L Options History — October 2020

In October 2020, L traded between $33.50 and $37.38. ATM implied volatility averaged 37.1%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.0% (HV 20d: 35.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2020-10-19: Highest Volume — 682 contracts
  • 2020-10-14: Largest IV spike — 28.2% change
  • 2020-10-30: Highest IV Rank — 39.9%
  • 2020-10-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.56$33.50$37.38$34.66$34.62
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV37.1%28.9%46.6%35.6%46.6%
Expected Move11.2%10.2%13.4%10.2%13.4%
HV 20d35.1%28.6%41.1%39.1%30.6%
HV 60d32.7%32.0%33.7%33.7%33.0%
IV Rank29.9%21.3%39.9%28.3%39.9%
IV Percentile50.0%37.3%67.9%45.2%67.9%
Term Structure-1.8%-5.1%3.5%3.5%-5.1%
VWIV38.2%31.0%54.5%36.8%54.5%
Skew 25d10.2%5.6%16.8%13.1%11.8%
Skew 10d17.2%2.4%27.1%20.9%16.5%
Call IV 25d33.6%25.0%44.0%29.8%44.0%
Put IV 25d43.8%34.6%55.8%42.8%55.8%
Bid-Ask Spread %82.7862.8098.3066.3276.67
Gamma HHI0.580.430.750.630.57
Net GEX-129.2K-357.8K-16.0K-152.8K-96.6K
Net DEX824.9K-1.2M2.7M1.9M1.8M
Net VEX-18.0K-20.1K-15.2K-19.9K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.009.830.231.64
Total Volume89.545768227103
Total OI4,596.0453,6654,9704,7604,393

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$34.66$35.0035.6%10.2%39.1%28.3%36.8%13.1%3.5%-152.8K1.9M-19.9K0.2366.322252,3422,418
2020-10-02$35.60$35.0036.4%10.4%40.5%29.2%36.4%5.6%-4.8%-147.3K1.0M-20.1K0.0195.727412,3572,423
2020-10-05$36.22$35.0037.4%11.5%40.6%30.3%38.9%8.8%-0.7%-122.9K344.0K-19.8K0.8179.5943352,4072,422
2020-10-06$35.62$35.0035.0%11.1%39.4%27.7%36.4%9.8%-1.0%-169.6K851.1K-19.4K1.0083.1722222,4172,425
2020-10-07$36.16$35.0033.6%11.2%39.7%26.2%33.3%9.4%-1.3%-152.7K297.2K-19.0K0.0182.718312,4332,439
2020-10-08$36.98$35.0034.4%11.2%39.9%27.1%33.1%9.6%-1.2%-78.7K-588.1K-19.1K0.1179.87112122,4522,438
2020-10-09$36.94$35.0028.9%11.1%39.9%21.3%38.8%8.9%-2.3%-91.7K-606.5K-18.7K2.7286.95531442,4742,438
2020-10-12$37.38$35.0032.6%10.9%39.3%25.2%35.9%7.4%-1.7%-16.0K-1.2M-17.5K1.1186.349102,5052,429
2020-10-13$35.99$35.0029.0%10.9%41.1%21.4%37.9%9.2%-1.7%-223.4K122.2K-17.6K0.0083.074202,5112,439
2020-10-14$35.40$35.0037.2%10.7%37.5%30.1%34.9%8.1%-1.3%-333.3K1.0M-17.6K0.1380.24812,5202,439
2020-10-15$35.55$35.0038.1%10.9%37.5%31.0%41.6%9.9%-1.7%-357.8K785.2K-16.7K0.1183.607282,5312,439
2020-10-16$35.77$35.0037.0%10.6%37.6%29.8%37.0%10.0%-0.7%-30.9K-11.1K-16.3K0.3887.2126102,4682,444
2020-10-19$35.02$35.0037.1%10.6%30.8%30.0%37.1%16.8%-0.8%-52.4K607.4K-15.2K9.8398.30636191,9521,713
2020-10-20$35.41$35.0036.1%10.4%31.0%28.9%39.1%16.8%-1.7%-104.5K1.2M-18.8K6.0090.21162,0062,273
2020-10-21$35.62$35.0037.7%10.8%28.6%30.5%31.7%8.5%-1.9%-95.0K969.4K-18.6K0.1062.802022,0062,270
2020-10-22$35.98$35.0037.9%10.9%28.6%30.7%31.0%9.2%-1.7%-89.9K733.9K-18.7K0.0581.152212,0192,272
2020-10-23$36.34$35.0037.2%10.7%28.7%30.1%36.4%8.8%-1.7%-83.1K293.8K-18.6K0.1783.9458102,0112,272
2020-10-26$34.98$35.0039.6%11.4%29.4%32.6%39.6%9.1%-2.2%-112.6K1.6M-17.3K0.9480.7334322,0282,274
2020-10-27$34.38$35.0039.6%11.3%29.5%32.6%39.6%12.3%-3.0%-120.8K2.2M-16.4K0.0785.124032,0492,277
2020-10-28$33.50$35.0043.8%12.6%30.7%37.0%47.2%10.7%-3.8%-106.1K2.7M-15.9K1.0084.8612122,0622,278
2020-10-29$34.31$35.0044.4%12.7%32.0%37.7%43.5%9.9%-3.4%-104.1K2.1M-16.9K0.0882.6210892,0622,286
2020-10-30$34.62$35.0046.6%13.4%30.6%39.9%54.5%11.8%-5.1%-96.6K1.8M-17.0K1.6476.6739642,1022,291