L Options History — March 2020

In March 2020, L traded between $29.72 and $48.41. ATM implied volatility averaged 71.8%, placing in the 75.8% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 17.7% (HV 20d: 89.5%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.65.

Notable Days

  • 2020-03-13: Highest Volume — 484 contracts
  • 2020-03-05: Largest IV spike — 73.1% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 29.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.97$29.72$48.41$47.90$34.91
Max Pain$43.86$35.00$50.00$50.00$35.00
ATM IV71.8%32.6%103.5%37.2%64.3%
Expected Move19.4%9.4%29.7%10.7%18.4%
HV 20d89.5%42.9%129.3%43.9%126.0%
HV 60d55.0%27.7%76.8%27.8%76.8%
IV Rank75.8%49.8%100.0%59.4%58.7%
IV Percentile97.9%93.7%100.0%99.2%94.0%
Term Structure-10.7%-27.7%9.0%-5.8%0.2%
VWIV69.2%37.6%115.3%40.6%59.1%
Skew 25d23.7%12.0%40.6%12.8%33.7%
Skew 10d46.1%13.2%76.9%32.1%52.4%
Call IV 25d61.5%28.0%112.9%35.6%46.6%
Put IV 25d85.2%42.5%129.3%48.4%80.3%
Bid-Ask Spread %83.1365.75103.8565.75103.85
Gamma HHI0.350.230.450.430.28
Net GEX-129.5K-367.9K-28.4K-340.7K-53.3K
Net DEX6.1M2.6M10.0M5.2M2.6M
Net VEX-14.4K-19.5K-8.7K-13.4K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.650.0710.320.911.05
Total Volume168.2273048417639
Total OI3,962.1822,5704,7923,8453,075

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$47.90$50.0037.2%10.7%43.9%59.4%40.6%12.8%-5.8%-340.7K5.2M-13.4K0.9165.7592841,1512,694
2020-03-03$47.73$50.0036.8%10.5%42.9%58.4%37.6%13.5%-6.1%-328.6K5.0M-14.1K5.9272.81241421,1802,739
2020-03-04$48.41$50.0032.6%9.4%43.2%49.8%39.0%14.5%-3.4%-367.9K4.6M-16.1K7.6966.24131001,2003,011
2020-03-05$45.25$50.0056.5%12.5%48.0%99.5%38.5%12.0%-8.5%-282.3K7.4M-15.7K10.3267.86313201,2103,027
2020-03-06$43.92$50.0076.4%13.3%48.6%100.0%0.0%19.9%-4.3%-238.0K7.6M-19.5K5.00102.125251,2283,335
2020-03-09$39.73$50.0093.6%18.6%58.0%100.0%52.1%24.0%-15.4%-158.2K9.8M-13.3K3.2769.93331081,2283,324
2020-03-10$43.05$50.0071.9%15.9%64.2%74.4%55.6%21.1%-13.1%-235.8K9.1M-16.3K0.0770.2310881,2443,392
2020-03-11$39.94$50.0066.1%18.9%67.9%67.6%73.2%19.0%-13.6%-157.3K9.8M-13.8K0.3272.05173551,2633,395
2020-03-12$34.09$50.0085.2%24.4%84.7%90.1%74.7%23.6%-23.2%-51.2K10.0M-8.7K3.9078.9521821,3833,409
2020-03-13$35.80$50.0094.2%27.0%88.2%100.0%83.3%16.4%-20.8%-63.6K6.8M-12.3K10.0094.80444401,3852,649
2020-03-16$34.82$50.00103.5%29.7%87.7%100.0%88.3%40.6%-27.7%-68.2K7.3M-14.1K0.7485.3634251,4263,084
2020-03-17$36.44$40.0088.3%25.3%90.9%84.0%71.7%36.7%-21.2%-55.6K7.6M-14.2K2.3586.12661551,4363,090
2020-03-18$33.49$45.0095.1%27.3%93.3%91.2%94.9%26.3%-23.1%-58.9K7.5M-13.8K8.9383.45141251,4753,197
2020-03-19$37.44$40.0086.3%24.7%104.7%81.9%115.3%26.7%-16.8%-28.4K7.8M-15.6K0.0083.580461,4853,265
2020-03-20$31.48$40.0077.4%22.2%118.1%72.5%67.0%18.7%-12.2%-39.1K7.8M-12.7K0.9086.452151941,4953,240
2020-03-23$29.72$40.0082.1%23.5%118.6%77.5%94.4%30.3%-10.0%-42.8K3.2M-11.1K9.4973.86454277941,776
2020-03-24$32.93$35.0064.3%18.4%127.3%58.6%69.5%26.6%-11.5%-59.8K3.2M-13.9K0.6480.7769448272,095
2020-03-25$34.39$35.0069.0%19.8%129.3%63.7%76.0%29.4%9.0%-53.4K2.8M-16.0K1.2292.6532398262,120
2020-03-26$34.55$35.0068.5%19.7%129.0%63.1%69.2%17.1%-1.7%-54.4K2.7M-15.3K0.1794.964178542,115
2020-03-27$34.10$35.0069.5%19.9%128.4%64.1%85.5%35.7%-6.2%-55.0K2.8M-15.9K0.3295.8282268662,112
2020-03-30$35.18$35.0059.5%17.0%126.1%53.5%67.0%24.1%1.0%-56.0K2.6M-15.5K3.53101.1615539352,133
2020-03-31$34.91$35.0064.3%18.4%126.0%58.7%59.1%33.7%0.2%-53.3K2.6M-16.4K1.05103.8519209452,130