L Options History — July 2021

In July 2021, L traded between $51.65 and $55.33. ATM implied volatility averaged 23.9%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.3% (HV 20d: 28.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2021-07-29: Highest Volume — 298 contracts
  • 2021-07-19: Largest IV spike — 25.8% change
  • 2021-07-19: Highest IV Rank — 37.3%
  • 2021-07-19: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.95$51.65$55.33$55.33$53.59
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV23.9%18.8%29.5%20.2%25.0%
Expected Move7.0%5.4%8.5%5.8%7.2%
HV 20d28.2%22.3%31.6%22.3%30.0%
HV 60d22.5%19.4%24.7%19.4%24.0%
IV Rank19.2%3.2%37.3%7.2%23.1%
IV Percentile22.2%2.4%50.8%7.1%26.6%
Term Structure-0.9%-3.1%4.1%2.9%-1.1%
VWIV24.5%18.2%29.5%18.2%27.5%
Skew 25d4.6%2.4%8.9%2.8%7.2%
Skew 10d10.9%0.3%20.7%3.9%19.8%
Call IV 25d23.3%16.5%27.1%16.5%22.6%
Put IV 25d27.9%19.3%32.2%19.3%29.8%
Bid-Ask Spread %82.6067.3792.8686.9067.37
Gamma HHI0.360.310.440.410.34
Net GEX200.1K93.0K333.6K232.7K176.2K
Net DEX-568.2K-1.9M1.2M-1.9M-62.6K
Net VEX-25.2K-28.1K-20.8K-28.1K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.006.821.110.40
Total Volume107.905829838201
Total OI3,925.2863,6404,2553,6404,255

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$55.33$55.0020.2%5.8%22.3%7.2%18.2%2.8%2.9%232.7K-1.9M-28.1K1.1186.9018202,4271,213
2021-07-02$55.01$55.0018.8%5.4%22.3%3.2%18.8%2.4%4.1%233.4K-1.5M-27.3K0.0592.8611862,4281,231
2021-07-06$53.85$55.0021.0%6.6%22.9%9.5%22.9%3.3%-0.6%165.3K-165.1K-23.7K0.9675.0647452,4241,263
2021-07-07$54.22$55.0021.6%6.6%23.1%11.2%24.8%4.2%-0.6%195.5K-690.5K-25.8K2.9177.0911322,4401,273
2021-07-08$52.64$55.0019.8%6.9%24.9%5.9%24.4%3.8%-1.1%95.6K862.7K-22.9K0.0080.6513802,4491,304
2021-07-09$54.69$55.0020.5%6.7%28.7%8.2%22.0%5.1%-1.0%258.1K-1.3M-27.1K0.3078.0133102,5661,304
2021-07-12$55.06$55.0024.9%6.9%28.8%21.1%23.3%4.5%-1.1%289.1K-1.8M-26.4K0.2584.21127322,5851,301
2021-07-13$54.39$55.0023.3%6.8%28.9%16.3%23.6%3.3%-1.4%261.4K-999.6K-26.1K0.1685.392542,6121,331
2021-07-14$54.27$55.0023.6%6.8%28.1%18.7%23.6%3.9%-1.3%262.0K-612.1K-25.2K0.1490.20712,6321,335
2021-07-15$54.57$55.0023.9%6.9%28.1%19.7%23.7%3.7%-0.8%333.6K-1.1M-26.1K0.0385.8026692,6301,335
2021-07-16$53.99$55.0023.4%6.7%26.5%18.1%23.4%4.2%-0.4%151.6K-123.2K-24.1K0.0184.9410712,7631,340
2021-07-19$51.65$55.0029.5%8.5%29.4%37.3%26.0%5.8%-3.1%93.0K1.2M-20.8K6.8282.71171162,4771,225
2021-07-20$53.44$55.0026.0%7.4%30.9%26.2%26.6%4.6%-1.3%149.2K-169.0K-25.8K0.0183.529012,4771,399
2021-07-21$54.22$55.0025.6%7.3%31.4%25.0%26.0%4.4%-1.7%203.5K-1.2M-26.9K0.2485.591742,5751,399
2021-07-22$53.61$55.0025.9%7.4%31.6%26.0%26.7%4.1%-1.7%182.6K-621.0K-26.0K0.5783.9854312,5841,402
2021-07-23$53.55$55.0025.7%7.4%31.2%25.3%26.9%2.9%-1.8%173.9K-252.0K-25.5K0.2080.2488182,5921,422
2021-07-26$53.86$55.0025.7%7.4%31.1%25.2%29.5%8.9%-1.5%193.6K-653.2K-25.3K0.0087.548502,5921,422
2021-07-27$53.72$55.0026.6%7.6%30.3%28.1%26.7%4.0%-1.7%191.0K-452.2K-24.6K1.5987.06681082,6341,440
2021-07-28$53.41$55.0025.7%7.4%30.3%25.2%25.4%6.6%-1.5%180.7K-187.5K-23.9K0.0076.551302,6571,440
2021-07-29$53.83$55.0024.9%7.2%30.4%22.9%24.8%7.7%-2.0%179.2K-169.5K-23.7K0.5978.971871112,7081,545
2021-07-30$53.59$55.0025.0%7.2%30.0%23.1%27.5%7.2%-1.1%176.2K-62.6K-23.6K0.4067.37144572,7101,545