d7.9%0.2%13.4%7.1%2.0%
Call IV 25d12.0%9.9%16.7%10.9%12.2%
Put IV 25d17.0%13.3%18.8%17.6%13.6%
Bid-Ask Spread %11.985.2948.2748.277.50
Gamma HHI0.830.730.880.740.87
Net GEX478.3K386.4K589.0K552.2K540.7K
Net DEX-3.5M-8.7M-967.7K-8.7M-2.8M
Net VEX-37.6K-41.7K-17.5K-17.5K-37.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.170.2634.160.632.78
Total Volume783.7391632,016562386
Total OI4,676.9573,3045,3603,3364,610

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$51.68$50.0015.0%4.3%14.9%32.4%15.0%6.7%1.1%552.2K-8.7M-17.5K0.6348.273442182,788548
2018-08-02$51.09$50.0014.8%4.2%15.8%31.3%14.7%2.7%0.6%589.0K-7.8M-18.4K5.869.122941,7222,757547
2018-08-03$51.07$50.0014.8%4.2%15.4%31.4%14.8%2.3%0.8%386.4K-4.8M-41.1K5.889.412931,7222,7602,042
2018-08-06$50.96$45.0014.8%4.6%13.3%31.3%15.8%8.1%0.7%403.9K-4.7M-40.2K22.3913.00771,7242,7712,042
2018-08-07$50.84$45.0014.6%4.4%13.2%30.6%15.2%7.5%1.4%430.8K-4.6M-40.1K21.9515.03741,6242,7722,045
2018-08-08$50.78$45.0014.7%4.3%12.9%31.2%15.0%7.4%1.4%418.0K-4.3M-40.3K20.8214.64741,5412,7712,081
2018-08-09$50.33$45.0013.6%4.4%13.3%26.6%14.5%7.0%1.2%458.4K-3.5M-40.2K34.1614.76451,5372,7712,083
2018-08-10$50.15$45.0014.1%4.3%13.4%28.5%14.7%6.4%1.6%478.8K-2.9M-40.2K9.0914.171691,5362,7712,083
2018-08-13$49.80$45.0018.7%4.4%13.4%47.8%15.2%6.6%1.6%509.4K-2.2M-40.8K9.2813.531671,5502,8792,082
2018-08-14$49.93$45.0017.1%4.3%13.4%41.1%15.1%6.9%1.6%555.9K-2.5M-40.6K0.9213.382011842,8792,099
2018-08-15$49.65$45.0015.2%4.4%13.3%33.2%15.6%1.9%2.0%427.4K-1.3M-41.7K0.2615.56172453,0012,234
2018-08-16$50.18$45.0014.8%4.2%12.8%31.5%13.5%6.9%1.8%481.3K-3.3M-40.9K0.586.551791043,0172,234
2018-08-17$50.18$45.0014.8%4.3%12.7%31.6%12.2%6.1%2.0%437.5K-3.9M-40.6K0.585.811801053,0822,278
2018-08-20$50.12$45.0014.5%4.1%12.7%30.1%14.2%7.0%1.0%450.5K-2.6M-39.6K0.535.65126672,6301,975
2018-08-21$50.34$45.0014.3%4.1%12.7%29.4%13.9%5.2%0.9%464.0K-3.3M-39.2K0.7423.69107792,6341,979
2018-08-22$49.79$45.0014.5%4.2%13.3%30.4%14.2%5.8%0.5%445.9K-1.9M-39.1K0.695.29102702,6271,980
2018-08-23$49.40$45.0014.1%4.0%13.4%28.4%14.1%5.0%0.8%446.6K-967.7K-38.4K0.626.30108672,6301,983
2018-08-24$49.86$45.0014.0%4.0%13.7%28.0%13.9%5.2%0.9%493.5K-2.0M-38.6K0.846.42108912,6321,987
2018-08-27$50.21$45.0014.7%4.2%13.9%31.1%14.3%1.2%0.4%493.7K-2.7M-38.1K0.756.4793702,6312,007
2018-08-28$50.30$45.0014.0%4.0%12.0%28.2%14.0%2.5%0.8%521.6K-3.0M-37.5K0.676.121521022,6292,013
2018-08-29$50.58$45.0013.9%4.0%10.2%27.7%13.9%3.0%0.8%477.9K-3.6M-37.1K0.956.971071022,5692,028
2018-08-30$50.14$45.0013.6%3.9%9.9%26.6%13.6%0.2%1.4%536.4K-2.6M-37.4K0.967.801061022,5822,027
2018-08-31$50.25$45.0013.8%4.0%9.9%27.3%13.9%1.4%0.9%540.7K-2.8M-37.1K2.787.501022842,5832,027