L Options History — June 2021

In June 2021, L traded between $53.20 and $58.54. ATM implied volatility averaged 21.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.3% (HV 20d: 19.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2021-06-23: Highest Volume — 580 contracts
  • 2021-06-07: Largest IV spike — 27.9% change
  • 2021-06-07: Highest IV Rank — 17.4%
  • 2021-06-07: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.95$53.20$58.54$58.54$54.58
Max Pain$56.82$55.00$60.00$55.00$55.00
ATM IV21.4%19.6%25.7%20.8%19.9%
Expected Move6.1%5.6%6.9%6.0%5.7%
HV 20d19.1%14.3%22.2%19.3%21.5%
HV 60d18.7%17.8%19.6%19.2%19.2%
IV Rank9.0%4.7%17.4%6.7%6.3%
IV Percentile6.5%2.8%18.3%4.0%4.8%
Term Structure1.9%0.5%3.4%0.5%3.1%
VWIV20.8%11.2%23.8%21.1%19.9%
Skew 25d5.3%1.3%9.2%4.6%8.9%
Skew 10d11.0%2.9%32.4%8.3%14.1%
Call IV 25d19.3%14.0%22.0%19.8%16.8%
Put IV 25d24.6%17.8%26.5%24.4%25.7%
Bid-Ask Spread %77.6829.0189.4476.8182.04
Gamma HHI0.500.370.680.670.38
Net GEX245.7K68.6K386.0K386.0K206.5K
Net DEX-2.8M-6.6M1.4M-6.6M-1.0M
Net VEX-28.6K-34.4K-23.7K-34.4K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.008.100.270.76
Total Volume142.1362258010730
Total OI3,879.8643,2144,3144,0273,627

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$58.54$55.0020.8%6.0%19.3%6.7%21.1%4.6%0.5%386.0K-6.6M-34.4K0.2776.8184232,7851,242
2021-06-02$58.11$55.0019.9%5.7%19.5%4.7%20.2%4.9%1.2%380.7K-6.0M-33.0K0.0183.5320112,7871,259
2021-06-03$58.17$60.0020.7%6.1%19.5%6.6%21.9%3.6%1.5%370.2K-5.9M-33.3K0.5349.1119102,7491,260
2021-06-04$58.07$60.0020.1%6.1%19.0%5.1%21.2%3.5%1.3%362.8K-5.8M-32.9K1.2278.0518222,7461,270
2021-06-07$57.26$60.0025.7%6.9%19.5%17.4%22.2%4.5%0.8%323.2K-4.8M-31.3K0.2264.2255122,7471,284
2021-06-08$57.34$60.0025.5%6.9%19.3%17.0%20.7%4.6%0.5%329.8K-4.8M-31.1K0.4729.011572,7691,295
2021-06-09$56.66$60.0023.7%6.8%18.5%13.1%22.4%4.5%1.2%289.9K-3.9M-30.1K1.5174.1335532,7641,299
2021-06-10$55.97$60.0022.0%6.3%18.3%9.4%22.0%3.7%1.5%247.1K-2.6M-29.3K1.1981.7321252,7501,410
2021-06-11$56.24$60.0023.0%6.6%14.5%11.6%22.9%6.5%0.7%245.7K-3.4M-30.4K0.0380.769632,7601,432
2021-06-14$55.72$60.0021.9%6.3%14.3%11.5%21.6%4.9%1.6%238.7K-2.3M-28.3K0.4387.34173752,8011,430
2021-06-15$56.66$55.0021.8%6.3%15.7%11.2%21.4%2.7%1.9%178.6K-4.1M-28.7K0.0782.0912092,8311,476
2021-06-16$56.20$55.0021.5%6.2%15.9%10.4%21.7%4.7%1.6%249.6K-3.3M-28.4K0.1579.834772,8081,476
2021-06-17$54.60$55.0021.6%6.2%18.3%10.6%22.0%3.8%2.0%302.2K-557.6K-26.7K8.1076.15201622,8251,483
2021-06-18$53.20$55.0022.5%6.5%20.0%13.2%23.8%5.2%1.4%68.6K1.4M-23.7K0.3688.08149542,8191,495
2021-06-21$54.43$55.0021.1%6.0%22.2%9.2%21.7%6.9%1.6%118.6K-568.6K-25.3K0.1685.903762,0801,134
2021-06-22$54.60$55.0019.6%5.6%20.9%5.1%19.6%7.1%2.9%123.1K-601.7K-25.3K0.0288.6313222,0991,135
2021-06-23$54.58$55.0019.8%5.7%20.0%5.8%19.8%7.1%2.8%164.3K-689.6K-24.3K0.5980.623652152,2031,134
2021-06-24$55.24$55.0019.8%5.7%20.7%5.7%19.8%7.5%3.4%202.8K-1.6M-27.2K0.1482.2674102,2611,137
2021-06-25$55.75$55.0019.7%5.7%20.7%5.5%11.2%9.2%3.1%227.5K-2.1M-28.5K0.0082.139202,3061,147
2021-06-28$54.62$55.0020.1%5.8%21.4%6.4%20.1%1.3%3.1%191.0K-1.1M-25.7K0.0189.4412112,3361,147
2021-06-29$54.37$55.0019.7%5.6%21.4%5.7%21.1%6.9%3.2%197.9K-781.9K-25.1K0.9887.212652612,4121,147
2021-06-30$54.58$55.0019.9%5.7%21.5%6.3%19.9%8.9%3.1%206.5K-1.0M-26.7K0.7682.0417132,4221,205