L Options History — June 2019 In June 2019, L traded between $52.16 and $54.53. ATM implied volatility averaged 13.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.2% (HV 20d: 14.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.60.
Notable Days 2019-06-11 : Highest Volume — 966 contracts2019-06-10 : Largest IV spike — 25.9% change2019-06-19 : Highest IV Rank — 28.6%2019-06-19 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $53.62 $52.16 $54.53 $52.16 $54.50 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 13.9% 11.6% 17.0% 16.1% 13.8% Expected Move 4.1% 3.4% 4.9% 4.6% 4.0% HV 20d 14.1% 10.8% 17.1% 16.7% 13.2% HV 60d 13.5% 13.3% 13.7% 13.4% 13.7% IV Rank 17.9% 10.0% 28.6% 25.4% 17.8% IV Percentile 16.9% 3.2% 47.6% 40.9% 13.1% Term Structure 1.6% -2.5% 5.2% 5.2% 2.7% VWIV 15.1% 11.9% 19.2% 19.2% 13.4% Skew 25d 1.7% -3.7% 6.2% 6.2% -3.7% Skew 10d 1.3% -6.8% 28.6% 28.6% -6.8% Call IV 25d 15.1% 12.5% 17.4% 12.5% 16.7% Put IV 25d 16.8% 11.7% 18.9% 18.6% 13.0% Bid-Ask Spread % 78.63 59.32 101.92 82.08 59.32 Gamma HHI 0.51 0.46 0.70 0.46 0.46 Net GEX 26.2K -58.3K 183.3K 77.9K -3.7K Net DEX -1.8M -3.3M -79.5K -1.9M -640.3K Net VEX -15.1K -19.7K -7.6K -9.9K -18.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.00 4.72 1.60 0.87 Total Volume 173.9 8 966 26 196 Total OI 2,393.8 1,773 3,069 1,778 2,165
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2019-06-03 $52.16 $50.00 16.1% 4.6% 16.7% 25.4% 19.2% 6.2% 5.2% 77.9K -1.9M -9.9K 1.60 82.08 10 16 839 939 2019-06-04 $52.81 $50.00 13.2% 3.8% 17.1% 15.4% 19.1% 3.0% -0.4% 61.3K -2.4M -8.8K 0.76 61.51 21 16 849 924 2019-06-05 $53.38 $50.00 13.4% 3.8% 16.5% 16.2% 13.8% -1.8% 1.2% 30.4K -2.8M -7.8K 0.55 65.05 56 31 853 924 2019-06-06 $53.70 $50.00 11.7% 4.1% 16.4% 10.4% 15.3% 1.5% 1.2% 20.6K -3.0M -7.6K 0.21 89.32 147 31 876 953 2019-06-07 $53.93 $50.00 11.6% 3.9% 16.3% 10.0% 11.9% -3.0% 1.5% 43.9K -3.1M -7.7K 0.12 95.67 278 32 873 953 2019-06-10 $53.99 $50.00 14.6% 4.3% 16.0% 20.4% 14.9% 2.2% 0.8% 159.4K -3.3M -8.0K 0.79 86.94 134 106 1,051 954 2019-06-11 $53.58 $50.00 11.8% 4.3% 13.9% 10.6% 15.0% 2.8% 1.0% 183.3K -3.0M -9.5K 4.72 86.70 169 797 1,162 1,052 2019-06-12 $53.34 $50.00 14.7% 4.2% 13.4% 20.9% 15.6% 3.6% 1.3% -16.9K -1.7M -18.2K 0.71 86.39 165 117 1,191 1,775 2019-06-13 $53.25 $50.00 14.6% 4.2% 13.3% 20.6% 15.6% 3.6% 1.6% -35.6K -1.6M -18.3K 0.12 86.33 165 19 1,191 1,785 2019-06-14 $53.62 $50.00 14.5% 4.2% 13.1% 20.1% 18.6% 3.7% 1.6% 23.5K -1.8M -17.9K 0.14 87.73 139 20 1,191 1,783 2019-06-17 $52.97 $50.00 12.0% 3.4% 14.0% 11.5% 14.6% 3.4% 1.9% -58.3K -1.4M -18.5K 0.00 81.64 8 0 1,190 1,783 2019-06-18 $53.32 $50.00 14.7% 4.2% 14.1% 20.8% 14.8% 3.8% 1.1% -11.1K -1.7M -17.4K 0.01 88.13 180 1 1,188 1,783 2019-06-19 $53.59 $50.00 17.0% 4.9% 13.4% 28.6% 16.9% 1.1% -2.5% 102.8K -2.3M -19.7K 0.01 101.92 313 3 1,287 1,782 2019-06-20 $53.97 $50.00 14.3% 4.1% 13.5% 19.3% 14.3% 3.4% 1.4% 127.1K -1.9M -19.7K 0.03 89.30 116 4 1,263 1,783 2019-06-21 $54.14 $50.00 13.9% 4.0% 12.4% 18.1% 13.9% -3.3% 1.9% -41.4K -1.9M -19.3K 0.19 70.48 32 6 1,263 1,784 2019-06-24 $54.09 $50.00 13.7% 3.9% 12.4% 17.4% 13.7% -3.6% 2.7% -28.6K -317.2K -19.0K 0.08 68.12 24 2 645 1,455 2019-06-25 $54.53 $50.00 14.2% 4.1% 10.8% 19.0% 14.2% 2.5% 2.8% -20.4K -735.6K -17.4K 0.33 61.76 30 10 649 1,464 2019-06-26 $53.65 $50.00 13.9% 4.0% 12.7% 18.0% 14.2% 4.0% 2.5% -49.5K -79.5K -19.3K 0.42 62.45 26 11 658 1,464 2019-06-27 $53.78 $50.00 13.6% 3.9% 12.7% 16.8% 13.9% 4.0% 3.1% -40.2K -135.9K -19.3K 0.31 61.80 36 11 687 1,465 2019-06-28 $54.50 $50.00 13.8% 4.0% 13.2% 17.8% 13.4% -3.7% 2.7% -3.7K -640.3K -18.6K 0.87 59.32 105 91 700 1,465
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