L Options History — May 2021

In May 2021, L traded between $56.78 and $58.94. ATM implied volatility averaged 22.3%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.7% (HV 20d: 18.6%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2021-05-03: Highest Volume — 1,630 contracts
  • 2021-05-12: Largest IV spike — 26.1% change
  • 2021-05-12: Highest IV Rank — 23.1%
  • 2021-05-12: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.99$56.78$58.94$57.16$58.47
Max Pain$50.75$45.00$55.00$50.00$55.00
ATM IV22.3%17.9%28.3%23.2%19.4%
Expected Move6.5%5.5%8.1%6.7%5.5%
HV 20d18.6%15.0%21.8%15.5%21.3%
HV 60d21.4%19.9%22.7%21.6%19.9%
IV Rank9.8%0.4%23.1%10.8%3.5%
IV Percentile5.0%0.8%23.4%3.2%2.4%
Term Structure1.0%-0.9%2.4%0.6%1.3%
VWIV23.6%19.7%27.1%22.8%19.7%
Skew 25d4.2%2.2%7.2%3.0%5.3%
Skew 10d9.9%-3.9%18.0%10.8%8.5%
Call IV 25d21.4%17.9%25.5%20.2%18.5%
Put IV 25d25.6%23.1%30.8%23.1%23.8%
Bid-Ask Spread %63.6622.4890.9788.7155.32
Gamma HHI0.520.390.650.420.65
Net GEX375.7K211.9K486.2K407.1K371.3K
Net DEX-8.5M-10.4M-5.4M-8.3M-6.3M
Net VEX-32.1K-34.5K-23.2K-23.2K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.031.290.300.03
Total Volume305.5321,6301,630111
Total OI4,3483,6345,0513,6343,986

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$57.16$50.0023.2%6.7%15.5%10.8%22.8%3.0%0.6%407.1K-8.3M-23.2K0.3088.711,2533772,730904
2021-05-04$57.38$50.0025.4%7.3%15.4%15.0%23.1%3.2%-0.9%475.3K-9.4M-32.7K0.4376.512331013,2761,131
2021-05-05$57.30$50.0023.4%6.7%15.5%12.4%20.8%3.0%1.1%471.7K-9.0M-30.1K0.1990.97274533,1631,127
2021-05-06$58.05$45.0017.9%6.2%15.3%0.4%24.7%6.6%2.4%486.2K-10.0M-31.4K0.2976.274721393,2321,147
2021-05-07$58.27$50.0018.0%6.1%15.2%0.6%23.4%7.2%2.4%422.9K-9.9M-31.9K0.4883.19104503,1231,276
2021-05-10$58.75$50.0020.1%6.3%15.0%5.2%24.1%4.3%2.1%435.2K-10.4M-31.9K0.0678.25220133,1331,298
2021-05-11$57.62$50.0022.4%6.6%16.3%10.3%25.5%6.5%1.3%390.5K-8.7M-31.8K0.1876.76246443,0931,315
2021-05-12$56.78$50.0028.3%8.1%17.4%23.1%27.1%5.3%-0.7%370.5K-7.3M-32.8K0.2369.66141323,1111,333
2021-05-13$58.49$50.0024.8%7.1%19.9%15.5%26.8%4.4%1.2%415.5K-9.7M-32.0K0.2278.23112253,0921,337
2021-05-14$58.94$50.0022.9%6.6%19.9%11.3%23.4%3.9%0.8%462.0K-10.4M-31.2K0.2473.0198243,1271,318
2021-05-17$58.44$50.0023.8%6.8%20.2%13.4%24.0%3.9%0.6%413.1K-9.4M-31.3K0.1274.44242283,1401,314
2021-05-18$58.47$50.0023.1%6.6%19.9%11.7%25.5%3.7%1.3%438.2K-9.9M-32.5K1.2976.1541533,3311,342
2021-05-19$57.88$50.0024.1%6.9%20.1%14.0%25.9%3.1%1.7%211.9K-9.0M-32.0K0.3371.544061333,3491,373
2021-05-20$57.95$50.0022.9%6.6%19.8%11.4%23.4%2.2%0.1%237.6K-9.3M-33.5K0.1629.25206323,5631,416
2021-05-21$57.68$50.0022.7%6.5%19.4%10.9%25.1%2.4%0.9%235.8K-9.1M-34.5K0.0632.02175113,6401,411
2021-05-24$58.75$50.0020.9%6.0%20.2%6.9%21.1%6.1%0.7%278.0K-7.6M-34.0K0.0737.66407292,7531,220
2021-05-25$57.61$55.0021.3%6.1%21.8%7.8%23.0%2.9%0.8%320.6K-5.5M-34.2K0.7027.7557402,7041,234
2021-05-26$57.61$55.0020.4%5.9%21.8%5.9%23.1%2.9%0.9%326.2K-5.4M-33.9K0.1922.482752,7011,247
2021-05-27$58.16$55.0020.1%5.8%21.6%5.2%20.2%4.5%0.5%345.2K-6.0M-34.2K0.0555.089152,7241,246
2021-05-28$58.47$55.0019.4%5.5%21.3%3.5%19.7%5.3%1.3%371.3K-6.3M-33.8K0.0355.3210832,7431,243