L Options History — January 2021

In January 2021, L traded between $44.47 and $47.63. ATM implied volatility averaged 32.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.2% (HV 20d: 22.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.19.

Notable Days

2021-01-14: Highest Volume — 827 contracts
2021-01-27: Largest IV spike — 24.0% change
2021-01-27: Highest IV Rank — 31.5%
2021-01-27: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.49	$44.47	$47.63	$44.47	$45.56
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	32.6%	27.1%	42.6%	31.9%	38.5%
Expected Move	9.7%	8.1%	12.2%	9.6%	11.0%
HV 20d	22.4%	18.7%	25.1%	22.2%	21.4%
HV 60d	39.4%	35.8%	41.0%	40.4%	35.8%
IV Rank	20.9%	15.4%	31.5%	23.9%	26.8%
IV Percentile	30.4%	14.3%	60.3%	29.8%	50.0%
Term Structure	-0.7%	-5.5%	0.6%	0.1%	-1.8%
VWIV	31.8%	20.6%	42.9%	33.3%	38.4%
Skew 25d	6.1%	2.2%	11.6%	8.6%	7.1%
Skew 10d	8.3%	-18.1%	24.9%	7.7%	2.5%
Call IV 25d	31.1%	27.3%	40.5%	30.7%	37.0%
Put IV 25d	37.1%	32.4%	47.5%	39.3%	44.1%
Bid-Ask Spread %	82.60	70.81	93.22	70.81	84.89
Gamma HHI	0.40	0.25	0.52	0.28	0.44
Net GEX	179.9K	60.1K	263.5K	60.1K	211.4K
Net DEX	-3.7M	-4.9M	-1.6M	-1.6M	-3.3M
Net VEX	-16.0K	-19.0K	-13.9K	-14.6K	-18.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	0.61	0.02	0.18
Total Volume	192.526	3	827	516	138
Total OI	4,004.632	3,395	4,604	3,395	4,604

Daily Data (19 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
2021-01-04	$44.47	$45.00	31.9%	9.6%	22.2%	23.9%	33.3%	8.6%	0.1%	60.1K	-1.6M	-14.6K	0.02	70.81	506	10	1,958	1,437
2021-01-05	$44.92	$45.00	29.8%	9.7%	21.7%	19.0%	34.4%	6.5%	-2.0%	144.8K	-2.6M	-16.5K	0.15	76.69	46	7	2,334	1,528
2021-01-06	$46.86	$45.00	29.5%	9.6%	25.1%	18.7%	33.3%	4.9%	0.4%	204.9K	-4.6M	-15.9K	0.10	77.83	333	33	2,373	1,528
2021-01-07	$46.81	$45.00	28.2%	9.3%	24.8%	17.3%	30.7%	6.1%	-0.6%	177.3K	-4.0M	-15.9K	0.61	78.50	38	23	2,283	1,540
2021-01-08	$46.60	$45.00	27.1%	9.3%	24.7%	15.7%	28.5%	6.5%	0.1%	157.9K	-3.8M	-15.5K	0.55	80.45	11	6	2,279	1,551
2021-01-11	$46.56	$45.00	29.6%	9.7%	24.7%	17.8%	20.6%	5.9%	-0.3%	143.7K	-3.8M	-15.2K	0.00	78.50	3	0	2,283	1,562
2021-01-12	$47.02	$45.00	31.3%	9.3%	24.8%	18.7%	33.7%	6.4%	-0.2%	145.9K	-4.1M	-14.6K	0.00	77.97	47	0	2,279	1,562
2021-01-13	$47.09	$45.00	32.4%	9.3%	24.0%	20.0%	29.8%	2.9%	0.6%	73.2K	-4.2M	-13.9K	0.08	78.86	196	15	2,251	1,562
2021-01-14	$47.42	$45.00	32.7%	9.4%	22.6%	20.4%	29.8%	6.4%	0.1%	130.1K	-4.8M	-14.4K	0.03	81.94	802	25	2,437	1,570
2021-01-15	$47.25	$45.00	32.5%	9.3%	22.7%	20.1%	29.4%	3.4%	-0.1%	185.7K	-4.9M	-17.1K	0.07	82.99	80	6	2,914	1,593
2021-01-19	$47.63	$45.00	28.3%	8.1%	22.7%	15.4%	32.4%	2.2%	0.2%	212.6K	-4.1M	-15.7K	0.03	83.63	30	1	2,147	1,470
2021-01-20	$47.32	$45.00	31.4%	9.0%	21.4%	18.9%	28.2%	4.5%	0.6%	206.5K	-3.9M	-15.3K	0.15	85.99	192	28	2,159	1,472
2021-01-21	$46.83	$45.00	32.1%	9.2%	21.9%	19.7%	28.9%	6.1%	0.3%	218.5K	-3.7M	-15.2K	0.15	85.25	142	21	2,343	1,485
2021-01-22	$46.49	$45.00	32.2%	9.2%	21.0%	19.7%	31.4%	5.8%	0.3%	208.5K	-3.3M	-15.1K	0.60	88.36	203	122	2,425	1,506
2021-01-25	$46.65	$45.00	34.6%	9.9%	19.0%	22.5%	31.2%	11.6%	-0.5%	244.6K	-3.5M	-15.9K	0.05	91.53	350	18	2,601	1,517
2021-01-26	$46.39	$45.00	34.4%	9.8%	18.7%	22.2%	33.7%	5.2%	-0.7%	263.5K	-3.6M	-17.8K	0.32	84.66	19	6	2,935	1,524
2021-01-27	$45.38	$45.00	42.6%	12.2%	20.5%	31.5%	42.9%	7.0%	-5.5%	182.0K	-2.8M	-19.0K	0.02	87.31	164	3	2,951	1,530
2021-01-28	$46.09	$45.00	39.3%	11.3%	20.9%	27.8%	33.7%	8.3%	-4.4%	245.9K	-3.7M	-18.3K	0.55	93.22	22	12	3,065	1,530
2021-01-29	$45.56	$45.00	38.5%	11.0%	21.4%	26.8%	38.4%	7.1%	-1.8%	211.4K	-3.3M	-18.0K	0.18	84.89	117	21	3,074	1,530