L Options History — February 2021

In February 2021, L traded between $46.00 and $50.49. ATM implied volatility averaged 30.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 11.8% (HV 20d: 18.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.13.

Notable Days

2021-02-08: Highest Volume — 1,069 contracts
2021-02-08: Largest IV drop — 25.6% change
2021-02-01: Highest IV Rank — 28.2%
2021-02-01: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.21	$46.00	$50.49	$46.00	$48.35
Max Pain	$40.79	$40.00	$45.00	$45.00	$40.00
ATM IV	30.5%	25.4%	39.7%	39.7%	28.9%
Expected Move	8.8%	7.7%	11.4%	11.4%	8.3%
HV 20d	18.7%	15.9%	22.7%	21.3%	22.7%
HV 60d	24.7%	21.1%	35.6%	35.6%	21.4%
IV Rank	15.8%	3.9%	28.2%	28.2%	6.7%
IV Percentile	18.1%	1.6%	55.6%	55.6%	10.7%
Term Structure	0.1%	-3.1%	2.1%	-3.1%	-0.4%
VWIV	30.6%	27.6%	39.6%	39.6%	27.6%
Skew 25d	5.3%	-0.7%	10.2%	10.2%	6.4%
Skew 10d	17.2%	-2.6%	52.2%	8.2%	52.2%
Call IV 25d	28.8%	23.9%	36.4%	35.2%	28.8%
Put IV 25d	34.1%	25.4%	45.4%	45.4%	35.2%
Bid-Ask Spread %	78.27	62.89	94.44	83.89	94.44
Gamma HHI	0.63	0.39	0.91	0.48	0.40
Net GEX	597.0K	208.7K	1.7M	237.1K	242.5K
Net DEX	-6.1M	-9.1M	-3.4M	-3.4M	-4.0M
Net VEX	-16.9K	-21.8K	-12.4K	-16.5K	-15.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.37	0.03	0.25
Total Volume	342.895	15	1,069	164	15
Total OI	5,274.684	3,001	6,986	4,595	3,558

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
2021-02-01	$46.00	$45.00	39.7%	11.4%	21.3%	28.2%	39.6%	10.2%	-3.1%	237.1K	-3.4M	-16.5K	0.03	83.89	159	5	3,062	1,533
2021-02-02	$46.16	$45.00	37.0%	10.6%	20.8%	25.1%	36.6%	5.0%	-1.5%	277.2K	-3.7M	-16.8K	0.37	86.89	27	10	3,185	1,538
2021-02-03	$46.94	$45.00	37.2%	10.7%	21.3%	25.5%	0.0%	2.8%	-2.6%	364.1K	-4.8M	-17.4K	0.00	94.00	37	0	3,209	1,548
2021-02-04	$47.56	$40.00	31.1%	8.8%	15.9%	18.6%	32.0%	6.6%	-0.2%	443.8K	-5.5M	-17.4K	0.02	71.40	988	15	3,226	1,548
2021-02-05	$47.89	$40.00	34.2%	8.8%	16.0%	22.0%	31.7%	5.0%	-0.3%	685.6K	-7.3M	-19.7K	0.10	68.72	628	60	4,113	1,553
2021-02-08	$48.44	$40.00	25.4%	8.5%	16.3%	12.2%	30.0%	5.2%	0.7%	974.7K	-8.4M	-20.1K	0.07	62.89	995	74	4,795	1,596
2021-02-09	$48.24	$40.00	27.5%	8.1%	16.4%	14.5%	30.0%	4.5%	1.5%	1.2M	-8.5M	-21.8K	0.10	71.25	701	69	5,364	1,622
2021-02-10	$48.01	$40.00	29.1%	8.3%	16.2%	16.3%	31.4%	5.1%	1.2%	967.4K	-7.2M	-19.2K	0.00	66.67	60	0	4,890	1,661
2021-02-11	$48.06	$40.00	29.8%	8.6%	16.2%	16.8%	27.8%	3.7%	0.2%	969.3K	-6.8M	-17.9K	0.22	73.56	46	10	4,896	1,662
2021-02-12	$48.31	$40.00	28.1%	8.1%	16.2%	14.9%	28.2%	4.9%	2.0%	1.1M	-7.3M	-18.2K	0.00	66.49	94	0	4,900	1,662
2021-02-16	$48.98	$40.00	28.5%	8.2%	16.7%	15.3%	30.2%	4.8%	1.8%	1.7M	-9.1M	-17.3K	0.19	78.32	108	21	4,942	1,662
2021-02-17	$48.41	$40.00	29.9%	8.6%	17.2%	17.0%	30.1%	3.3%	0.6%	577.4K	-5.8M	-13.6K	0.22	66.46	60	13	4,898	1,662
2021-02-18	$47.48	$40.00	32.5%	9.3%	18.5%	19.8%	31.7%	7.6%	-0.1%	248.1K	-4.9M	-12.4K	0.20	73.57	66	13	4,931	1,675
2021-02-19	$48.11	$40.00	27.8%	8.0%	18.6%	13.7%	28.1%	6.0%	0.4%	208.7K	-5.3M	-12.8K	0.06	84.14	309	19	4,987	1,684
2021-02-22	$49.31	$40.00	28.2%	8.1%	20.0%	12.8%	28.6%	7.9%	0.2%	308.3K	-5.6M	-14.7K	0.06	90.11	371	23	2,336	697
2021-02-23	$50.49	$40.00	29.1%	8.3%	21.3%	9.0%	29.1%	-0.7%	0.5%	331.1K	-6.9M	-17.3K	0.15	83.13	423	63	2,501	707
2021-02-24	$50.38	$40.00	26.7%	7.7%	21.1%	3.9%	27.9%	4.9%	2.1%	270.0K	-6.1M	-16.0K	0.13	79.84	701	89	2,260	741
2021-02-25	$48.89	$40.00	29.3%	8.4%	22.6%	7.1%	27.6%	7.6%	-0.7%	243.9K	-4.5M	-16.2K	0.23	91.33	197	46	2,613	802
2021-02-26	$48.35	$40.00	28.9%	8.3%	22.7%	6.7%	0.0%	6.4%	-0.4%	242.5K	-4.0M	-15.9K	0.25	94.44	12	3	2,728	830