L Options History — November 2020

In November 2020, L traded between $36.66 and $44.73. ATM implied volatility averaged 33.4%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 21.7% (HV 20d: 55.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2020-11-02: Highest Volume — 1,217 contracts
2020-11-30: Largest IV spike — 24.2% change
2020-11-02: Highest IV Rank — 42.7%
2020-11-02: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.57	$36.66	$44.73	$37.20	$42.17
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	33.4%	27.9%	49.2%	49.2%	35.4%
Expected Move	9.5%	8.0%	14.1%	14.1%	10.2%
HV 20d	55.1%	39.8%	61.0%	39.8%	59.7%
HV 60d	42.6%	35.5%	45.2%	35.7%	45.2%
IV Rank	26.0%	20.2%	42.7%	42.7%	28.1%
IV Percentile	36.0%	24.6%	74.2%	74.2%	36.9%
Term Structure	0.1%	-6.8%	1.8%	-6.8%	-0.7%
VWIV	32.8%	16.9%	47.5%	47.5%	30.3%
Skew 25d	6.7%	-2.9%	12.4%	7.2%	4.5%
Skew 10d	17.2%	-25.4%	43.5%	27.2%	12.4%
Call IV 25d	30.1%	20.1%	49.4%	43.6%	30.9%
Put IV 25d	36.8%	32.5%	50.7%	50.7%	35.4%
Bid-Ask Spread %	75.35	54.86	81.94	76.40	81.94
Gamma HHI	0.39	0.28	0.49	0.47	0.32
Net GEX	122.1K	-80.4K	193.2K	-41.7K	173.6K
Net DEX	-5.0M	-7.4M	-298.6K	-555.2K	-4.8M
Net VEX	-14.1K	-17.9K	-10.7K	-17.6K	-12.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.00	3.50	0.44	1.67
Total Volume	198.3	16	1,217	1,217	16
Total OI	4,935.3	3,584	5,588	4,545	4,154

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-11-02	$37.20	$35.00	49.2%	14.1%	39.8%	42.7%	47.5%	7.2%	-6.8%	-41.7K	-555.2K	-17.6K	0.44	76.40	843	374	2,141	2,404
2020-11-03	$38.07	$35.00	42.6%	12.2%	39.9%	35.7%	45.0%	-2.9%	-4.7%	-17.8K	-1.5M	-17.6K	0.30	80.21	284	84	2,141	2,404
2020-11-04	$36.66	$35.00	39.9%	11.4%	42.2%	32.9%	39.9%	2.3%	-1.3%	-80.4K	-298.6K	-17.9K	0.19	54.86	42	8	2,407	2,683
2020-11-05	$37.92	$35.00	33.3%	9.7%	43.1%	25.9%	34.8%	7.6%	0.4%	4.9K	-1.9M	-17.4K	0.47	69.04	53	25	2,429	2,685
2020-11-06	$37.94	$35.00	31.7%	9.3%	43.1%	24.2%	32.6%	6.5%	1.2%	-14.8K	-1.8M	-16.6K	0.19	76.31	32	6	2,391	2,706
2020-11-09	$42.89	$35.00	34.1%	9.2%	61.0%	26.8%	32.4%	4.7%	0.9%	169.4K	-6.8M	-12.3K	0.13	74.39	698	88	2,407	2,710
2020-11-10	$42.26	$35.00	38.7%	10.2%	59.2%	31.6%	16.9%	7.6%	0.3%	181.7K	-6.1M	-15.5K	1.37	73.19	27	37	2,685	2,748
2020-11-11	$41.17	$35.00	34.3%	9.8%	59.9%	27.0%	33.1%	7.0%	0.2%	191.1K	-5.2M	-15.2K	0.98	73.60	42	41	2,690	2,772
2020-11-12	$40.90	$35.00	34.4%	9.9%	60.1%	27.0%	31.6%	6.2%	0.2%	191.9K	-5.0M	-15.2K	1.43	81.41	7	10	2,687	2,776
2020-11-13	$42.40	$35.00	34.3%	9.8%	60.9%	26.9%	29.5%	6.9%	1.3%	183.4K	-6.3M	-14.2K	0.00	68.99	87	0	2,688	2,792
2020-11-16	$43.38	$35.00	30.4%	8.7%	60.1%	22.9%	32.6%	9.3%	1.3%	180.3K	-7.2M	-12.7K	0.55	69.95	55	30	2,689	2,793
2020-11-17	$43.53	$35.00	29.9%	8.6%	60.1%	22.4%	32.3%	8.9%	1.8%	157.9K	-7.4M	-12.0K	0.67	76.86	12	8	2,717	2,819
2020-11-18	$43.30	$35.00	29.9%	8.6%	60.4%	22.3%	31.9%	8.4%	1.8%	154.9K	-7.2M	-11.8K	0.79	81.59	75	59	2,720	2,820
2020-11-19	$42.91	$35.00	28.7%	8.2%	60.7%	21.1%	32.7%	3.9%	1.4%	184.2K	-6.8M	-12.3K	1.07	76.39	14	15	2,719	2,861
2020-11-20	$42.66	$35.00	27.9%	8.0%	61.0%	20.3%	30.3%	5.6%	1.3%	141.3K	-6.8M	-11.9K	0.04	80.28	46	2	2,724	2,864
2020-11-23	$43.51	$35.00	27.9%	8.0%	58.6%	20.2%	32.2%	7.5%	0.9%	151.2K	-5.7M	-10.7K	0.00	77.66	215	0	2,248	1,336
2020-11-24	$44.73	$35.00	28.4%	8.1%	57.9%	20.8%	29.3%	12.4%	0.6%	150.8K	-6.4M	-11.9K	0.03	76.79	543	18	2,268	1,336
2020-11-25	$44.33	$35.00	28.3%	8.1%	56.6%	20.7%	33.8%	12.0%	0.9%	193.2K	-6.3M	-13.2K	0.58	77.90	33	19	2,775	1,352
2020-11-27	$43.50	$35.00	28.5%	8.2%	57.7%	20.9%	28.0%	8.4%	0.2%	186.6K	-5.8M	-13.5K	3.50	79.31	4	14	2,797	1,368
2020-11-30	$42.17	$35.00	35.4%	10.2%	59.7%	28.1%	30.3%	4.5%	-0.7%	173.6K	-4.8M	-12.8K	1.67	81.94	6	10	2,796	1,358