L Options History — March 2019

In March 2019, L traded between $46.81 and $48.41. ATM implied volatility averaged 14.2%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.2% (HV 20d: 17.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2019-03-21: Highest Volume — 4,138 contracts
  • 2019-03-22: Largest IV spike — 136.2% change
  • 2019-03-25: Highest IV Rank — 42.0%
  • 2019-03-26: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.68$46.81$48.41$48.01$47.99
Max Pain$49.75$45.00$50.00$50.00$45.00
ATM IV14.2%8.7%20.8%15.4%9.4%
Expected Move4.8%3.2%6.0%4.4%4.4%
HV 20d17.4%10.7%28.3%27.7%11.5%
HV 60d20.7%18.7%22.4%22.4%18.7%
IV Rank14.8%0.0%42.0%10.7%2.6%
IV Percentile21.4%0.0%75.0%30.2%0.8%
Term Structure2.0%-2.0%8.0%-1.8%8.0%
VWIV16.2%13.9%19.6%14.0%13.9%
Skew 25d1.9%-3.7%9.2%-3.7%1.6%
Skew 10d2.0%-8.3%13.4%-4.7%3.0%
Call IV 25d14.3%9.5%17.2%16.6%9.9%
Put IV 25d16.2%9.8%20.2%12.9%11.5%
Bid-Ask Spread %78.5747.61108.4061.62102.17
Gamma HHI0.560.320.720.680.65
Net GEX32.2K-290.9K103.0K-290.9K95.6K
Net DEX5.9M-924.2K8.2M6.2M8.2M
Net VEX-11.5K-23.1K-7.5K-13.7K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0311.001.141.38
Total Volume542.66704,13814138
Total OI4,267.5711,1645,2614,5185,261

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$48.01$50.0015.4%4.4%27.7%10.7%14.0%-3.7%-1.8%-290.9K6.2M-13.7K1.1461.6266751,7962,722
2019-03-04$48.10$50.0015.1%4.3%27.7%9.6%18.9%4.1%1.4%-290.2K5.9M-13.3K0.0377.473211,7962,661
2019-03-05$47.94$50.0011.2%3.2%27.7%0.0%15.1%3.5%1.1%26.1K7.3M-8.2K0.2747.612261,8032,660
2019-03-06$47.50$50.0017.1%4.9%27.9%22.2%15.8%2.7%0.6%33.6K7.4M-8.0K0.4858.8929141,8062,658
2019-03-07$46.91$50.0014.8%4.3%28.2%13.6%14.4%3.3%-0.0%39.4K7.5M-7.6K0.9659.4727261,8142,658
2019-03-08$46.81$50.0015.2%4.4%28.2%15.0%14.0%3.5%-0.1%34.8K7.5M-7.6K0.7049.8027191,8122,659
2019-03-11$47.24$50.0020.3%5.5%28.3%34.5%16.8%2.5%0.7%52.0K7.4M-7.5K0.1580.903351,8122,659
2019-03-12$47.62$50.0012.5%4.9%17.6%4.6%0.0%3.5%2.2%30.1K7.3M-7.9K0.0082.16001,8152,663
2019-03-13$47.78$50.0012.9%4.8%14.9%6.4%16.8%2.3%1.3%5.1K7.2M-7.8K0.8279.1140331,8152,663
2019-03-14$47.89$50.0014.7%4.8%13.0%13.1%16.8%2.8%1.4%42.9K7.4M-7.8K1.3877.0432441,8112,680
2019-03-15$47.88$50.009.1%4.6%10.9%0.0%17.7%0.3%7.6%73.1K7.4M-7.5K1.1077.9760661,8152,682
2019-03-18$48.41$0.0015.0%4.8%10.8%20.9%0.0%-2.9%1.9%90.1K-847.1K-8.5K11.0091.77555734430
2019-03-19$48.01$50.0011.6%4.8%10.7%9.0%16.7%-3.0%3.0%96.7K-820.7K-8.5K0.7187.147755783410
2019-03-20$47.61$50.0014.2%4.7%11.0%17.9%15.4%2.5%-1.6%99.6K-924.2K-8.9K0.99108.402,0742,055815410
2019-03-21$47.89$50.008.7%4.7%11.1%0.0%16.5%7.9%7.9%103.0K5.2M-23.1K1.0086.492,0742,0642,8262,412
2019-03-22$47.41$50.0020.5%5.8%11.6%41.0%16.7%2.1%-2.0%86.2K6.3M-19.9K0.0386.812,074622,8262,424
2019-03-25$47.14$50.0020.8%6.0%11.4%42.0%0.0%9.2%0.2%75.5K7.0M-16.6K0.0880.931212,8262,431
2019-03-26$47.43$50.0014.1%6.0%11.4%18.6%0.0%1.6%4.3%76.8K8.0M-13.4K0.1781.421222,8242,432
2019-03-27$47.92$50.0012.4%4.8%12.0%12.8%0.0%-2.1%2.9%98.3K6.6M-17.5K1.2985.3717222,8242,431
2019-03-28$47.88$50.0013.3%4.8%12.0%15.9%19.6%-2.1%2.5%97.7K6.6M-17.3K1.2287.4418222,8292,431
2019-03-29$47.99$45.009.4%4.4%11.5%2.6%13.9%1.6%8.0%95.6K8.2M-11.7K1.38102.1716222,8302,431