L Options History — May 2019

In May 2019, L traded between $50.11 and $52.60. ATM implied volatility averaged 17.6%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.4% (HV 20d: 15.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 14.77.

Notable Days

  • 2019-05-30: Highest Volume — 457 contracts
  • 2019-05-22: Largest IV spike — 43.5% change
  • 2019-05-13: Highest IV Rank — 48.7%
  • 2019-05-29: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.23$50.11$52.60$50.44$51.33
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV17.6%11.8%22.8%15.0%19.0%
Expected Move4.8%3.4%5.5%4.3%5.4%
HV 20d15.2%11.8%17.4%11.8%16.2%
HV 60d14.4%12.5%18.8%18.6%13.4%
IV Rank30.6%10.9%48.7%21.9%35.6%
IV Percentile52.6%3.6%77.4%32.1%66.3%
Term Structure0.1%-0.6%1.0%0.7%-0.5%
VWIV17.1%14.9%19.8%15.1%19.0%
Skew 25d3.6%1.1%8.6%3.4%4.2%
Skew 10d6.1%0.4%14.5%6.4%6.4%
Call IV 25d14.5%11.1%16.9%13.0%14.9%
Put IV 25d18.1%15.3%21.3%16.4%19.1%
Bid-Ask Spread %77.1954.6991.9854.6969.18
Gamma HHI0.670.450.820.650.47
Net GEX147.3K80.4K210.5K107.5K85.3K
Net DEX-2.4M-3.7M-1.3M-2.2M-1.3M
Net VEX-7.5K-11.0K-5.3K-9.1K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.770.00217.002.672.33
Total Volume141.864545720940
Total OI1,7471,2362,0772,0771,778

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$50.44$50.0015.0%4.3%11.8%21.9%15.1%3.4%0.7%107.5K-2.2M-9.1K2.6754.69571521,192885
2019-05-02$50.23$50.0015.7%4.5%11.9%24.2%15.7%3.3%-0.2%148.9K-1.8M-9.0K0.4469.71139611,188814
2019-05-03$50.80$50.0015.0%4.3%12.2%21.7%14.9%1.1%0.9%177.5K-2.8M-8.2K0.1460.76141201,208771
2019-05-06$50.75$50.0017.8%4.9%12.3%31.6%15.1%4.0%-0.0%170.4K-2.6M-8.1K3.1470.7114441,201771
2019-05-07$50.11$50.0019.7%5.2%13.4%38.1%18.2%3.8%-0.2%184.5K-2.0M-8.3K4.8283.8211531,200728
2019-05-08$50.59$50.0019.9%5.0%13.4%38.7%17.9%4.1%-0.1%191.4K-2.4M-7.9K2.5084.7716401,199733
2019-05-09$50.62$50.0018.9%5.0%13.3%35.3%19.8%3.8%0.1%192.0K-2.4M-7.8K1.7085.0230511,198741
2019-05-10$51.25$50.0016.0%4.8%13.6%25.1%0.0%3.4%0.3%185.2K-3.1M-6.7K0.1891.981121,182720
2019-05-13$50.17$50.0022.8%5.2%15.9%48.7%18.0%8.6%-0.3%210.5K-2.0M-7.2K2.0081.6422441,182720
2019-05-14$50.92$50.0020.8%4.9%16.6%41.9%17.2%3.0%0.3%197.5K-2.9M-6.4K1.4578.7444641,168712
2019-05-15$51.31$50.0016.9%4.9%16.5%28.5%16.9%1.9%-0.1%160.9K-3.4M-5.7K0.2189.6948101,174712
2019-05-16$51.85$50.0016.9%4.9%16.3%28.4%16.9%2.4%0.1%148.2K-3.7M-5.4K0.2486.8655131,187711
2019-05-17$51.85$50.0016.5%4.7%16.0%26.8%16.3%2.3%1.0%142.1K-3.6M-5.3K3.0590.88411251,159708
2019-05-20$51.86$50.0017.1%4.9%16.0%29.1%17.1%1.8%-0.1%126.5K-2.2M-6.3K0.0082.8550729507
2019-05-21$52.60$50.0011.8%3.4%16.4%10.9%15.0%1.4%-0.3%103.7K-2.7M-5.3K0.2259.469421733507
2019-05-22$52.50$50.0017.0%4.9%16.5%28.7%16.9%2.1%0.4%127.0K-2.6M-6.2K0.4268.916929801520
2019-05-23$51.84$50.0017.8%5.1%17.4%31.6%17.9%6.5%-0.4%132.8K-2.3M-6.8K0.8389.735445800545
2019-05-24$52.14$50.0016.6%4.7%17.4%27.2%16.7%2.6%0.8%135.2K-2.5M-6.6K0.8570.745950832559
2019-05-28$51.35$50.0018.1%5.2%17.3%32.7%18.1%6.7%-0.6%148.7K-2.2M-7.0K217.0072.682434840564
2019-05-29$51.23$50.0019.0%5.5%17.3%35.7%19.0%4.3%-0.6%80.4K-1.3M-11.0K40.2786.8911443840937
2019-05-30$51.28$50.0017.7%5.1%16.4%31.2%17.7%3.8%0.4%85.4K-1.4M-10.8K40.5568.4011446840938
2019-05-31$51.33$50.0019.0%5.4%16.2%35.6%19.0%4.2%-0.5%85.3K-1.3M-10.8K2.3369.181228840938