L Options History — February 2020

In February 2020, L traded between $44.80 and $55.70. ATM implied volatility averaged 22.2%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.4% (HV 20d: 22.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.07.

Notable Days

2020-02-10: Highest Volume — 746 contracts
2020-02-27: Largest IV spike — 49.0% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.51	$44.80	$55.70	$52.49	$44.80
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	22.2%	14.6%	56.8%	25.5%	56.8%
Expected Move	6.4%	4.3%	16.3%	7.3%	16.3%
HV 20d	22.7%	15.8%	35.3%	16.4%	35.3%
HV 60d	18.3%	15.3%	24.9%	15.3%	24.9%
IV Rank	54.1%	28.2%	100.0%	80.0%	100.0%
IV Percentile	59.2%	18.7%	100.0%	98.4%	100.0%
Term Structure	-1.7%	-14.1%	1.7%	-4.4%	-14.1%
VWIV	23.8%	15.4%	69.2%	26.5%	69.2%
Skew 25d	4.7%	-9.3%	15.0%	4.3%	15.0%
Skew 10d	6.7%	-22.6%	49.0%	3.2%	49.0%
Call IV 25d	21.7%	11.0%	52.1%	19.9%	52.1%
Put IV 25d	26.5%	18.8%	67.1%	24.2%	67.1%
Bid-Ask Spread %	72.79	48.09	89.34	89.34	70.78
Gamma HHI	0.46	0.42	0.63	0.42	0.46
Net GEX	-68.8K	-326.4K	254.8K	-192.3K	-218.6K
Net DEX	160.6K	-3.7M	6.8M	462.3K	6.8M
Net VEX	-10.8K	-14.2K	-8.1K	-14.2K	-13.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.04	3.49	2.14	3.49
Total Volume	190.789	11	746	22	220
Total OI	3,651.053	3,190	4,083	3,190	3,719

Daily Data (19 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
2020-02-03	$52.49	$50.00	25.5%	7.3%	16.4%	80.0%	26.5%	4.3%	-4.4%	-192.3K	462.3K	-14.2K	2.14	89.34	7	15	726	2,464
2020-02-04	$52.78	$50.00	19.4%	5.6%	15.8%	51.1%	20.3%	4.6%	-2.3%	-167.3K	-83.2K	-12.6K	0.04	88.81	51	2	726	2,473
2020-02-05	$53.58	$50.00	18.6%	5.3%	16.6%	46.9%	21.8%	5.8%	-1.1%	-91.4K	-760.1K	-10.8K	2.25	89.20	12	27	717	2,475
2020-02-06	$53.35	$50.00	20.1%	5.0%	16.7%	54.1%	19.5%	3.6%	-0.4%	-107.0K	-610.0K	-11.1K	0.68	86.69	41	28	724	2,497
2020-02-07	$53.42	$50.00	18.9%	5.1%	16.3%	48.5%	18.1%	4.3%	-0.6%	-107.5K	-623.2K	-10.8K	0.49	72.77	401	198	725	2,503
2020-02-10	$55.70	$50.00	15.9%	4.8%	21.2%	34.3%	17.1%	7.7%	0.3%	254.8K	-3.7M	-8.8K	0.63	84.97	459	287	1,125	2,691
2020-02-11	$54.78	$50.00	14.6%	4.6%	22.3%	28.2%	17.3%	-4.4%	1.1%	157.5K	-2.2M	-9.7K	0.72	85.37	86	62	1,086	2,864
2020-02-12	$54.00	$50.00	15.7%	4.5%	23.1%	33.1%	16.0%	4.6%	0.9%	50.7K	-1.1M	-9.7K	2.69	76.70	49	132	1,045	2,848
2020-02-13	$53.95	$50.00	15.8%	4.5%	22.8%	33.6%	16.2%	5.4%	1.2%	66.6K	-1.1M	-9.8K	0.38	61.32	74	28	1,067	2,852
2020-02-14	$54.14	$50.00	15.4%	4.4%	22.7%	31.7%	15.5%	-9.3%	1.2%	126.9K	-1.2M	-9.2K	0.61	84.40	41	25	1,133	2,861
2020-02-18	$53.72	$50.00	15.4%	4.4%	23.0%	31.9%	15.4%	4.3%	1.5%	2.5K	-868.7K	-8.8K	0.19	72.92	42	8	1,161	2,872
2020-02-19	$53.82	$50.00	14.9%	4.3%	22.3%	29.6%	19.9%	4.1%	1.7%	-809	-965.0K	-8.9K	1.11	48.09	27	30	1,189	2,871
2020-02-20	$53.91	$50.00	15.7%	4.5%	22.2%	33.5%	19.9%	4.5%	1.2%	33.8K	-1.1M	-8.1K	1.75	49.51	4	7	1,194	2,880
2020-02-21	$53.68	$50.00	17.2%	4.9%	22.3%	40.2%	18.3%	4.4%	0.2%	-48.2K	-896.8K	-8.7K	0.88	80.53	17	15	1,208	2,875
2020-02-24	$52.59	$50.00	21.7%	6.2%	23.5%	62.0%	25.4%	5.3%	-2.2%	-175.7K	110.7K	-11.0K	0.45	65.43	267	120	858	2,376
2020-02-25	$50.60	$50.00	28.1%	8.1%	27.4%	92.2%	28.1%	6.8%	-2.6%	-271.0K	2.2M	-13.2K	0.30	66.41	146	44	938	2,458
2020-02-26	$49.34	$50.00	29.3%	8.4%	28.2%	97.8%	32.5%	7.2%	-4.6%	-292.8K	3.1M	-13.7K	1.34	57.16	153	205	1,043	2,456
2020-02-27	$47.04	$50.00	43.6%	12.5%	32.4%	100.0%	35.9%	11.4%	-9.3%	-326.4K	5.8M	-13.5K	0.21	52.55	243	52	1,049	2,621
2020-02-28	$44.80	$50.00	56.8%	16.3%	35.3%	100.0%	69.2%	15.0%	-14.1%	-218.6K	6.8M	-13.3K	3.49	70.78	49	171	1,114	2,605