L Options History — January 2020

In January 2020, L traded between $51.01 and $52.90. ATM implied volatility averaged 18.0%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.5% (HV 20d: 12.5%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 5.98.

Notable Days

2020-01-24: Highest Volume — 815 contracts
2020-01-06: Largest IV spike — 64.5% change
2020-01-31: Highest IV Rank — 70.9%
2020-01-31: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.95	$51.01	$52.90	$52.90	$51.37
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	18.0%	8.8%	23.6%	8.8%	23.6%
Expected Move	5.5%	2.5%	6.8%	2.5%	6.8%
HV 20d	12.5%	10.9%	14.9%	13.4%	14.3%
HV 60d	15.8%	14.6%	16.7%	16.7%	15.1%
IV Rank	44.3%	0.2%	70.9%	0.2%	70.9%
IV Percentile	61.1%	0.4%	96.4%	0.4%	96.4%
Term Structure	-0.5%	-2.8%	8.1%	8.1%	-2.8%
VWIV	18.7%	11.5%	26.2%	11.5%	23.6%
Skew 25d	4.7%	0.4%	11.0%	10.5%	11.0%
Skew 10d	8.9%	-0.8%	20.0%	4.0%	20.0%
Call IV 25d	15.2%	8.4%	20.5%	8.4%	14.7%
Put IV 25d	20.0%	11.6%	25.7%	18.9%	25.7%
Bid-Ask Spread %	79.68	61.33	104.42	64.45	85.91
Gamma HHI	0.38	0.34	0.47	0.37	0.47
Net GEX	-35.6K	-268.4K	45.1K	38.7K	-268.4K
Net DEX	-688.8K	-1.7M	1.3M	-1.5M	1.3M
Net VEX	-9.8K	-15.2K	-7.3K	-9.6K	-15.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.98	0.00	61.69	0.00	6.30
Total Volume	87.476	3	815	18	73
Total OI	2,334	1,934	3,119	2,114	3,119

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
2020-01-02	$52.90	$50.00	8.8%	2.5%	13.4%	0.2%	11.5%	10.5%	8.1%	38.7K	-1.5M	-9.6K	0.00	64.45	18	0	748	1,366
2020-01-03	$52.75	$50.00	9.5%	2.7%	13.7%	3.8%	15.5%	1.4%	7.4%	32.4K	-1.5M	-9.6K	3.00	61.87	8	24	752	1,366
2020-01-06	$52.05	$50.00	15.6%	5.8%	14.9%	32.9%	16.1%	4.0%	-0.6%	15.8K	-1.2M	-9.4K	0.69	79.52	13	9	751	1,374
2020-01-07	$52.00	$50.00	21.4%	5.8%	13.0%	60.4%	20.4%	4.7%	-0.7%	13.3K	-1.1M	-9.5K	0.17	79.73	12	2	760	1,383
2020-01-08	$52.06	$50.00	12.5%	5.7%	13.0%	18.2%	26.2%	2.9%	-0.9%	24.1K	-1.4M	-8.6K	3.67	83.50	3	11	770	1,383
2020-01-09	$52.65	$50.00	12.9%	4.7%	13.2%	19.8%	19.6%	2.9%	-0.3%	42.2K	-1.7M	-8.3K	0.00	80.09	10	0	773	1,394
2020-01-10	$52.05	$50.00	13.6%	5.6%	13.9%	23.5%	0.0%	2.5%	-0.5%	19.1K	-1.3M	-9.1K	0.00	82.79	4	0	778	1,394
2020-01-13	$51.98	$50.00	17.2%	5.9%	11.5%	40.2%	0.0%	4.0%	-1.4%	16.4K	-1.3M	-8.7K	0.00	79.43	13	0	780	1,394
2020-01-14	$52.07	$50.00	20.6%	5.6%	10.9%	56.8%	16.2%	2.7%	-0.3%	29.9K	-1.5M	-8.3K	2.33	73.09	12	28	790	1,394
2020-01-15	$51.64	$50.00	19.6%	5.6%	11.2%	52.0%	16.3%	3.8%	-0.8%	15.3K	-1.3M	-8.2K	5.00	81.88	2	10	796	1,420
2020-01-16	$52.09	$50.00	20.0%	5.7%	11.1%	53.5%	20.0%	2.9%	-1.5%	33.0K	-1.5M	-7.8K	0.00	83.15	37	0	796	1,430
2020-01-17	$52.32	$50.00	19.5%	5.6%	11.2%	51.5%	17.1%	3.6%	-0.4%	45.1K	-1.6M	-7.3K	1.74	86.12	19	33	806	1,430
2020-01-21	$51.60	$50.00	19.4%	5.6%	12.1%	50.9%	17.2%	3.3%	-0.8%	19.6K	-601.8K	-7.7K	0.69	84.95	29	20	652	1,282
2020-01-22	$51.78	$50.00	20.2%	5.8%	11.7%	54.4%	19.8%	3.8%	-1.8%	18.3K	-539.3K	-7.8K	2.83	61.33	18	51	659	1,299
2020-01-23	$51.61	$50.00	20.1%	5.8%	11.7%	54.1%	20.1%	3.9%	-1.2%	10.0K	-547.9K	-7.8K	0.02	70.41	42	1	675	1,347
2020-01-24	$51.28	$50.00	20.2%	5.8%	11.9%	54.9%	20.2%	9.3%	-2.2%	-5.3K	-413.2K	-8.0K	61.69	73.22	13	802	683	1,348
2020-01-27	$51.01	$50.00	21.9%	6.3%	11.7%	63.0%	21.9%	0.4%	-2.5%	-209.4K	1.1M	-13.5K	35.18	82.11	11	387	692	2,083
2020-01-28	$51.72	$50.00	21.2%	6.1%	12.7%	59.4%	21.2%	8.7%	-1.8%	-227.1K	865.7K	-14.3K	0.20	83.46	10	2	690	2,339
2020-01-29	$51.70	$50.00	22.5%	6.5%	12.7%	65.8%	19.7%	10.4%	-2.5%	-231.8K	864.1K	-14.6K	0.00	91.94	3	0	720	2,340
2020-01-30	$52.33	$50.00	18.1%	5.2%	13.2%	44.9%	13.2%	2.6%	-2.4%	-178.6K	337.0K	-13.5K	2.15	104.42	34	73	720	2,338
2020-01-31	$51.37	$50.00	23.6%	6.8%	14.3%	70.9%	23.6%	11.0%	-2.8%	-268.4K	1.3M	-15.2K	6.30	85.91	10	63	718	2,401