L Options History — May 2020

In May 2020, L traded between $28.61 and $34.10. ATM implied volatility averaged 52.7%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 14.6% (HV 20d: 67.3%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.52.

Notable Days

  • 2020-05-05: Highest Volume — 1,339 contracts
  • 2020-05-26: Largest IV drop — 20.3% change
  • 2020-05-01: Highest IV Rank — 63.3%
  • 2020-05-01: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$28.61$34.10$31.74$33.22
Max Pain$35.25$30.00$40.00$35.00$30.00
ATM IV52.7%37.6%68.7%68.7%39.5%
Expected Move14.6%10.8%19.7%19.7%11.3%
HV 20d67.3%57.5%79.5%79.5%57.5%
HV 60d90.2%89.0%91.7%89.4%90.3%
IV Rank46.4%30.4%63.3%63.3%32.5%
IV Percentile84.5%76.2%94.0%94.0%77.0%
Term Structure-1.3%-7.8%2.1%-7.8%0.9%
VWIV50.6%40.0%63.9%63.9%45.2%
Skew 25d14.3%11.4%18.3%16.6%11.4%
Skew 10d32.2%21.9%48.9%48.9%27.3%
Call IV 25d44.6%31.8%59.3%59.3%37.4%
Put IV 25d58.9%47.1%75.9%75.9%48.8%
Bid-Ask Spread %53.1320.4876.0325.0048.75
Gamma HHI0.490.350.740.500.40
Net GEX-77.8K-158.2K16.8K-41.2K-25.3K
Net DEX4.0M893.8K6.6M3.6M1.4M
Net VEX-18.6K-20.8K-14.0K-15.9K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.2511.530.985.57
Total Volume416.7461,33958746
Total OI7,196.855,9408,8535,9406,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$31.74$35.0068.7%19.7%79.5%63.3%63.9%16.6%-7.8%-41.2K3.6M-15.9K0.9825.002962913,3572,583
2020-05-04$31.78$40.0068.7%17.5%79.5%63.2%59.0%18.3%-4.0%-36.7K3.6M-16.2K1.1721.692332733,6852,674
2020-05-05$30.77$40.0058.1%14.9%73.5%52.0%51.9%15.4%-0.8%-66.7K4.2M-14.0K7.7520.481531,1863,6842,813
2020-05-06$29.82$40.0057.0%15.1%71.6%50.9%52.8%13.6%-1.1%-125.7K5.6M-16.5K11.5331.96809223,7903,633
2020-05-07$30.40$40.0053.8%15.1%71.7%47.6%47.8%15.1%-1.9%-155.3K5.9M-18.7K0.3436.233941333,8114,025
2020-05-08$31.04$35.0050.7%14.8%69.1%44.3%46.3%14.5%-1.6%-140.7K5.3M-19.6K0.2859.854241194,1094,028
2020-05-11$30.12$35.0059.2%14.7%67.9%53.3%52.1%12.6%-2.1%-142.7K5.8M-19.2K0.3764.1267254,5144,057
2020-05-12$29.58$35.0063.0%14.5%67.9%57.3%49.8%12.8%-2.1%-158.2K6.2M-17.7K0.3859.15175674,5484,050
2020-05-13$28.61$35.0057.9%16.6%64.0%51.9%60.7%16.4%-6.0%-132.2K6.6M-17.7K0.6766.442982004,7004,082
2020-05-14$29.03$35.0057.8%16.6%64.2%51.7%58.3%15.2%-1.1%-137.4K5.9M-18.7K8.9657.981039234,7893,959
2020-05-15$29.59$35.0055.5%15.9%58.9%49.3%58.1%15.2%-2.0%-90.8K5.8M-19.4K3.0064.2324724,8364,017
2020-05-18$31.97$35.0051.0%14.6%65.9%44.7%45.9%12.7%0.0%-59.0K3.1M-20.8K0.2869.49324922,9103,449
2020-05-19$31.38$35.0049.4%14.2%65.2%43.0%50.9%13.0%0.1%-81.8K3.6M-19.8K0.5166.21107553,0663,490
2020-05-20$32.33$35.0050.1%14.4%66.2%43.6%43.8%12.6%-0.6%-44.0K2.9M-20.8K0.3969.68200773,0513,460
2020-05-21$32.13$35.0050.7%14.5%65.7%44.3%52.6%13.5%-1.0%-54.7K3.1M-20.6K3.5064.7124843,0803,502
2020-05-22$31.88$35.0048.4%13.9%65.4%41.8%47.1%12.8%-0.1%-63.3K3.3M-19.7K2.6376.031223213,1003,458
2020-05-26$33.35$35.0038.5%11.1%67.4%31.5%40.4%13.0%1.2%-15.6K1.7M-19.4K0.8354.2689743,0673,408
2020-05-27$34.10$30.0038.3%11.0%65.5%31.2%40.0%14.9%1.7%16.8K918.8K-19.6K1.0347.0869713,0513,295
2020-05-28$33.82$30.0037.6%10.8%60.0%30.4%45.9%15.8%2.1%-1.4K893.8K-18.7K0.2559.2997243,0713,298
2020-05-29$33.22$30.0039.5%11.3%57.5%32.5%45.2%11.4%0.9%-25.3K1.4M-19.0K5.5748.757393,1553,282