L Options History — July 2019

In July 2019, L traded between $53.69 and $56.06. ATM implied volatility averaged 16.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.5% (HV 20d: 14.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2019-07-01: Highest Volume — 388 contracts
  • 2019-07-10: Largest IV spike — 20.1% change
  • 2019-07-31: Highest IV Rank — 39.8%
  • 2019-07-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.79$53.69$56.06$55.47$53.84
Max Pain$54.77$50.00$55.00$50.00$55.00
ATM IV16.4%12.3%20.2%13.1%20.2%
Expected Move4.8%3.5%5.8%3.8%5.8%
HV 20d14.0%12.4%14.7%13.5%12.4%
HV 60d14.5%13.9%14.7%14.1%14.4%
IV Rank26.8%12.5%39.8%15.3%39.8%
IV Percentile42.8%6.0%73.4%7.9%73.4%
Term Structure-0.9%-3.3%3.5%3.5%-3.3%
VWIV16.8%12.3%20.2%13.1%20.2%
Skew 25d5.3%0.7%9.0%0.7%5.3%
Skew 10d8.2%1.1%14.5%1.1%7.1%
Call IV 25d15.0%10.5%21.0%12.5%20.3%
Put IV 25d20.3%12.7%25.6%13.2%25.6%
Bid-Ask Spread %80.5140.2694.7840.2694.78
Gamma HHI0.480.410.630.450.51
Net GEX-31.8K-161.8K51.6K15.7K-90.1K
Net DEX-763.4K-1.8M466.9K-1.2M139.1K
Net VEX-18.8K-22.3K-16.0K-16.9K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.006.001.010.04
Total Volume123.72715388388180
Total OI2,6072,2042,9402,2042,940

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$55.47$50.0013.1%3.8%13.5%15.3%13.1%0.7%3.5%15.7K-1.2M-16.9K1.0140.261931956841,520
2019-07-02$55.09$55.0012.3%3.5%13.4%12.5%12.3%0.8%3.4%-3.9K-1.0M-17.3K1.2750.16931188211,665
2019-07-03$56.06$55.0013.6%3.9%14.2%17.0%13.3%1.7%2.9%16.4K-1.8M-16.0K0.8451.6873618531,664
2019-07-05$55.66$55.0012.5%4.6%14.5%13.1%15.5%8.2%-0.5%9.3K-1.5M-16.9K0.9476.6679748361,662
2019-07-08$55.69$55.0014.2%4.9%14.5%19.0%13.0%8.7%-1.2%6.7K-1.5M-16.3K0.3981.012398411,672
2019-07-09$55.38$55.0013.9%4.9%14.7%18.0%14.7%9.0%-1.3%6.5K-1.3M-17.1K3.7183.3324898431,671
2019-07-10$55.50$55.0016.7%4.8%14.3%27.7%18.8%8.7%-1.4%9.0K-1.3M-17.3K3.0082.7725758451,712
2019-07-11$55.14$55.0016.6%4.7%14.5%27.2%17.3%6.4%-0.9%12.8K-1.0M-17.5K6.0087.5713788441,698
2019-07-12$55.28$55.0016.3%4.7%14.4%26.3%17.1%6.7%-0.8%29.2K-1.2M-16.9K1.7389.6645788431,694
2019-07-15$55.11$55.0016.8%4.8%14.4%27.9%16.8%8.2%-1.3%43.9K-1.2M-16.9K0.1482.303558731,694
2019-07-16$54.80$55.0017.0%4.9%13.8%28.6%17.0%7.5%-0.9%51.6K-1.1M-18.0K0.5883.0731188991,689
2019-07-17$54.23$55.0017.0%4.9%14.3%28.6%17.0%6.2%-1.1%-27.3K-539.4K-18.1K1.4083.1047669091,676
2019-07-18$54.35$55.0016.8%4.8%14.2%28.2%16.9%5.0%-1.2%23.1K-809.1K-18.5K2.7788.94611699081,704
2019-07-19$54.02$55.0017.0%4.9%14.2%28.7%17.0%2.6%-1.0%-89.4K-403.3K-20.3K2.9588.33581719291,853
2019-07-22$53.91$55.0017.6%5.1%14.1%30.9%17.6%4.2%-2.0%-106.7K-53.3K-21.9K0.0090.301507621,861
2019-07-23$54.08$55.0017.3%5.0%14.2%29.8%17.8%3.5%-1.4%-93.8K-176.5K-21.1K0.1188.731827731,861
2019-07-24$54.70$55.0017.2%4.9%14.5%29.3%17.3%5.2%-1.2%-66.4K-574.5K-20.5K0.1588.112747741,860
2019-07-25$54.76$55.0018.1%5.2%13.1%32.4%18.1%4.8%-1.8%-65.6K-627.3K-19.8K1.5181.7449747801,862
2019-07-26$54.84$55.0018.3%5.2%13.1%33.1%18.3%6.1%-2.0%-80.5K-548.7K-20.2K3.0482.4925768081,930
2019-07-29$53.76$55.0019.6%5.6%14.2%37.7%19.6%4.1%-3.0%-161.8K394.2K-21.5K0.0388.326328111,988
2019-07-30$53.69$55.0019.9%5.7%12.5%38.8%19.9%3.7%-3.0%-138.6K466.9K-22.2K0.0187.9517928521,990
2019-07-31$53.84$55.0020.2%5.8%12.4%39.8%20.2%5.3%-3.3%-90.1K139.1K-22.3K0.0494.7817379501,990