L Options History — September 2020

In September 2020, L traded between $33.49 and $37.24. ATM implied volatility averaged 38.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.3% (HV 20d: 32.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2020-09-18: Highest Volume — 1,217 contracts
  • 2020-09-09: Largest IV drop — 9.6% change
  • 2020-09-08: Highest IV Rank — 37.7%
  • 2020-09-08: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.53$33.49$37.24$36.22$34.62
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV38.1%34.3%44.4%39.3%35.7%
Expected Move10.9%9.8%12.5%11.3%10.2%
HV 20d32.8%26.6%40.1%30.7%39.6%
HV 60d33.6%30.6%40.5%40.5%33.7%
IV Rank31.0%27.0%37.7%32.3%28.5%
IV Percentile53.8%45.6%63.9%59.1%45.6%
Term Structure1.6%-3.2%3.9%-0.3%3.6%
VWIV37.8%34.0%51.9%39.3%51.9%
Skew 25d10.3%4.9%18.4%7.5%4.9%
Skew 10d16.4%-0.3%29.6%16.9%6.6%
Call IV 25d33.1%27.2%40.2%35.7%40.2%
Put IV 25d43.3%38.2%48.0%43.2%45.1%
Bid-Ask Spread %65.4130.6487.3541.3772.35
Gamma HHI0.570.400.770.490.62
Net GEX-118.1K-305.1K38.6K-97.9K-143.8K
Net DEX1.5M-280.5K2.7M1.2M1.9M
Net VEX-19.1K-21.6K-15.9K-21.4K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.0011.553.100.00
Total Volume160.38181,2171728
Total OI6,106.6194,5477,4446,8314,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$36.22$40.0039.3%11.3%30.7%32.3%39.3%7.5%-0.3%-97.9K1.2M-21.4K3.1041.37421303,5613,270
2020-09-02$36.76$40.0042.3%12.1%28.1%35.5%40.3%10.5%-0.8%-76.1K654.4K-21.6K0.5064.8376383,5713,273
2020-09-03$36.57$35.0040.0%11.8%28.2%33.0%44.6%9.6%1.8%-95.4K938.7K-20.8K0.2077.69177353,5883,297
2020-09-04$37.12$35.0041.8%11.6%26.7%34.9%34.8%10.1%2.0%-71.7K305.8K-20.9K0.1171.121823,5903,324
2020-09-08$35.93$35.0044.4%12.5%26.6%37.7%34.2%11.0%-0.5%-134.8K1.7M-19.0K0.2978.5342123,5843,325
2020-09-09$36.05$35.0040.2%11.5%26.7%33.2%0.0%10.0%1.1%-138.8K1.5M-18.9K0.5279.1321113,5843,329
2020-09-10$35.41$35.0037.5%10.8%27.0%30.4%34.4%7.6%-3.2%-253.9K2.4M-17.3K0.0287.356013,5903,318
2020-09-11$35.40$35.0036.6%10.5%26.9%29.4%36.6%9.1%2.6%-207.1K2.2M-17.1K2.2867.1629663,5903,319
2020-09-14$36.22$35.0037.2%10.7%28.4%30.1%36.6%9.4%0.9%-195.5K1.3M-16.8K0.5765.1337213,5913,370
2020-09-15$35.50$35.0034.3%9.8%28.4%27.0%38.1%8.5%3.1%-305.1K2.1M-15.9K1.2176.8956683,6073,348
2020-09-16$37.24$35.0037.6%10.8%33.1%30.5%34.2%5.2%1.3%-7.3K5.8K-16.3K0.0278.49733173,6543,328
2020-09-17$36.97$35.0039.1%11.2%33.2%32.0%34.1%8.0%1.7%24.6K-280.5K-17.5K0.1480.822234,1173,327
2020-09-18$36.94$35.0036.8%10.6%32.7%29.6%35.2%7.1%2.3%38.6K-207.4K-17.2K11.5577.48971,1204,1023,330
2020-09-21$34.67$35.0038.3%11.0%39.8%31.2%38.8%16.9%0.9%-99.6K1.8M-20.8K1.3767.6841562,2412,306
2020-09-22$34.71$35.0037.7%10.8%37.5%30.6%34.0%18.4%1.8%-102.3K1.8M-21.2K0.0530.641912,2822,332
2020-09-23$33.65$35.0036.1%10.3%38.8%28.8%40.2%11.5%2.4%-118.6K2.6M-19.8K0.4536.1222102,2892,332
2020-09-24$33.49$35.0036.6%10.5%38.7%29.4%38.3%10.2%3.1%-116.5K2.7M-19.7K0.3755.6343162,2942,345
2020-09-25$33.56$35.0036.0%10.3%37.1%28.7%36.9%11.9%3.9%-116.8K2.7M-19.3K1.0743.8940432,3212,343
2020-09-28$34.86$35.0035.9%10.3%40.1%28.6%36.1%14.2%3.3%-124.9K1.5M-20.5K1.8067.2545812,3542,379
2020-09-29$34.31$35.0036.6%10.5%39.5%29.4%51.9%14.0%2.8%-136.2K2.1M-19.8K0.5054.02632,3532,416
2020-09-30$34.62$35.0035.7%10.2%39.6%28.5%0.0%4.9%3.6%-143.8K1.9M-19.8K0.0072.35802,3472,418