L Options History — November 2019

In November 2019, L traded between $49.75 and $51.03. ATM implied volatility averaged 16.9%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.4% (HV 20d: 16.5%). 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 15 of 20 days. Put/call ratio averaged 2.81.

Notable Days

2019-11-26: Highest Volume — 121 contracts
2019-11-13: Largest IV spike — 42.9% change
2019-11-11: Highest IV Rank — 43.6%
2019-11-05: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.53	$49.75	$51.03	$49.86	$51.00
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	16.9%	12.0%	18.5%	16.2%	17.1%
Expected Move	5.0%	4.6%	5.2%	4.6%	4.9%
HV 20d	16.5%	12.1%	19.3%	19.3%	12.1%
HV 60d	17.3%	16.1%	19.5%	19.5%	16.1%
IV Rank	35.9%	14.6%	43.6%	25.9%	37.5%
IV Percentile	35.8%	5.2%	53.6%	25.0%	37.7%
Term Structure	1.2%	-0.5%	2.8%	1.4%	-0.5%
VWIV	17.4%	13.0%	23.9%	16.2%	17.3%
Skew 25d	2.9%	-11.1%	7.5%	0.7%	-11.1%
Skew 10d	5.8%	-14.0%	12.4%	1.1%	-14.0%
Call IV 25d	17.0%	12.9%	28.3%	15.2%	28.3%
Put IV 25d	20.0%	15.9%	21.6%	15.9%	17.2%
Bid-Ask Spread %	78.15	59.36	91.18	76.98	59.36
Gamma HHI	0.66	0.55	0.93	0.69	0.58
Net GEX	-843.6K	-3.8M	-438.7K	-749.9K	-477.4K
Net DEX	2.3M	840.2K	5.0M	4.4M	975.1K
Net VEX	-22.8K	-28.6K	-17.9K	-28.6K	-17.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.81	0.00	29.00	0.04	0.41
Total Volume	53.85	0	121	75	38
Total OI	4,181.2	3,263	4,919	4,795	3,577

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
2019-11-01	$49.86	$50.00	16.2%	4.6%	19.3%	25.9%	16.2%	0.7%	1.4%	-749.9K	4.4M	-28.6K	0.04	76.98	72	3	1,448	3,347
2019-11-04	$49.75	$50.00	17.1%	5.2%	19.3%	29.1%	0.0%	7.3%	1.8%	-782.2K	5.0M	-28.2K	0.00	79.71	3	0	1,449	3,350
2019-11-05	$50.66	$50.00	17.5%	5.2%	19.1%	39.2%	17.6%	5.0%	1.5%	-739.9K	2.5M	-26.3K	0.00	84.09	45	0	1,450	3,350
2019-11-06	$50.86	$50.00	17.4%	5.0%	19.0%	39.0%	17.5%	4.3%	2.3%	-712.6K	1.8M	-25.7K	1.43	81.40	21	30	1,459	3,350
2019-11-07	$50.97	$50.00	17.3%	5.1%	19.0%	38.4%	17.2%	3.3%	2.1%	-703.3K	1.4M	-25.0K	0.01	87.78	96	1	1,458	3,347
2019-11-08	$50.95	$50.00	16.8%	5.0%	17.1%	36.1%	23.9%	4.3%	2.7%	-751.8K	1.3M	-24.6K	15.33	81.28	3	46	1,466	3,346
2019-11-11	$50.43	$50.00	18.5%	5.0%	17.4%	43.6%	17.3%	6.8%	2.2%	-1.0M	2.9M	-24.9K	0.20	86.61	20	4	1,465	3,379
2019-11-12	$50.70	$50.00	12.0%	5.0%	16.8%	14.6%	17.4%	7.5%	2.2%	-849.6K	840.2K	-22.8K	0.21	91.18	14	3	1,485	3,380
2019-11-13	$50.47	$50.00	17.1%	4.9%	16.8%	37.5%	13.0%	5.8%	2.7%	-1.1M	2.0M	-23.2K	29.00	85.51	2	58	1,486	3,380
2019-11-14	$50.00	$50.00	17.2%	4.9%	17.1%	37.7%	0.0%	5.6%	2.4%	-1.5M	4.4M	-23.4K	0.00	79.86	0	0	1,487	3,428
2019-11-15	$50.10	$50.00	16.1%	4.6%	17.1%	33.1%	16.1%	4.1%	2.8%	-3.8M	2.7M	-22.1K	0.03	83.54	30	1	1,487	3,432
2019-11-18	$50.31	$50.00	16.7%	4.8%	16.9%	35.7%	16.7%	4.5%	0.3%	-451.7K	2.4M	-20.6K	0.02	69.32	48	1	847	2,432
2019-11-19	$50.28	$50.00	17.2%	4.9%	16.5%	37.7%	17.2%	0.9%	0.3%	-451.5K	2.5M	-21.1K	0.30	65.37	70	21	836	2,432
2019-11-20	$50.50	$50.00	17.1%	4.9%	16.5%	37.2%	17.0%	6.7%	0.2%	-461.8K	2.3M	-20.3K	0.49	75.07	55	27	844	2,453
2019-11-21	$50.52	$50.00	18.2%	5.2%	16.5%	42.2%	18.2%	1.5%	-0.1%	-438.7K	2.3M	-20.2K	0.10	70.37	107	11	825	2,438
2019-11-22	$50.76	$50.00	17.9%	5.1%	16.5%	40.9%	17.9%	2.7%	-0.1%	-439.4K	2.0M	-20.5K	0.07	76.88	15	1	910	2,438
2019-11-25	$50.85	$50.00	17.8%	5.1%	12.4%	40.8%	17.8%	4.9%	-0.4%	-449.7K	1.8M	-19.9K	0.04	72.99	91	4	915	2,439
2019-11-26	$50.58	$50.00	16.7%	4.8%	12.6%	35.7%	16.7%	-1.3%	-0.1%	-480.1K	1.8M	-20.0K	4.26	88.05	23	98	1,001	2,437
2019-11-27	$51.03	$50.00	16.7%	4.8%	12.7%	35.5%	0.0%	-5.0%	0.3%	-463.3K	1.2M	-20.6K	1.50	67.66	6	9	1,011	2,560
2019-11-29	$51.00	$50.00	17.1%	4.9%	12.1%	37.5%	17.3%	-11.1%	-0.5%	-477.4K	975.1K	-17.9K	0.41	59.36	27	11	1,008	2,569