L Options History — October 2019

In October 2019, L traded between $48.83 and $51.47. ATM implied volatility averaged 20.1%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.5% (HV 20d: 19.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.21.

Notable Days

  • 2019-10-28: Highest Volume — 557 contracts
  • 2019-10-28: Largest IV drop — 16.6% change
  • 2019-10-25: Highest IV Rank — 47.5%
  • 2019-10-25: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.13$48.83$51.47$50.34$48.83
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV20.1%16.6%22.4%20.2%16.7%
Expected Move5.9%4.8%6.4%5.8%4.8%
HV 20d19.6%14.3%22.9%14.3%19.0%
HV 60d19.4%17.7%20.3%17.7%19.3%
IV Rank39.4%27.3%47.5%39.8%27.8%
IV Percentile62.6%28.2%77.0%69.0%28.2%
Term Structure-0.7%-1.8%2.4%0.7%0.9%
VWIV20.1%16.8%22.8%20.2%16.8%
Skew 25d7.4%-4.0%11.8%0.3%7.9%
Skew 10d12.6%-8.4%18.8%0.3%10.5%
Call IV 25d16.6%12.3%21.3%19.4%16.8%
Put IV 25d23.9%17.3%26.1%19.7%24.7%
Bid-Ask Spread %80.0757.8792.1661.3074.14
Gamma HHI0.630.590.690.690.64
Net GEX-562.1K-769.2K-458.2K-458.2K-661.7K
Net DEX4.7M2.8M7.2M4.0M7.2M
Net VEX-31.2K-34.7K-27.7K-29.4K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.0010.1710.170.08
Total Volume108.8261557257172
Total OI4,210.9573,5184,7343,5184,734

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$50.34$50.0020.2%5.8%14.3%39.8%20.2%0.3%0.7%-458.2K4.0M-29.4K10.1761.30232347622,756
2019-10-02$48.98$50.0019.3%5.5%17.1%36.6%19.3%-4.0%2.4%-469.2K6.1M-32.4K3.7662.18833127853,063
2019-10-03$49.00$50.0018.8%6.1%16.9%35.0%21.2%6.3%-0.7%-485.8K6.3M-34.6K1.3381.50348323,321
2019-10-04$49.91$50.0016.6%5.8%18.0%27.3%20.1%9.0%0.1%-520.5K5.1M-34.7K3.6086.675188333,322
2019-10-07$49.80$50.0018.7%6.0%17.9%34.5%21.1%10.2%-0.6%-522.1K5.3M-34.0K0.0079.030198353,337
2019-10-08$48.90$50.0021.4%6.2%19.0%44.1%22.8%7.2%-0.5%-505.6K6.5M-33.7K2.2290.239208433,358
2019-10-09$49.23$50.0022.1%6.3%19.2%46.4%0.0%6.2%-1.3%-507.8K6.0M-34.0K1.8388.416118443,363
2019-10-10$49.55$50.0021.6%6.2%18.7%44.8%0.0%9.3%-0.8%-515.7K5.6M-34.3K0.0083.83108473,359
2019-10-11$50.72$50.0022.0%6.3%20.5%46.1%22.0%5.5%-1.3%-499.2K3.9M-33.0K0.0092.160508463,359
2019-10-14$50.41$50.0021.3%6.1%20.6%43.8%20.0%11.8%-1.4%-551.2K4.2M-32.1K0.0281.855418463,365
2019-10-15$51.08$50.0020.8%6.0%20.8%41.8%17.5%4.6%-1.1%-519.8K3.0M-30.7K1.0082.70448673,365
2019-10-16$50.99$50.0020.5%5.9%20.8%40.8%20.5%10.5%-1.6%-553.5K3.2M-31.4K0.5982.4317108693,367
2019-10-17$50.90$50.0020.2%5.8%20.7%39.7%20.2%10.1%-1.2%-556.7K3.3M-31.0K4.0883.1713538853,372
2019-10-18$51.07$50.0020.7%5.9%20.7%41.6%20.7%10.7%-1.4%-541.5K3.0M-30.2K9.2584.318748813,372
2019-10-21$51.47$50.0020.7%5.9%20.4%41.5%0.0%4.2%-1.4%-524.2K2.8M-28.9K0.0082.39208053,292
2019-10-22$50.90$50.0020.8%6.0%20.8%41.8%0.0%9.4%-1.2%-581.6K3.5M-29.9K0.2783.2437108123,292
2019-10-23$51.06$50.0021.6%6.2%20.6%44.7%21.6%10.8%-1.8%-565.6K3.4M-29.1K6.0082.53168193,295
2019-10-24$50.83$50.0020.4%5.9%20.6%40.6%19.9%9.0%-1.5%-611.2K3.6M-29.4K0.6382.69858203,293
2019-10-25$50.93$50.0022.4%6.4%20.6%47.5%21.8%5.0%-1.5%-568.1K3.5M-29.4K0.5257.872461298273,299
2019-10-28$49.45$50.0018.7%5.4%22.9%34.6%19.1%8.4%-0.9%-769.2K6.0M-29.3K0.7081.283282291,0753,396
2019-10-29$49.49$50.0018.4%5.3%21.1%33.5%18.6%8.7%0.3%-722.5K5.9M-29.0K0.2476.5693221,2573,341
2019-10-30$49.24$50.0018.2%5.2%18.8%32.9%18.2%8.2%0.3%-717.7K6.3M-28.4K0.1181.02161181,2873,354
2019-10-31$48.83$50.0016.7%4.8%19.0%27.8%16.8%7.9%0.9%-661.7K7.2M-27.7K0.0874.14159131,3803,354