L Options History — November 2018

In November 2018, L traded between $46.32 and $49.74. ATM implied volatility averaged 21.8%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 5.9% (HV 20d: 27.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.74.

Notable Days

  • 2018-11-02: Highest Volume — 4,791 contracts
  • 2018-11-05: Largest IV drop — 34.8% change
  • 2018-11-02: Highest IV Rank — 100.0%
  • 2018-11-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.21$46.32$49.74$47.04$48.02
Max Pain$44.52$40.00$45.00$45.00$45.00
ATM IV21.8%16.7%37.6%30.7%19.0%
Expected Move6.1%4.8%10.8%8.8%5.4%
HV 20d27.7%24.8%31.3%24.8%27.6%
HV 60d21.0%17.2%22.6%17.2%22.6%
IV Rank43.2%23.3%100.0%95.2%31.3%
IV Percentile80.8%53.2%100.0%98.4%71.8%
Term Structure-0.8%-10.1%0.8%-5.3%0.1%
VWIV23.6%17.5%37.7%26.7%25.2%
Skew 25d4.6%2.9%7.7%3.4%4.3%
Skew 10d9.8%2.7%17.3%2.7%7.2%
Call IV 25d20.4%17.2%33.5%27.5%19.7%
Put IV 25d25.1%22.0%41.2%30.9%24.0%
Bid-Ask Spread %31.6911.4574.4114.9074.41
Gamma HHI0.420.300.740.300.34
Net GEX-30.5K-259.5K119.4K-22.6K10.9K
Net DEX1.8M-1.1M3.6M3.0M2.6M
Net VEX-29.6K-36.8K-25.7K-29.6K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.740.8214.762.666.02
Total Volume638.0481304,791392456
Total OI6,304.2864,3058,5184,4104,450

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$47.04$45.0030.7%8.8%24.8%95.2%26.7%3.4%-5.3%-22.6K3.0M-29.6K2.6614.901072851,8552,555
2018-11-02$46.32$45.0037.6%10.8%25.2%100.0%37.7%7.7%-10.1%-29.0K3.6M-28.6K14.7634.933044,4871,8802,554
2018-11-05$48.78$45.0024.5%6.4%31.0%52.4%23.7%3.6%-1.2%-205.8K1.1M-36.8K2.7841.705291,4712,1875,999
2018-11-06$49.29$40.0022.6%5.9%31.3%45.4%21.0%4.6%0.1%-31.3K-530.9K-34.8K1.0421.881381442,1496,369
2018-11-07$49.74$40.0018.9%5.5%30.2%32.2%20.2%4.1%0.3%98.3K-1.1M-33.3K1.6812.82851432,0836,369
2018-11-08$49.28$45.0018.7%5.2%26.8%31.3%17.5%3.4%0.2%42.5K-265.9K-32.6K0.8227.901761442,0716,413
2018-11-09$49.72$45.0018.2%5.5%25.9%29.6%19.2%3.6%0.7%119.4K-242.8K-32.5K1.4313.8168971,9536,418
2018-11-12$48.86$45.0021.2%5.5%26.9%40.6%20.5%4.1%0.5%67.3K775.7K-30.9K1.9211.45611171,9426,420
2018-11-13$48.63$45.0026.0%5.6%27.0%57.7%20.8%6.4%0.4%-8.8K1.6M-30.5K2.5138.9337931,9356,432
2018-11-14$47.66$45.0017.0%4.9%28.0%25.1%21.4%5.3%-0.2%-245.5K2.7M-29.2K3.2725.36371211,9346,432
2018-11-15$48.00$45.0019.4%5.6%27.9%34.0%22.1%4.7%0.8%-259.5K2.7M-29.4K2.0329.70691401,9236,424
2018-11-16$48.55$45.0019.9%5.7%28.1%35.6%21.2%5.3%0.3%10.9K2.0M-29.2K2.4218.80621501,9256,398
2018-11-19$48.26$45.0019.5%5.6%28.0%34.3%24.4%6.2%-0.1%6.9K1.7M-28.4K3.7213.19973611,7112,594
2018-11-20$47.67$45.0020.6%5.9%28.3%38.2%25.6%4.2%-0.8%-77.6K2.9M-28.4K4.5164.89813651,7392,824
2018-11-21$47.40$45.0024.1%6.9%26.9%50.2%24.6%4.8%-0.1%-48.7K2.8M-27.6K4.5144.21813651,7342,639
2018-11-23$46.97$45.0024.3%7.0%26.9%51.2%24.3%2.9%-0.4%-73.7K3.6M-25.7K4.5665.05803651,7392,639
2018-11-26$48.06$45.0020.2%5.8%27.3%36.0%24.3%4.9%-0.2%-24.1K2.6M-27.0K1.9913.562003971,7412,639
2018-11-27$47.52$45.0016.7%4.8%27.6%23.3%23.9%3.4%-0.7%-42.7K3.1M-26.0K2.2915.141733971,7832,659
2018-11-28$48.61$45.0018.2%5.2%27.8%28.8%26.1%6.3%0.5%57.2K1.8M-27.5K5.5014.19703851,7852,653
2018-11-29$48.10$45.0019.7%5.7%27.6%34.0%24.6%4.3%-1.5%16.5K2.3M-26.8K8.0468.61514101,7902,651
2018-11-30$48.02$45.0019.0%5.4%27.6%31.3%25.2%4.3%0.1%10.9K2.6M-26.6K6.0274.41653911,7902,660