L Options History — March 2021

In March 2021, L traded between $48.83 and $52.75. ATM implied volatility averaged 27.5%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.8% (HV 20d: 26.7%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.76.

Notable Days

  • 2021-03-12: Highest Volume — 519 contracts
  • 2021-03-25: Largest IV spike — 49.9% change
  • 2021-03-25: Highest IV Rank — 14.8%
  • 2021-03-08: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.11$48.83$52.75$49.69$51.49
Max Pain$49.57$45.00$55.00$45.00$50.00
ATM IV27.5%18.6%33.0%27.9%26.7%
Expected Move7.8%5.3%8.7%8.0%7.7%
HV 20d26.7%23.7%29.5%23.7%25.6%
HV 60d22.8%21.9%23.5%21.9%23.1%
IV Rank7.3%0.0%14.8%5.4%13.0%
IV Percentile9.2%0.0%29.0%4.8%4.8%
Term Structure1.0%-4.5%11.8%0.3%0.8%
VWIV28.1%20.4%33.6%33.6%26.6%
Skew 25d6.2%0.0%14.7%10.7%0.7%
Skew 10d12.9%-1.3%34.8%17.1%-1.3%
Call IV 25d24.9%21.6%28.3%23.3%25.5%
Put IV 25d31.1%25.9%37.4%34.0%26.2%
Bid-Ask Spread %73.1723.9493.1789.0323.94
Gamma HHI0.420.300.620.430.35
Net GEX252.2K119.0K449.9K296.5K143.9K
Net DEX-5.0M-7.8M-2.0M-5.0M-2.8M
Net VEX-17.3K-20.4K-15.3K-16.2K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.006.150.556.15
Total Volume145.217115195193
Total OI3,306.4782,0944,1413,5272,500

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$49.69$45.0027.9%8.0%23.7%5.4%33.6%10.7%0.3%296.5K-5.0M-16.2K0.5589.0333182,694833
2021-03-02$49.60$45.0027.5%7.9%23.7%4.8%32.8%8.6%0.9%298.8K-4.9M-15.8K0.8393.16652,717850
2021-03-03$49.87$45.0028.1%8.1%23.7%5.7%28.1%13.0%1.6%302.3K-5.1M-16.4K0.0086.455602,718850
2021-03-04$48.83$55.0030.6%8.4%24.8%8.7%29.2%6.3%0.3%282.0K-4.3M-15.9K0.0071.7625212,769850
2021-03-05$50.18$50.0028.4%8.3%26.1%6.0%28.1%6.6%0.7%406.6K-6.1M-17.0K0.0570.70207103,004852
2021-03-08$50.50$50.0033.0%8.7%26.1%11.7%31.6%6.6%-1.0%376.9K-6.2M-16.5K0.9673.611131082,941833
2021-03-09$49.40$50.0031.3%8.4%27.3%9.6%29.2%5.8%0.8%355.4K-5.1M-16.0K0.0173.3517722,956842
2021-03-10$50.50$50.0029.4%8.4%28.2%7.2%29.5%6.3%0.5%449.9K-6.6M-16.8K0.0673.57179113,123844
2021-03-11$50.20$50.0028.6%8.2%28.2%6.3%28.6%4.2%0.2%441.8K-6.4M-17.4K0.2774.7245123,127854
2021-03-12$51.43$50.0029.8%8.6%29.3%7.8%29.5%6.9%-0.9%448.1K-7.8M-16.6K0.1284.71465543,156864
2021-03-15$51.84$50.0028.9%8.3%29.3%6.7%28.7%5.9%1.7%326.2K-6.9M-15.3K0.0879.14179142,853911
2021-03-16$51.26$50.0028.3%8.1%29.5%5.9%28.1%5.2%0.4%334.3K-6.6M-16.1K1.6777.861081802,980923
2021-03-17$52.05$50.0029.9%8.6%29.4%8.9%28.9%7.6%-4.5%129.8K-7.1M-17.8K0.0591.0311562,9911,096
2021-03-18$52.71$50.0025.6%7.3%28.2%2.8%27.4%6.0%1.4%126.1K-7.4M-17.8K1.2357.55981212,9661,098
2021-03-19$52.75$50.0023.4%6.7%28.1%0.0%26.4%4.0%2.0%126.0K-7.4M-17.9K0.2193.1776163,0091,132
2021-03-22$51.78$50.0026.4%7.6%28.2%5.1%28.2%4.5%-0.2%126.8K-2.4M-17.7K0.9483.6317161,528566
2021-03-23$50.92$50.0026.5%7.6%27.8%5.3%26.3%4.3%0.2%119.0K-2.0M-17.1K0.1562.636191,542582
2021-03-24$51.10$50.0018.6%5.3%27.8%0.0%20.4%14.7%11.8%141.8K-2.1M-16.8K1.9665.4127531,592592
2021-03-25$52.04$50.0027.8%8.0%26.0%14.8%27.1%4.9%0.2%124.5K-2.5M-17.9K0.0176.1617411,609645
2021-03-26$52.28$50.0027.6%7.9%25.4%14.4%25.4%4.3%0.6%140.1K-3.0M-18.6K0.0089.845901,716645
2021-03-29$52.31$50.0022.9%6.6%23.9%7.0%26.3%0.0%3.2%147.6K-3.0M-19.4K0.7550.8065491,757645
2021-03-30$52.69$50.0024.8%7.1%23.9%10.0%27.3%4.8%2.1%156.5K-3.4M-20.4K1.3340.7821281,813681
2021-03-31$51.49$50.0026.7%7.7%25.6%13.0%26.6%0.7%0.8%143.9K-2.8M-19.5K6.1523.9413801,817683