L Options History — December 2020

In December 2020, L traded between $42.50 and $44.93. ATM implied volatility averaged 28.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.5% (HV 20d: 31.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2020-12-07: Highest Volume — 841 contracts
  • 2020-12-04: Largest IV spike — 23.6% change
  • 2020-12-01: Highest IV Rank — 26.9%
  • 2020-12-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.70$42.50$44.93$42.50$44.93
Max Pain$39.55$35.00$40.00$35.00$40.00
ATM IV28.8%23.6%34.2%34.2%26.7%
Expected Move8.5%7.5%9.8%9.8%7.7%
HV 20d31.3%21.5%55.0%55.0%21.8%
HV 60d42.4%40.4%45.2%45.2%40.4%
IV Rank21.2%15.7%26.9%26.9%19.0%
IV Percentile23.4%15.5%32.5%32.5%15.5%
Term Structure2.5%0.9%4.5%0.9%4.5%
VWIV30.8%18.5%36.4%34.9%25.8%
Skew 25d8.7%4.2%39.3%6.0%11.9%
Skew 10d15.4%1.4%55.3%15.7%19.2%
Call IV 25d27.0%21.9%30.2%28.7%21.9%
Put IV 25d35.7%31.2%68.0%34.7%33.8%
Bid-Ask Spread %86.5972.86106.0178.5689.61
Gamma HHI0.320.250.490.310.28
Net GEX95.2K-25.9K245.3K180.2K74.1K
Net DEX-3.6M-5.6M-423.2K-5.1M-1.7M
Net VEX-14.9K-17.3K-11.8K-12.3K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0012.797.100.00
Total Volume107.31878418124
Total OI4,199.6822,9355,2324,1653,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$42.50$35.0034.2%9.8%55.0%26.9%34.9%6.0%0.9%180.2K-5.1M-12.3K7.1078.5610712,7961,369
2020-12-02$42.60$35.0029.0%8.3%54.6%21.4%29.0%6.0%1.5%177.6K-5.2M-12.3K1.2081.9366792,8021,407
2020-12-03$42.65$40.0023.6%8.7%52.2%15.7%32.7%4.2%1.7%172.0K-5.0M-12.8K0.2190.8585182,8041,484
2020-12-04$43.39$40.0029.1%8.6%51.5%21.5%31.1%4.7%1.8%182.8K-5.5M-12.9K0.4276.411252,8071,479
2020-12-07$42.74$40.0024.5%8.6%52.0%16.6%32.1%4.5%1.0%178.1K-5.1M-11.8K12.7980.04617802,8111,474
2020-12-08$43.47$40.0028.9%8.5%29.0%21.3%32.7%5.5%2.3%116.4K-4.6M-17.3K0.0284.358222,8252,262
2020-12-09$43.24$40.0029.9%8.6%28.5%22.4%32.0%5.4%1.6%114.4K-4.4M-17.3K0.2779.521132,8662,264
2020-12-10$43.59$40.0031.1%8.9%26.7%23.6%35.4%5.0%1.2%124.4K-4.9M-16.8K0.1172.863642,8732,265
2020-12-11$43.77$40.0031.2%8.9%26.5%23.7%33.2%5.8%1.3%125.7K-4.9M-16.9K0.4380.392192,8822,267
2020-12-14$43.17$40.0030.1%8.6%24.1%22.5%30.2%7.5%1.3%32.1K-4.3M-15.7K0.2985.8435102,8772,272
2020-12-15$44.31$40.0030.1%8.6%24.6%22.5%34.8%5.4%1.6%143.5K-5.3M-15.8K0.4182.9944182,8882,281
2020-12-16$44.57$40.0030.6%8.8%24.6%23.1%35.2%7.6%1.1%200.4K-5.6M-15.6K0.4098.3040162,8862,293
2020-12-17$44.51$40.0029.3%8.4%24.5%21.7%29.7%9.4%3.5%245.3K-5.5M-15.6K0.3197.5252162,8862,309
2020-12-18$43.63$40.0028.3%8.1%25.4%20.6%33.2%39.3%3.4%-9.3K-4.7M-15.0K0.31106.0196302,9072,325
2020-12-21$43.86$40.0030.1%8.6%25.3%22.5%36.4%10.7%2.8%-7.0K-670.7K-15.8K0.4793.9351241,5161,419
2020-12-22$43.13$40.0030.5%8.7%25.1%22.9%30.6%4.8%1.6%-25.9K-423.2K-15.1K0.2788.582261,5371,427
2020-12-23$44.35$40.0028.2%8.1%25.2%20.5%28.0%10.6%4.3%-90-1.0M-14.9K0.0085.543801,5391,424
2020-12-24$43.94$40.0027.4%7.8%25.2%19.7%28.2%8.8%4.4%-5.4K-936.0K-14.4K0.1787.58611,5571,424
2020-12-28$44.39$40.0028.4%8.1%24.5%20.7%28.4%10.3%3.7%-2.8K-1.0M-14.4K0.0289.2417931,5571,425
2020-12-29$44.14$40.0027.0%7.8%21.5%19.3%18.5%9.1%4.5%25.2K-1.1M-15.2K0.0488.20244101,7231,426
2020-12-30$44.41$40.0026.1%7.5%21.5%18.3%26.1%8.3%4.5%53.1K-1.5M-14.9K0.0086.644101,9271,437
2020-12-31$44.93$40.0026.7%7.7%21.8%19.0%25.8%11.9%4.5%74.1K-1.7M-15.9K0.0089.612401,9571,437