L Options History — August 2020

In August 2020, L traded between $35.25 and $38.75. ATM implied volatility averaged 35.8%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.1% (HV 20d: 29.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2020-08-10: Highest Volume — 1,407 contracts
  • 2020-08-07: Largest IV drop — 27.5% change
  • 2020-08-03: Highest IV Rank — 34.3%
  • 2020-08-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$35.25$38.75$35.78$35.95
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV35.8%28.1%41.3%41.3%39.6%
Expected Move10.3%9.1%11.8%11.8%11.3%
HV 20d29.8%27.7%33.8%32.5%31.1%
HV 60d44.4%40.7%47.0%47.0%40.7%
IV Rank28.6%20.5%34.3%34.3%32.5%
IV Percentile56.7%53.6%62.3%62.3%60.3%
Term Structure1.9%-1.6%5.1%-0.5%-1.6%
VWIV35.3%29.9%41.4%41.4%39.5%
Skew 25d8.1%-2.1%10.2%8.1%9.6%
Skew 10d18.3%-4.2%24.8%15.8%18.3%
Call IV 25d32.3%27.2%39.2%39.2%34.8%
Put IV 25d40.4%29.8%48.2%47.3%44.4%
Bid-Ask Spread %53.2926.3176.6875.9264.97
Gamma HHI0.370.240.470.420.46
Net GEX29.5K-86.0K143.1K138.9K-86.0K
Net DEX-2.1M-6.6M1.3M-2.1M1.3M
Net VEX-22.9K-28.7K-17.4K-25.2K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0210.261.4810.26
Total Volume329.381511,407745259
Total OI7,488.0956,0288,1017,4016,698

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$35.78$35.0041.3%11.8%32.5%34.3%41.4%8.1%-0.5%138.9K-2.1M-25.2K1.4875.923014444,6272,774
2020-08-04$35.27$35.0039.9%11.4%31.4%32.9%40.0%9.6%-0.8%143.1K-1.3M-24.7K4.1565.311345564,6852,825
2020-08-05$36.62$35.0039.4%11.3%33.8%32.4%37.4%8.3%-0.6%114.5K-3.0M-28.7K0.2226.31144314,6833,310
2020-08-06$36.58$40.0038.8%10.9%30.7%31.7%29.9%10.2%2.9%109.8K-2.9M-27.6K0.0763.165444,6573,310
2020-08-07$37.65$40.0028.1%9.1%27.7%20.5%40.4%9.9%4.9%115.7K-4.9M-27.0K0.0760.50176124,6333,311
2020-08-10$38.75$40.0034.4%10.0%28.9%27.1%36.8%8.6%3.4%117.6K-6.6M-26.1K0.1061.591,2791284,6243,320
2020-08-11$38.72$40.0034.7%10.0%28.5%27.4%35.9%7.9%3.7%135.6K-5.6M-26.1K0.2676.68359944,6703,431
2020-08-12$38.27$40.0031.6%9.1%28.4%24.1%33.9%10.2%5.1%106.3K-4.5M-24.2K0.4760.5538184,5373,383
2020-08-13$37.82$40.0031.9%9.1%28.8%24.4%32.9%8.7%4.6%72.0K-4.0M-23.7K0.2754.9981224,5463,388
2020-08-14$37.60$40.0031.9%9.1%29.0%24.4%39.8%8.6%4.9%52.2K-3.5M-23.3K0.2346.5971164,5303,408
2020-08-17$36.86$40.0036.4%10.4%29.1%29.2%31.7%8.8%4.1%2.3K-2.5M-21.3K0.0250.3024154,5303,406
2020-08-18$36.41$40.0035.8%10.3%28.4%28.6%31.2%8.0%3.4%-19.0K-2.6M-20.2K0.0553.90191104,6523,409
2020-08-19$36.24$40.0036.0%10.3%28.3%28.7%31.7%7.9%3.0%-6.5K-1.9M-20.4K0.4349.99228974,6653,405
2020-08-20$35.72$40.0034.8%10.0%28.3%27.5%34.5%9.6%1.9%-16.5K-1.8M-18.3K0.0430.56383174,6573,419
2020-08-21$35.25$40.0034.0%9.8%28.6%26.7%34.0%-2.1%2.0%-37.9K-892.5K-17.4K3.1360.761404384,5713,415
2020-08-24$36.52$40.0035.5%10.2%30.8%28.2%31.9%9.2%0.4%-72.0K802.2K-19.9K0.4850.5982393,1912,837
2020-08-25$36.43$40.0035.0%10.0%30.7%27.7%33.8%7.2%0.1%-70.1K594.1K-20.5K0.2637.0072193,2662,871
2020-08-26$35.97$40.0037.0%10.6%29.8%29.9%32.6%7.6%0.6%-76.3K941.1K-20.6K0.6958.383692563,3082,879
2020-08-27$36.93$40.0037.7%10.8%30.2%30.6%31.8%6.7%-0.9%-49.4K275.1K-22.5K0.0937.034743,5803,142
2020-08-28$36.88$40.0038.8%11.1%30.1%31.8%40.5%7.3%-1.2%-54.9K380.2K-22.8K0.3534.0043153,5533,144
2020-08-31$35.95$40.0039.6%11.3%31.1%32.5%39.5%9.6%-1.6%-86.0K1.3M-21.1K10.2664.97232363,5503,148