L Options History — July 2020

In July 2020, L traded between $32.72 and $37.34. ATM implied volatility averaged 45.5%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.3% (HV 20d: 41.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-07-28: Highest Volume — 3,206 contracts
  • 2020-07-10: Largest IV spike — 61.7% change
  • 2020-07-13: Highest IV Rank — 45.6%
  • 2020-07-09: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.49$32.72$37.34$33.70$36.27
Max Pain$33.64$30.00$35.00$35.00$35.00
ATM IV45.5%30.0%51.9%44.7%47.9%
Expected Move13.3%12.4%14.0%12.8%13.7%
HV 20d41.2%32.1%61.2%61.2%33.0%
HV 60d55.0%47.0%60.8%60.8%47.0%
IV Rank38.8%22.5%45.6%37.9%41.3%
IV Percentile70.4%63.5%80.6%71.4%71.4%
Term Structure-2.2%-4.6%1.6%-2.3%-4.6%
VWIV45.2%35.4%55.2%35.4%45.5%
Skew 25d11.7%7.4%20.1%20.1%11.1%
Skew 10d16.7%-18.8%41.5%41.5%24.7%
Call IV 25d41.0%34.8%46.7%38.3%41.5%
Put IV 25d52.7%47.6%58.4%58.4%52.6%
Bid-Ask Spread %64.1238.6375.9267.0738.63
Gamma HHI0.240.190.370.250.36
Net GEX24.8K-34.6K157.2K-11.0K120.6K
Net DEX-551.1K-5.0M2.0M1.1M-3.0M
Net VEX-22.4K-28.8K-19.4K-23.1K-27.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.011.860.400.52
Total Volume261.727123,20635232
Total OI5,713.3184,8047,3725,7227,278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$33.70$35.0044.7%12.8%61.2%37.9%35.4%20.1%-2.3%-11.0K1.1M-23.1K0.4067.0725103,3932,329
2020-07-02$33.74$35.0043.3%12.4%60.6%36.4%45.4%8.8%1.6%-18.4K1.3M-21.5K0.2361.6356133,4072,329
2020-07-06$34.58$30.0046.5%13.3%55.0%39.8%50.3%11.5%-0.5%-3.9K465.2K-23.6K0.9060.691871683,4472,327
2020-07-07$33.67$30.0045.2%13.4%54.6%38.5%51.0%8.3%-2.0%-19.2K1.4M-20.7K0.5060.22843,5102,317
2020-07-08$33.86$30.0043.5%13.2%54.0%36.7%55.2%11.8%-0.2%-16.3K1.1M-21.7K0.7160.87753,5182,315
2020-07-09$32.72$30.0030.0%14.0%52.0%22.5%51.8%11.3%-4.1%-17.1K2.0M-19.7K0.5753.7021123,5222,316
2020-07-10$34.35$30.0048.6%13.9%37.2%42.0%51.6%10.6%-2.6%-15.6K819.5K-21.8K0.0364.975823,5402,316
2020-07-13$34.78$30.0051.9%13.7%37.2%45.6%47.6%10.4%-1.6%-22.7K365.2K-22.0K0.4054.7357233,5262,316
2020-07-14$35.46$35.0049.1%13.7%37.5%42.6%46.7%11.8%-1.1%-34.6K-191.0K-21.9K0.2459.7974183,5362,337
2020-07-15$36.18$35.0046.8%13.4%37.6%40.2%45.8%12.7%-2.3%-28.6K-959.4K-22.1K1.3255.471291703,5422,344
2020-07-16$36.18$35.0046.8%13.4%37.3%40.2%41.7%10.9%-0.8%-6.4K-1.3M-22.4K0.0165.718413,5392,334
2020-07-17$36.25$35.0046.1%13.2%37.2%39.5%41.5%11.9%-1.4%34.6K-1.4M-21.5K0.0475.547833,5332,335
2020-07-20$35.56$35.0044.5%12.8%37.2%37.8%44.9%13.7%-0.8%31.4K-276.1K-20.5K1.7071.4710172,9611,843
2020-07-21$36.36$35.0044.5%12.8%37.3%37.7%39.4%11.0%-2.0%38.0K-699.1K-21.1K0.7972.3429232,9641,857
2020-07-22$36.66$35.0044.5%12.7%37.3%37.7%37.2%12.1%-1.2%44.3K-915.0K-21.6K0.1272.332632,9771,860
2020-07-23$37.07$35.0044.7%12.8%34.8%37.9%38.8%12.8%-3.8%50.6K-1.2M-21.7K0.4373.7035152,9951,860
2020-07-24$36.89$35.0047.1%13.5%34.9%40.5%47.0%13.6%-3.8%56.7K-1.1M-22.5K0.5075.9220102,9921,860
2020-07-27$36.20$35.0044.8%12.8%33.1%38.0%37.2%12.3%-1.8%38.7K-580.8K-20.0K0.5072.131682,9921,859
2020-07-28$36.50$35.0046.7%13.4%32.1%40.0%46.6%11.8%-4.3%43.9K-856.4K-19.4K0.3568.312,3788283,0021,861
2020-07-29$37.34$35.0046.6%13.4%32.1%40.0%46.8%7.4%-4.2%157.2K-5.0M-28.0K1.8662.891783314,6712,561
2020-07-30$36.45$35.0047.8%13.7%32.8%41.2%47.1%12.0%-4.5%124.3K-3.2M-28.8K1.4662.511572294,5992,773
2020-07-31$36.27$35.0047.9%13.7%33.0%41.3%45.5%11.1%-4.6%120.6K-3.0M-27.1K0.5238.63153794,5562,722