L Options History — December 2019

In December 2019, L traded between $48.65 and $52.42. ATM implied volatility averaged 17.2%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.8% (HV 20d: 18.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.65.

Notable Days

2019-12-20: Highest Volume — 70 contracts
2019-12-26: Largest IV spike — 10.5% change
2019-12-03: Highest IV Rank — 48.5%
2019-12-03: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.84	$48.65	$52.42	$50.33	$52.42
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	17.2%	15.6%	19.6%	18.1%	18.4%
Expected Move	4.9%	4.5%	5.6%	5.2%	5.3%
HV 20d	18.1%	11.2%	19.8%	11.2%	18.9%
HV 60d	18.0%	16.3%	18.8%	16.3%	16.7%
IV Rank	38.6%	31.0%	48.5%	42.1%	45.9%
IV Percentile	42.0%	23.0%	68.3%	53.6%	62.3%
Term Structure	1.5%	-1.0%	2.8%	-0.6%	0.8%
VWIV	16.8%	10.4%	20.8%	19.6%	18.7%
Skew 25d	4.8%	-3.2%	9.1%	-3.2%	5.8%
Skew 10d	7.6%	-7.4%	15.6%	-4.2%	8.4%
Call IV 25d	13.4%	10.0%	22.0%	22.0%	10.6%
Put IV 25d	18.1%	15.2%	25.0%	18.9%	16.5%
Bid-Ask Spread %	74.38	59.38	92.11	70.78	64.92
Gamma HHI	0.54	0.36	0.73	0.62	0.36
Net GEX	-379.7K	-861.0K	30.4K	-562.0K	30.4K
Net DEX	739.5K	-1.5M	5.0M	2.2M	-1.4M
Net VEX	-14.3K	-19.8K	-9.6K	-19.8K	-9.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.00	24.00	0.50	0.00
Total Volume	24.619	1	70	3	6
Total OI	3,184	2,016	3,661	3,595	2,110

Daily Data (21 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
2019-12-02	$50.33	$50.00	18.1%	5.2%	11.2%	42.1%	0.0%	-3.2%	-0.6%	-562.0K	2.2M	-19.8K	0.50	70.78	2	1	1,026	2,569
2019-12-03	$48.65	$50.00	19.6%	5.6%	16.6%	48.5%	19.6%	-2.5%	-1.0%	-501.5K	5.0M	-19.5K	0.35	68.54	46	16	1,025	2,570
2019-12-04	$48.92	$50.00	18.8%	5.4%	15.2%	45.2%	18.9%	5.3%	-1.0%	-541.0K	4.7M	-19.3K	0.50	89.70	4	2	1,045	2,578
2019-12-05	$49.18	$50.00	17.0%	5.0%	15.2%	37.1%	17.4%	0.4%	2.0%	-625.2K	4.4M	-18.7K	0.21	92.11	24	5	1,046	2,580
2019-12-06	$50.31	$50.00	17.6%	5.0%	17.5%	39.6%	0.0%	5.2%	1.9%	-654.2K	2.3M	-19.0K	4.75	86.68	4	19	1,058	2,579
2019-12-09	$50.39	$50.00	17.6%	5.0%	17.5%	39.8%	17.3%	8.8%	2.1%	-712.7K	1.8M	-17.2K	0.40	80.20	5	2	1,056	2,555
2019-12-10	$50.16	$50.00	17.3%	5.1%	17.2%	38.2%	18.6%	4.1%	1.7%	-791.1K	2.5M	-17.6K	2.31	66.69	13	30	1,056	2,555
2019-12-11	$49.97	$50.00	17.0%	4.9%	17.1%	37.6%	17.0%	3.1%	2.2%	-861.0K	2.7M	-17.3K	0.27	84.35	15	4	1,058	2,565
2019-12-12	$51.14	$50.00	17.7%	5.1%	19.0%	40.7%	10.4%	9.1%	1.6%	-582.1K	113.3K	-14.1K	0.06	69.81	34	2	1,058	2,561
2019-12-13	$50.68	$50.00	16.4%	4.7%	19.0%	34.9%	20.8%	8.4%	2.4%	-784.6K	1.0M	-16.5K	0.53	79.59	19	10	1,070	2,563
2019-12-16	$51.03	$50.00	15.8%	4.5%	19.1%	32.2%	15.8%	5.3%	2.8%	-656.0K	-195.5K	-13.4K	24.00	67.46	1	24	1,067	2,573
2019-12-17	$51.52	$50.00	15.9%	4.6%	19.3%	32.4%	15.9%	5.9%	2.7%	-237.3K	-1.3M	-11.2K	0.00	89.03	27	0	1,067	2,594
2019-12-18	$51.43	$50.00	16.3%	4.7%	19.4%	34.2%	12.3%	6.0%	2.3%	-178.6K	-1.1M	-12.4K	0.20	82.44	5	1	1,062	2,594
2019-12-19	$51.12	$50.00	15.9%	4.6%	19.5%	32.6%	15.6%	4.9%	2.5%	-299.0K	-1.1M	-10.8K	0.00	82.90	10	0	1,063	2,594
2019-12-20	$51.59	$50.00	15.6%	4.5%	19.7%	31.0%	13.8%	5.4%	2.6%	-16.7K	-1.5M	-9.9K	0.21	84.63	58	12	1,062	2,594
2019-12-23	$51.36	$50.00	16.2%	4.7%	19.8%	34.0%	16.2%	5.0%	2.1%	-16.3K	-714.5K	-11.0K	0.29	60.09	24	7	671	1,345
2019-12-24	$51.49	$50.00	16.3%	4.7%	19.8%	34.5%	0.0%	5.3%	2.2%	-11.7K	-805.2K	-11.1K	0.00	61.34	1	0	689	1,352
2019-12-26	$51.88	$50.00	18.1%	5.2%	19.8%	42.2%	18.0%	6.6%	1.2%	-2.0K	-952.8K	-10.6K	0.08	59.38	63	5	689	1,352
2019-12-27	$51.97	$50.00	18.4%	5.3%	19.6%	43.6%	18.4%	6.7%	0.6%	15.9K	-1.1M	-10.7K	0.08	60.65	13	1	749	1,355
2019-12-30	$52.05	$50.00	18.1%	5.2%	19.6%	44.5%	18.7%	4.8%	0.6%	13.5K	-1.1M	-10.1K	0.00	60.69	2	0	743	1,366
2019-12-31	$52.42	$50.00	18.4%	5.3%	18.9%	45.9%	0.0%	5.8%	0.8%	30.4K	-1.4M	-9.6K	0.00	64.92	6	0	744	1,366