L Options History — September 2019

In September 2019, L traded between $47.94 and $51.65. ATM implied volatility averaged 18.0%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.2% (HV 20d: 15.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.83.

Notable Days

2019-09-25: Highest Volume — 937 contracts
2019-09-25: Largest IV drop — 10.1% change
2019-09-24: Highest IV Rank — 38.1%
2019-09-24: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.46	$47.94	$51.65	$47.94	$51.65
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	18.0%	16.5%	19.7%	19.0%	19.3%
Expected Move	5.2%	4.9%	5.7%	5.5%	5.5%
HV 20d	15.9%	9.9%	22.5%	21.9%	9.9%
HV 60d	17.8%	16.9%	18.1%	17.6%	17.0%
IV Rank	32.3%	27.0%	38.1%	35.7%	36.8%
IV Percentile	50.3%	34.5%	65.9%	61.1%	61.1%
Term Structure	0.8%	-0.6%	1.6%	-0.2%	0.3%
VWIV	16.2%	8.2%	19.7%	19.1%	17.7%
Skew 25d	3.9%	-2.9%	8.3%	7.9%	1.6%
Skew 10d	5.9%	-7.3%	16.9%	4.1%	3.1%
Call IV 25d	16.3%	10.8%	23.1%	19.9%	17.8%
Put IV 25d	20.1%	17.3%	27.8%	27.8%	19.5%
Bid-Ask Spread %	77.79	56.70	90.51	56.70	69.48
Gamma HHI	0.67	0.51	0.80	0.66	0.66
Net GEX	-347.2K	-515.2K	-155.4K	-314.1K	-418.4K
Net DEX	2.4M	209.7K	5.6M	5.6M	2.4M
Net VEX	-22.9K	-28.3K	-21.0K	-21.0K	-28.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.83	0.00	36.48	0.58	0.00
Total Volume	114.8	2	937	30	5
Total OI	3,206.4	2,334	3,513	3,153	3,513

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
2019-09-03	$47.94	$50.00	19.0%	5.5%	21.9%	35.7%	19.1%	7.9%	-0.2%	-314.1K	5.6M	-21.0K	0.58	56.70	19	11	897	2,256
2019-09-04	$48.62	$50.00	19.5%	5.6%	22.4%	37.5%	19.5%	-2.8%	-0.6%	-364.7K	5.0M	-21.7K	0.00	59.51	32	0	896	2,267
2019-09-05	$49.02	$50.00	18.0%	5.0%	22.5%	32.3%	17.5%	3.5%	1.5%	-420.6K	4.7M	-21.3K	0.04	86.61	49	2	919	2,267
2019-09-06	$49.31	$50.00	17.1%	5.2%	21.7%	28.9%	0.0%	4.8%	1.0%	-407.4K	4.1M	-22.2K	0.13	86.12	30	4	964	2,269
2019-09-09	$49.55	$50.00	17.4%	5.1%	21.7%	30.2%	18.1%	3.9%	1.1%	-435.7K	3.8M	-22.0K	0.08	86.35	146	11	974	2,267
2019-09-10	$49.78	$50.00	16.5%	5.1%	20.9%	27.0%	17.8%	5.0%	0.9%	-477.5K	3.4M	-22.1K	0.72	85.38	50	36	967	2,278
2019-09-11	$49.81	$50.00	17.3%	4.9%	20.8%	29.6%	17.3%	-1.1%	0.9%	-515.2K	3.4M	-22.3K	0.01	87.06	154	1	985	2,314
2019-09-12	$50.45	$50.00	17.1%	4.9%	15.0%	29.0%	15.9%	6.0%	1.4%	-479.7K	2.1M	-23.1K	0.00	88.08	54	0	1,062	2,315
2019-09-13	$50.72	$50.00	17.3%	5.0%	15.0%	29.7%	0.0%	7.6%	0.9%	-483.8K	1.6M	-22.5K	6.50	83.15	18	117	1,064	2,315
2019-09-16	$50.89	$50.00	17.6%	5.0%	14.9%	30.7%	0.0%	-2.9%	0.7%	-445.8K	1.2M	-22.7K	0.00	90.51	138	0	1,069	2,421
2019-09-17	$51.44	$50.00	18.1%	5.2%	15.1%	32.5%	8.2%	8.3%	0.7%	-201.1K	209.7K	-21.9K	0.00	77.47	43	0	1,070	2,421
2019-09-18	$51.25	$50.00	18.7%	5.4%	14.7%	34.6%	0.0%	6.1%	0.0%	-259.9K	431.3K	-22.0K	0.00	89.98	2	0	1,077	2,421
2019-09-19	$51.05	$50.00	17.6%	5.1%	14.9%	30.9%	9.1%	5.7%	1.1%	-256.6K	482.4K	-21.8K	0.38	82.56	8	3	1,077	2,421
2019-09-20	$50.91	$50.00	17.8%	5.1%	14.8%	31.6%	17.8%	7.8%	1.1%	-170.1K	571.9K	-21.9K	0.86	84.95	29	25	1,082	2,424
2019-09-23	$51.58	$50.00	18.6%	5.3%	10.2%	34.2%	0.0%	7.4%	1.4%	-155.4K	897.9K	-21.0K	0.00	61.64	4	0	711	1,623
2019-09-24	$51.56	$50.00	19.7%	5.7%	10.0%	38.1%	19.7%	2.1%	0.6%	-158.1K	994.2K	-21.1K	4.45	65.13	20	89	717	1,643
2019-09-25	$51.10	$50.00	17.7%	5.1%	10.4%	31.2%	13.3%	5.5%	1.6%	-176.0K	1.3M	-22.2K	36.48	59.91	25	912	729	1,707
2019-09-26	$51.25	$50.00	17.8%	5.1%	10.4%	31.3%	17.7%	1.8%	1.5%	-411.0K	2.7M	-28.3K	0.02	77.42	93	2	754	2,608
2019-09-27	$51.36	$50.00	18.8%	5.4%	10.1%	35.0%	0.0%	-1.0%	1.0%	-392.4K	2.6M	-28.2K	26.33	77.71	6	158	756	2,608
2019-09-30	$51.65	$50.00	19.3%	5.5%	9.9%	36.8%	0.0%	1.6%	0.3%	-418.4K	2.4M	-28.3K	0.00	69.48	5	0	757	2,756