L Options History — April 2021

In April 2021, L traded between $52.02 and $56.14. ATM implied volatility averaged 24.0%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.7% (HV 20d: 18.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2021-04-07: Highest Volume — 1,515 contracts
  • 2021-04-14: Largest IV spike — 41.4% change
  • 2021-04-30: Highest IV Rank — 18.8%
  • 2021-04-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.23$52.02$56.14$52.02$55.68
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV24.0%17.7%27.3%26.7%27.3%
Expected Move7.3%6.6%7.8%7.6%7.8%
HV 20d18.2%13.1%24.3%24.3%13.7%
HV 60d21.8%21.1%23.1%23.1%21.2%
IV Rank11.9%0.0%18.8%13.0%18.8%
IV Percentile5.3%0.0%14.3%4.4%14.3%
Term Structure-1.4%-8.4%0.9%0.9%-2.4%
VWIV27.3%23.6%29.9%26.6%25.7%
Skew 25d6.5%4.4%12.3%12.3%5.6%
Skew 10d13.0%8.1%24.0%13.2%10.2%
Call IV 25d23.2%14.6%25.4%14.6%25.4%
Put IV 25d29.7%26.8%31.1%26.8%31.0%
Bid-Ask Spread %65.2633.0284.8855.5476.48
Gamma HHI0.510.360.800.360.50
Net GEX483.6K153.3K1.3M153.3K313.7K
Net DEX-6.6M-9.0M-3.0M-3.0M-6.5M
Net VEX-23.6K-27.1K-19.5K-19.8K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.000.970.190.14
Total Volume288.429251,51525415
Total OI3,574.2382,5504,5282,5503,245

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$52.02$50.0026.7%7.6%24.3%13.0%26.6%12.3%0.9%153.3K-3.0M-19.8K0.1955.542141,826724
2021-04-05$52.78$50.0017.9%7.3%23.0%0.0%28.9%6.7%-0.1%162.1K-3.5M-19.5K0.0679.73393221,840724
2021-04-06$53.03$50.0018.5%7.2%22.9%1.2%26.9%5.2%-0.2%334.7K-6.8M-25.5K0.0260.0223352,805756
2021-04-07$53.38$50.0023.9%7.4%21.1%11.8%27.3%4.9%-1.7%370.3K-7.3M-26.1K0.0054.371,51322,912758
2021-04-08$52.99$50.0023.7%7.3%20.3%11.5%28.2%5.1%-0.9%665.3K-7.5M-27.1K0.0144.6430933,770758
2021-04-09$53.53$50.0022.0%7.1%20.2%8.2%27.0%4.9%-0.7%757.5K-8.2M-26.8K0.1240.84254313,696758
2021-04-12$54.13$50.0022.9%7.4%18.9%9.9%28.3%5.0%-1.4%1.0M-9.0M-25.8K0.2052.25379753,731780
2021-04-13$53.52$50.0017.7%7.2%19.4%0.0%27.2%4.4%-0.3%688.4K-7.2M-24.7K0.9433.021911793,598843
2021-04-14$54.06$50.0025.1%7.2%19.0%14.4%28.3%5.3%-1.0%695.9K-7.4M-23.7K0.0755.29348243,557846
2021-04-15$54.11$50.0025.3%7.2%18.4%14.7%26.5%10.2%-1.8%900.6K-7.8M-24.2K0.2856.3861173,482845
2021-04-16$54.52$50.0024.2%6.9%18.1%12.7%25.3%5.9%0.1%1.3M-7.9M-23.7K0.2769.12232623,477857
2021-04-19$54.29$50.0024.9%7.2%18.2%14.1%27.3%6.1%-2.5%315.0K-6.3M-23.0K0.8544.9453452,448739
2021-04-20$54.00$50.0025.5%7.3%16.8%15.2%27.1%10.9%-8.4%314.4K-6.0M-23.1K0.3177.5748152,451759
2021-04-21$54.78$50.0023.0%6.6%15.8%10.3%23.6%7.2%0.4%312.8K-6.6M-23.3K0.1377.3688112,435773
2021-04-22$54.39$50.0025.1%7.2%16.3%14.4%29.3%6.4%-0.8%297.5K-6.0M-23.0K0.8880.5025222,399784
2021-04-23$55.26$50.0024.7%7.1%16.0%13.6%29.9%6.1%-1.1%302.6K-6.8M-22.9K0.2683.05354922,391790
2021-04-26$55.33$50.0025.7%7.4%16.0%15.6%28.6%4.7%-0.5%273.4K-5.9M-22.3K0.8081.7876612,216819
2021-04-27$55.45$50.0026.1%7.5%16.0%16.4%26.5%7.4%-3.2%289.8K-6.0M-22.3K0.0679.88164102,248823
2021-04-28$55.42$50.0026.0%7.5%15.9%16.3%29.2%5.7%-3.3%329.8K-6.3M-22.8K0.0482.846732,375833
2021-04-29$56.14$50.0026.8%7.7%13.1%17.7%26.1%6.7%-1.6%309.9K-6.9M-22.5K0.9784.8876742,347841
2021-04-30$55.68$50.0027.3%7.8%13.7%18.8%25.7%5.6%-2.4%313.7K-6.5M-23.2K0.1476.48365502,378867