L Options History — June 2020

In June 2020, L traded between $32.47 and $39.69. ATM implied volatility averaged 47.8%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 9.2% (HV 20d: 57.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-06-01: Highest Volume — 1,001 contracts
  • 2020-06-11: Largest IV spike — 33.4% change
  • 2020-06-11: Highest IV Rank — 57.6%
  • 2020-06-11: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.72$32.47$39.69$33.75$34.28
Max Pain$34.32$30.00$35.00$30.00$35.00
ATM IV47.8%36.7%63.3%40.5%48.4%
Expected Move13.6%10.4%18.1%11.6%13.9%
HV 20d57.0%43.1%67.4%46.1%61.8%
HV 60d74.0%62.7%89.6%89.5%63.1%
IV Rank41.3%29.5%57.6%33.5%41.9%
IV Percentile78.9%73.0%91.7%77.0%73.8%
Term Structure-1.4%-9.7%1.6%0.6%-0.1%
VWIV48.9%29.2%61.9%45.3%48.1%
Skew 25d13.1%8.9%19.7%15.1%12.5%
Skew 10d24.3%1.7%33.8%23.9%14.7%
Call IV 25d43.1%25.0%52.0%35.5%46.2%
Put IV 25d56.2%43.3%67.1%50.6%58.7%
Bid-Ask Spread %59.3829.0977.8368.5467.70
Gamma HHI0.350.190.800.390.23
Net GEX79.6K-45.8K636.8K-1.9K-3.4K
Net DEX-447.0K-5.8M1.9M852.1K637.8K
Net VEX-23.5K-26.9K-18.7K-18.7K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.000.980.940.00
Total Volume339.182461,0011,00155
Total OI7,185.2735,1739,1006,4555,703

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$33.75$30.0040.5%11.6%46.1%33.5%45.3%15.1%0.6%-1.9K852.1K-18.7K0.9468.545164853,1553,300
2020-06-02$34.57$30.0039.2%11.2%46.7%32.1%39.5%17.2%0.9%103.4K-760.1K-20.2K0.1277.41363453,6413,553
2020-06-03$35.50$30.0038.5%11.0%45.3%31.4%38.9%19.7%0.8%82.8K-1.3M-20.8K0.3359.21168563,4803,452
2020-06-04$36.24$35.0040.2%11.6%43.1%33.2%40.9%11.1%0.8%106.2K-2.1M-21.5K0.7264.633132243,5643,448
2020-06-05$38.90$35.0036.7%10.4%48.2%29.5%29.2%18.4%1.6%147.9K-5.1M-24.2K0.1477.83424613,7013,462
2020-06-08$39.69$35.0040.4%10.7%48.2%33.4%42.1%9.4%0.5%152.7K-5.8M-24.7K0.8672.395284553,8333,455
2020-06-09$38.41$35.0041.4%11.2%48.5%34.4%44.1%9.1%-0.9%127.9K-4.4M-25.7K0.1144.79381424,0613,816
2020-06-10$36.34$35.0047.4%13.6%53.2%40.8%47.7%8.9%-2.0%105.9K-2.5M-25.9K0.1570.627961164,2343,816
2020-06-11$32.47$35.0063.3%18.1%67.4%57.6%56.2%15.0%-9.7%-45.8K1.9M-26.2K0.7356.94102744,8333,859
2020-06-12$32.83$35.0052.6%15.1%67.3%46.3%57.5%12.8%-4.2%-38.2K1.6M-25.4K0.4745.53170804,9023,866
2020-06-15$33.30$35.0054.0%15.5%67.2%47.8%55.1%11.5%-4.8%11.3K560.1K-26.9K0.2435.34305724,9943,908
2020-06-16$33.89$35.0051.6%14.8%61.9%45.2%50.7%11.1%-3.5%96.9K14.7K-24.7K0.1256.11187225,0973,886
2020-06-17$33.51$35.0051.3%14.7%61.6%45.0%51.0%10.6%-3.7%70.2K513.2K-23.1K0.3849.0766255,1163,880
2020-06-18$33.84$35.0051.4%14.7%60.9%45.0%58.0%12.7%-1.3%199.2K119.5K-23.9K0.2355.13137315,0923,905
2020-06-19$34.66$35.0050.2%14.4%61.3%43.8%51.1%11.1%-1.3%636.8K-552.9K-25.3K0.9874.2442415,1783,922
2020-06-22$34.11$35.0052.8%15.1%61.6%46.5%53.5%12.9%-2.1%3.8K865.2K-23.1K0.5829.0962363,0822,091
2020-06-23$34.46$35.0046.8%13.4%59.6%40.1%46.7%9.6%1.3%3.8K370.6K-24.9K0.9342.002332173,1142,114
2020-06-24$33.34$35.0050.1%14.4%60.3%43.7%49.4%11.0%-0.5%-3.2K1.3M-22.1K0.4263.8745193,2232,168
2020-06-25$33.73$35.0050.5%14.5%60.4%44.1%59.9%14.2%0.1%5.5K923.8K-23.8K0.4858.4531153,2122,174
2020-06-26$32.61$35.0053.9%15.4%61.3%47.6%61.9%15.1%-1.4%-4.3K1.7M-20.8K0.9765.6238373,2252,166
2020-06-29$33.50$35.0050.9%14.6%61.8%44.5%49.1%19.4%-1.5%-5.7K1.3M-21.7K0.7371.792011463,2012,194
2020-06-30$34.28$35.0048.4%13.9%61.8%41.9%48.1%12.5%-0.1%-3.4K637.8K-24.1K0.0067.705503,3742,329