L Options History — August 2019

In August 2019, L traded between $47.32 and $52.99. ATM implied volatility averaged 21.5%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.6% (HV 20d: 19.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2019-08-05: Highest Volume — 335 contracts
  • 2019-08-05: Largest IV spike — 62.2% change
  • 2019-08-12: Highest IV Rank — 67.5%
  • 2019-08-23: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.56$47.32$52.99$52.99$48.01
Max Pain$50.45$50.00$55.00$55.00$50.00
ATM IV21.5%16.9%28.2%20.4%17.5%
Expected Move5.8%4.8%7.4%5.9%5.0%
HV 20d19.8%11.4%23.8%11.4%23.8%
HV 60d16.7%14.6%18.3%14.6%17.6%
IV Rank44.2%28.2%67.5%40.6%30.5%
IV Percentile70.4%47.2%92.9%73.8%48.0%
Term Structure-0.9%-3.7%0.9%-2.9%0.9%
VWIV20.6%10.9%27.0%20.9%17.8%
Skew 25d5.8%4.1%10.1%4.9%5.6%
Skew 10d7.5%-6.7%16.7%2.6%3.5%
Call IV 25d18.8%13.9%21.6%21.1%18.2%
Put IV 25d24.6%21.9%27.4%26.0%23.8%
Bid-Ask Spread %74.0139.7094.7894.7874.57
Gamma HHI0.680.540.770.560.69
Net GEX-257.6K-332.5K-122.9K-140.0K-332.5K
Net DEX4.0M1.1M5.6M1.1M5.5M
Net VEX-21.8K-24.8K-17.6K-23.6K-21.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.003.860.122.82
Total Volume75.955433515342
Total OI3,141.2272,7563,4632,9493,112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$52.99$55.0020.4%5.9%11.4%40.6%20.9%4.9%-2.9%-140.0K1.1M-23.6K0.1294.78137169541,995
2019-08-02$52.52$55.0016.9%4.8%11.5%28.2%23.9%4.5%-3.7%-122.9K1.3M-24.3K0.7471.561351001,0491,996
2019-08-05$51.00$50.0027.4%6.1%14.7%64.5%23.6%4.4%-1.7%-199.1K2.9M-24.8K2.2882.321022331,2812,102
2019-08-06$51.41$50.0023.9%5.8%15.4%52.6%25.8%4.1%-1.1%-191.0K2.5M-24.0K2.3478.9341961,2552,089
2019-08-07$50.83$50.0025.4%6.2%15.4%57.9%26.4%6.2%-1.8%-230.2K3.1M-24.3K3.8677.8421811,2632,161
2019-08-08$51.64$50.0025.0%5.9%17.0%56.3%20.4%5.3%-0.9%-179.9K2.3M-24.0K0.5777.30741,2702,162
2019-08-09$51.19$50.0024.9%5.9%16.9%55.9%16.7%5.8%-1.6%-226.9K2.8M-23.6K1.0077.78331,2712,162
2019-08-12$50.25$50.0028.2%6.3%17.7%67.5%22.1%5.9%-2.0%-278.9K3.8M-23.2K0.5078.641261,2742,163
2019-08-13$50.44$50.0021.7%5.9%18.0%45.1%10.9%10.1%-1.5%-300.2K3.6M-22.9K0.1383.663851,2742,160
2019-08-14$48.42$50.0021.2%6.1%22.1%43.2%20.8%7.2%-0.6%-272.6K5.5M-21.2K0.4573.7222101,3002,160
2019-08-15$48.57$50.0021.2%6.1%22.2%43.2%22.2%7.4%-0.5%-297.6K5.6M-20.7K1.9278.7713251,3082,154
2019-08-16$48.91$50.0019.3%5.5%22.6%36.8%19.3%5.2%0.2%-288.2K5.1M-21.4K0.0087.242301,3112,152
2019-08-19$49.28$50.0018.6%5.3%23.0%34.1%18.6%6.6%-0.1%-306.3K3.8M-21.4K0.0485.544628141,942
2019-08-20$48.84$50.0019.3%5.5%22.9%36.6%19.3%5.1%-0.3%-298.9K4.2M-20.8K0.0086.542608271,942
2019-08-21$48.85$50.0018.4%5.3%22.2%33.4%18.4%7.0%-0.2%-304.9K4.2M-20.7K0.0062.613808471,942
2019-08-22$48.65$50.0019.5%5.6%22.0%37.4%19.5%4.7%-0.5%-296.2K4.4M-20.5K0.5039.70848591,942
2019-08-23$47.32$50.0026.0%7.4%23.2%59.8%20.3%4.8%-2.7%-248.0K5.5M-17.6K0.7066.5333238581,942
2019-08-26$47.83$50.0019.6%5.6%23.5%37.7%19.7%6.6%0.2%-276.3K5.1M-18.5K0.2971.432888631,955
2019-08-27$47.51$50.0020.0%5.7%23.4%39.0%20.0%6.1%-0.2%-263.1K5.3M-18.0K0.0053.0102448751,963
2019-08-28$47.67$50.0019.7%5.7%23.5%38.2%27.0%5.1%0.1%-297.8K5.6M-21.1K0.0062.31408752,203
2019-08-29$48.15$50.0018.6%5.3%23.8%34.1%0.0%5.0%0.5%-315.6K5.3M-21.3K3.0063.368248792,201
2019-08-30$48.01$50.0017.5%5.0%23.8%30.5%17.8%5.6%0.9%-332.5K5.5M-21.2K2.8274.5711318872,225