L Options History — April 2020

In April 2020, L traded between $32.49 and $39.53. ATM implied volatility averaged 56.2%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 40.8% (HV 20d: 97.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2020-04-14: Highest Volume — 851 contracts
  • 2020-04-08: Largest IV drop — 21.9% change
  • 2020-04-01: Highest IV Rank — 76.4%
  • 2020-04-01: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.93$32.49$39.53$32.49$34.91
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV56.2%46.5%81.1%81.1%54.3%
Expected Move16.0%13.3%23.3%23.3%15.6%
HV 20d97.0%67.6%127.0%127.0%71.4%
HV 60d83.1%77.9%87.7%77.9%87.7%
IV Rank50.1%39.8%76.4%76.4%48.1%
IV Percentile90.1%85.7%96.8%96.8%86.9%
Term Structure-2.9%-6.0%1.7%0.1%-6.0%
VWIV56.6%45.4%88.4%69.3%52.0%
Skew 25d19.3%13.2%31.3%31.3%14.1%
Skew 10d44.8%19.0%63.0%63.0%19.0%
Call IV 25d49.8%39.9%59.2%58.0%49.8%
Put IV 25d69.1%54.9%89.2%89.2%63.9%
Bid-Ask Spread %40.5715.05100.33100.3369.70
Gamma HHI0.300.230.380.290.33
Net GEX-30.4K-75.4K50.6K-53.1K15.2K
Net DEX2.5M531.1K3.7M3.0M2.0M
Net VEX-17.6K-20.5K-14.7K-15.3K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.0712.110.450.18
Total Volume309.3814585145205
Total OI4,564.2383,0385,9293,1015,929

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$32.49$35.0081.1%23.3%127.0%76.4%69.3%31.3%0.1%-53.1K3.0M-15.3K0.45100.3331149602,141
2020-04-02$32.75$35.0070.4%18.6%126.1%65.1%56.8%21.5%-5.3%-53.1K3.0M-14.7K0.2670.0238109882,147
2020-04-03$32.56$35.0055.4%17.6%126.0%49.2%88.4%22.7%-2.6%-54.7K3.0M-14.7K12.1151.1491099762,146
2020-04-06$35.40$35.0061.6%16.8%126.4%55.8%50.0%19.2%-5.0%-53.8K2.6M-14.8K0.5238.894802519832,055
2020-04-07$36.91$35.0061.6%16.4%123.7%55.8%49.3%19.5%-3.6%-34.2K1.9M-16.9K0.0739.06187131,3612,218
2020-04-08$37.59$35.0048.1%13.8%121.3%41.5%52.8%19.7%-1.4%-22.3K1.6M-17.7K0.3621.223431231,4722,230
2020-04-09$39.53$35.0048.5%13.9%107.8%42.0%45.4%16.8%-1.3%20.0K531.1K-19.7K0.2949.885651631,7862,241
2020-04-13$37.55$35.0049.5%14.2%108.5%43.0%60.9%20.2%-2.8%19.5K1.4M-20.0K2.0242.261583192,2622,352
2020-04-14$37.40$35.0055.2%15.8%108.0%49.0%54.6%21.2%-4.9%-18.5K1.9M-20.5K2.2153.342655862,2592,667
2020-04-15$34.65$35.0056.7%16.3%110.3%50.6%61.7%18.7%-4.8%-68.2K3.3M-18.0K1.0717.3692982,4592,594
2020-04-16$33.67$35.0057.2%16.4%106.6%51.2%55.6%20.9%-5.1%-75.4K3.7M-17.1K0.2415.05187442,5342,649
2020-04-17$35.99$35.0056.2%16.1%101.4%50.1%53.6%20.0%-4.8%3.3K2.0M-20.1K0.2147.35196412,6542,661
2020-04-20$34.90$35.0059.3%17.0%79.8%53.3%58.8%19.7%-5.1%-28.6K2.8M-18.0K0.3133.0885262,4812,386
2020-04-21$33.75$35.0058.4%16.7%77.7%52.4%59.6%20.6%-1.5%-39.2K3.0M-18.2K0.1220.35102122,5382,395
2020-04-22$34.02$35.0057.1%16.4%68.9%51.1%58.4%19.8%-1.8%-41.0K2.9M-18.0K4.1118.7619782,6102,407
2020-04-23$33.20$35.0055.2%15.8%67.6%49.0%55.6%18.4%-2.0%-50.1K3.2M-17.0K7.1827.4811792,6142,414
2020-04-24$32.56$35.0046.5%13.3%67.9%39.8%48.5%20.4%1.7%-67.7K3.5M-15.5K1.4216.6638542,6202,424
2020-04-27$32.65$35.0049.4%14.2%67.8%43.0%56.2%15.4%-0.7%-66.7K3.6M-15.1K0.7320.173772762,6462,454
2020-04-28$34.32$35.0049.1%14.1%69.3%42.7%52.9%13.2%-2.7%-20.9K2.6M-18.2K0.2829.49226642,9482,579
2020-04-29$36.80$35.0050.0%14.3%73.7%43.5%47.5%13.2%-1.7%50.6K940.9K-20.0K0.1470.42458653,0282,581
2020-04-30$34.91$35.0054.3%15.6%71.4%48.1%52.0%14.1%-6.0%15.2K2.0M-19.6K0.1869.70174313,3192,610