L Options History — April 2019

In April 2019, L traded between $48.12 and $51.19. ATM implied volatility averaged 16.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.5% (HV 20d: 11.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2019-04-29: Highest Volume — 888 contracts
  • 2019-04-09: Largest IV spike — 191.5% change
  • 2019-04-09: Highest IV Rank — 72.8%
  • 2019-04-09: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.19$48.12$51.19$48.60$51.19
Max Pain$46.90$45.00$50.00$45.00$50.00
ATM IV16.5%8.8%29.7%12.0%15.6%
Expected Move5.1%4.5%6.6%4.7%4.5%
HV 20d11.1%9.7%12.7%12.4%10.7%
HV 60d18.2%18.0%18.8%18.8%18.3%
IV Rank27.0%0.3%72.8%11.3%23.7%
IV Percentile44.1%0.4%96.0%2.0%39.3%
Term Structure-0.4%-8.0%8.7%8.7%-0.2%
VWIV17.7%15.4%21.8%16.6%15.4%
Skew 25d3.9%-3.4%25.6%5.7%2.8%
Skew 10d3.9%-5.5%16.2%-5.5%5.6%
Call IV 25d17.8%8.2%39.9%8.2%12.8%
Put IV 25d21.6%12.0%42.9%13.9%15.6%
Bid-Ask Spread %88.9767.48110.4289.9778.56
Gamma HHI0.780.650.890.700.72
Net GEX198.0K101.7K383.1K127.7K196.7K
Net DEX3.7M-3.6M8.4M4.4M-3.6M
Net VEX-11.8K-20.6K-8.9K-20.6K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.021.500.140.13
Total Volume160.61988888340
Total OI4,177.811,5905,5775,2612,239

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$48.60$45.0012.0%4.7%12.4%11.3%16.6%5.7%8.7%127.7K4.4M-20.6K0.1489.97712,8302,431
2019-04-02$48.19$45.009.8%4.8%12.7%3.9%16.9%1.7%8.3%106.9K8.0M-11.9K0.2687.7446122,8362,430
2019-04-03$48.12$45.0019.6%4.6%12.2%37.6%17.1%25.6%1.5%101.7K6.4M-16.7K0.2199.0657122,8412,424
2019-04-04$48.48$45.009.3%4.8%11.4%2.0%16.9%3.5%-0.3%126.9K7.6M-12.3K0.2689.3747122,8532,424
2019-04-05$48.50$45.008.8%4.9%11.3%0.3%17.0%2.9%-0.3%124.4K7.8M-11.4K0.1088.07125122,8542,424
2019-04-08$48.55$45.0010.2%4.9%11.0%5.2%0.0%4.6%-1.0%157.2K7.6M-11.8K0.8390.7712102,9342,424
2019-04-09$48.33$45.0029.7%6.6%10.9%72.8%0.0%-1.9%-8.0%152.3K4.8M-16.4K0.77110.4213102,9312,422
2019-04-10$48.68$45.0017.2%4.9%11.1%29.4%21.8%3.6%-0.7%164.3K7.4M-12.0K0.7891.0918142,9312,422
2019-04-11$49.16$45.0017.2%4.9%11.5%29.4%17.2%3.4%-0.8%215.2K5.9M-14.2K0.2090.21118242,9312,420
2019-04-12$49.18$45.0017.3%4.9%11.5%29.6%17.3%3.5%-0.9%243.1K6.7M-12.6K0.2089.57121243,0322,420
2019-04-15$49.16$45.0017.4%5.0%11.0%30.0%17.4%3.6%-0.8%239.5K7.2M-10.5K1.5088.13693,0462,420
2019-04-16$49.66$45.0017.8%5.1%10.9%31.3%17.8%4.5%-1.5%383.1K3.8M-12.8K0.0590.0617593,0512,429
2019-04-17$49.25$45.0018.3%5.3%10.9%33.3%18.3%-3.4%-1.6%252.8K7.2M-9.6K0.6597.381621063,0262,429
2019-04-18$48.90$50.0017.2%4.9%11.2%29.3%17.3%2.4%-0.8%186.3K8.4M-9.0K0.4493.582271013,0712,506
2019-04-22$49.16$50.0018.3%5.2%10.5%33.1%18.3%3.8%-1.4%189.2K-1.3M-9.5K0.0289.066611,037553
2019-04-23$49.48$50.0018.5%5.3%10.2%33.8%18.5%2.9%-1.7%222.4K-1.7M-9.9K1.1790.2118211,097554
2019-04-24$49.58$50.0018.8%5.4%10.1%34.9%18.8%2.8%-2.0%235.5K-1.8M-9.7K1.1189.6119211,100536
2019-04-25$49.80$50.0018.8%5.4%9.7%35.1%18.8%-2.8%-2.1%241.5K-2.1M-9.7K0.5281.6552271,100536
2019-04-26$50.03$50.0018.7%5.4%9.7%34.5%18.9%8.7%-2.3%239.4K-2.2M-9.5K0.9267.482242061,079546
2019-04-29$50.97$50.0016.7%4.8%11.3%27.6%16.3%3.3%-0.2%251.1K-3.6M-9.6K0.1576.417711171,333832
2019-04-30$51.19$50.0015.6%4.5%10.7%23.7%15.4%2.8%-0.2%196.7K-3.6M-8.9K0.1378.56301391,353886