L Options History — October 2018

In October 2018, L traded between $45.04 and $50.91. ATM implied volatility averaged 23.2%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.2% (HV 20d: 19.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 2.29.

Notable Days

  • 2018-10-19: Highest Volume — 570 contracts
  • 2018-10-12: Largest IV spike — 48.1% change
  • 2018-10-29: Highest IV Rank — 100.0%
  • 2018-10-29: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.75$45.04$50.91$50.10$46.80
Max Pain$49.35$45.00$50.00$50.00$45.00
ATM IV23.2%14.2%31.8%14.5%30.9%
Expected Move6.7%4.1%9.1%4.2%8.9%
HV 20d19.0%13.4%24.7%13.6%24.7%
HV 60d14.9%12.1%17.1%13.1%17.1%
IV Rank64.1%22.8%100.0%30.4%96.0%
IV Percentile77.7%27.0%100.0%31.7%98.8%
Term Structure-2.4%-6.1%2.1%1.9%-5.8%
VWIV22.3%14.5%31.9%14.6%29.5%
Skew 25d4.8%0.1%14.9%0.1%2.6%
Skew 10d9.5%-7.8%19.5%0.1%13.7%
Call IV 25d21.0%10.6%32.1%14.3%28.4%
Put IV 25d25.8%14.3%39.2%14.3%31.0%
Bid-Ask Spread %32.256.4591.956.9027.26
Gamma HHI0.440.300.530.510.36
Net GEX-73.9K-109.8K-37.2K-93.0K-41.7K
Net DEX2.7M-789.8K4.8M273.4K3.3M
Net VEX-31.4K-36.6K-26.1K-36.6K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.291.073.613.612.16
Total Volume419.13330570489408
Total OI4,167.5654,0224,3894,0334,388

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$50.10$50.0014.5%4.2%13.6%30.4%14.6%0.1%1.9%-93.0K273.4K-36.6K3.616.901063831,5062,527
2018-10-02$50.12$50.0014.6%4.2%13.6%30.8%15.2%1.2%1.7%-96.2K250.1K-36.5K2.156.451062281,5082,529
2018-10-03$50.12$50.0014.2%4.1%13.6%29.2%14.5%1.1%2.1%-100.6K335.2K-36.2K1.887.751242331,4922,530
2018-10-04$50.18$50.0014.5%4.7%13.4%30.3%16.5%7.6%-0.4%-96.3K147.6K-36.1K2.4862.411052601,5002,531
2018-10-05$49.92$50.0015.2%4.7%13.4%33.1%16.5%7.0%-0.3%-108.3K532.0K-36.3K2.3217.621142641,5032,556
2018-10-08$50.91$50.0015.4%4.8%15.0%34.0%16.6%8.5%-0.4%-77.3K-789.8K-35.2K2.8014.42932601,5152,562
2018-10-09$50.75$50.0014.9%4.8%15.0%22.8%16.8%8.4%-0.7%-77.2K-648.0K-35.0K2.7214.07942561,5152,563
2018-10-10$49.48$50.0018.9%5.4%17.6%41.7%18.9%2.9%-1.7%-109.8K1.1M-35.3K3.3471.30762541,5142,566
2018-10-11$47.60$50.0017.4%5.0%22.1%34.6%19.7%3.0%-1.6%-97.6K3.6M-33.1K3.2591.95792571,5372,585
2018-10-12$46.79$50.0025.8%7.4%21.7%74.0%21.8%2.9%-3.3%-82.3K4.5M-31.0K1.6035.481852961,5342,581
2018-10-15$47.09$50.0026.2%7.5%22.0%75.9%23.3%3.5%-3.5%-71.1K4.1M-30.2K1.3716.071992721,6422,547
2018-10-16$47.04$50.0029.4%8.4%21.7%91.0%29.2%14.9%-2.8%-46.7K3.8M-30.7K1.3189.232082721,6422,551
2018-10-17$47.22$50.0024.7%7.1%20.6%68.8%20.1%2.5%-0.6%-69.0K3.6M-30.7K1.3930.122142981,6512,543
2018-10-18$46.83$50.0026.2%7.5%20.3%75.6%23.0%3.2%-2.7%-49.9K3.9M-30.2K1.3219.452232951,6722,572
2018-10-19$47.04$50.0025.9%7.4%20.6%74.6%23.5%2.1%-2.8%-55.6K3.8M-30.1K1.0717.892762941,6772,574
2018-10-22$46.63$50.0027.5%7.9%20.0%82.0%24.2%4.3%-3.2%-37.2K3.6M-29.8K1.3328.892182901,7212,443
2018-10-23$46.28$50.0027.7%8.0%20.0%83.1%25.6%3.8%-4.2%-64.3K3.9M-26.8K3.4017.75862921,7212,421
2018-10-24$45.22$50.0029.2%8.4%20.8%90.0%28.9%3.0%-4.8%-58.6K4.5M-26.3K3.5337.46943321,7322,423
2018-10-25$45.84$50.0028.8%8.3%21.8%88.2%24.9%14.0%-4.6%-71.8K4.2M-27.9K2.9629.46942781,7502,514
2018-10-26$45.19$50.0030.0%8.6%21.6%93.6%30.0%5.0%-4.7%-65.7K4.6M-27.1K2.4423.631142781,7502,550
2018-10-29$45.04$45.0031.8%9.1%21.6%100.0%31.9%2.7%-6.1%-69.4K4.8M-26.1K2.4753.711142821,7772,550
2018-10-30$45.98$45.0030.4%8.7%23.4%93.7%28.5%6.1%-5.3%-61.3K4.5M-26.4K1.8322.521542821,8362,553
2018-10-31$46.80$45.0030.9%8.9%24.7%96.0%29.5%2.6%-5.8%-41.7K3.3M-28.9K2.1627.261292791,8352,553