L Options History — September 2018

In September 2018, L traded between $49.69 and $52.17. ATM implied volatility averaged 14.6%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.5% (HV 20d: 11.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.20.

Notable Days

2018-09-11: Highest Volume — 1,730 contracts
2018-09-21: Largest IV drop — 7.8% change
2018-09-20: Highest IV Rank — 34.0%
2018-09-20: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.59	$49.69	$52.17	$50.20	$50.22
Max Pain	$49.47	$45.00	$50.00	$45.00	$50.00
ATM IV	14.6%	14.0%	15.4%	14.8%	14.0%
Expected Move	4.2%	4.0%	4.4%	4.3%	4.0%
HV 20d	11.1%	9.7%	13.6%	9.9%	13.6%
HV 60d	12.3%	11.8%	13.3%	12.0%	13.3%
IV Rank	30.6%	28.2%	34.0%	31.6%	28.2%
IV Percentile	33.6%	23.8%	48.8%	37.3%	23.8%
Term Structure	1.2%	-0.3%	2.3%	0.6%	2.3%
VWIV	14.6%	13.7%	15.3%	15.0%	14.0%
Skew 25d	4.2%	-0.5%	21.3%	-0.5%	1.6%
Skew 10d	6.7%	-0.8%	39.3%	-0.8%	2.1%
Call IV 25d	11.5%	8.3%	15.3%	15.3%	12.2%
Put IV 25d	15.7%	12.8%	34.5%	14.8%	13.8%
Bid-Ask Spread %	9.50	4.92	24.59	7.23	6.27
Gamma HHI	0.64	0.36	0.88	0.88	0.52
Net GEX	180.9K	-99.2K	563.0K	563.0K	-99.2K
Net DEX	-2.1M	-5.7M	800.8K	-2.7M	148.2K
Net VEX	-35.1K	-37.1K	-31.0K	-36.1K	-36.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.28	6.56	2.75	3.04
Total Volume	725.526	382	1,730	382	509
Total OI	4,620.789	3,819	5,166	4,807	4,012

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$50.20	$45.00	14.8%	4.3%	9.9%	31.6%	15.0%	-0.5%	0.6%	563.0K	-2.7M	-36.1K	2.75	7.23	102	280	2,581	2,226
2018-09-05	$50.31	$45.00	15.1%	4.3%	10.0%	32.8%	15.1%	2.6%	-0.3%	561.8K	-3.0M	-35.9K	0.48	7.51	601	290	2,581	2,429
2018-09-06	$49.99	$50.00	15.1%	4.2%	10.2%	32.8%	14.6%	6.9%	1.4%	257.5K	-852.3K	-33.5K	2.58	12.30	109	281	2,079	2,429
2018-09-07	$49.69	$50.00	14.1%	4.2%	9.9%	28.7%	14.7%	1.4%	1.7%	298.1K	-393.2K	-33.4K	0.49	4.92	619	303	2,089	2,431
2018-09-10	$49.91	$50.00	14.8%	4.4%	10.0%	31.3%	15.2%	7.0%	1.3%	419.4K	-1.7M	-36.6K	0.39	12.56	835	329	2,457	2,455
2018-09-11	$50.12	$50.00	14.6%	4.4%	9.8%	30.8%	15.3%	2.4%	0.6%	449.6K	-1.9M	-36.6K	0.28	20.81	1,348	382	2,421	2,501
2018-09-12	$49.98	$50.00	14.7%	4.2%	9.8%	30.9%	14.7%	1.8%	1.2%	360.3K	-1.2M	-36.9K	1.18	5.63	328	387	2,290	2,601
2018-09-13	$50.24	$50.00	14.4%	4.1%	9.7%	29.9%	14.5%	7.0%	1.0%	396.5K	-1.9M	-36.4K	1.15	16.89	330	378	2,298	2,601
2018-09-14	$50.95	$50.00	14.1%	4.1%	10.3%	28.8%	14.1%	3.1%	1.7%	264.6K	-3.4M	-34.9K	0.90	5.26	439	397	2,289	2,602
2018-09-17	$50.74	$50.00	14.5%	4.2%	10.4%	30.3%	14.5%	2.5%	0.3%	337.2K	-3.2M	-34.2K	0.95	5.94	419	397	2,303	2,622
2018-09-18	$51.07	$50.00	14.6%	4.2%	10.6%	30.8%	14.6%	4.9%	0.9%	-1.3K	-3.9M	-33.8K	1.83	5.12	217	397	2,303	2,615
2018-09-19	$51.91	$50.00	14.5%	4.1%	11.9%	30.1%	14.4%	0.2%	1.0%	-63.0K	-4.9M	-32.0K	1.63	7.31	243	396	2,300	2,615
2018-09-20	$52.17	$50.00	15.4%	4.4%	11.0%	34.0%	14.8%	5.9%	0.7%	-72.8K	-5.2M	-31.0K	0.87	6.55	453	396	2,294	2,613
2018-09-21	$51.95	$50.00	14.2%	4.1%	10.6%	29.0%	13.7%	4.9%	0.7%	-13.8K	-5.7M	-34.3K	2.07	9.36	191	395	2,553	2,613
2018-09-24	$50.97	$50.00	14.1%	4.1%	12.7%	28.7%	14.0%	3.9%	1.9%	-16.4K	-1.0M	-35.7K	4.53	8.14	75	340	1,438	2,381
2018-09-25	$50.86	$50.00	14.2%	4.1%	12.6%	29.0%	14.2%	3.7%	2.1%	-21.6K	-800.2K	-35.9K	6.47	6.52	75	485	1,450	2,396
2018-09-26	$50.15	$50.00	14.8%	4.3%	13.6%	31.6%	14.8%	21.3%	1.0%	-88.3K	223.0K	-36.9K	6.56	24.59	75	492	1,450	2,511
2018-09-27	$49.81	$50.00	14.7%	4.2%	13.6%	31.2%	14.8%	0.3%	1.6%	-94.1K	800.8K	-37.1K	3.56	7.49	108	384	1,450	2,516
2018-09-28	$50.22	$50.00	14.0%	4.0%	13.6%	28.2%	14.0%	1.6%	2.3%	-99.2K	148.2K	-36.6K	3.04	6.27	126	383	1,485	2,527