L Options History — August 2021

In August 2021, L traded between $53.36 and $56.56. ATM implied volatility averaged 21.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.7% (HV 20d: 19.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2021-08-30: Highest Volume — 309 contracts
  • 2021-08-27: Largest IV spike — 34.6% change
  • 2021-08-19: Highest IV Rank — 23.0%
  • 2021-08-19: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.25$53.36$56.56$53.98$55.94
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV21.7%15.2%25.0%22.7%21.4%
Expected Move6.2%4.4%7.2%6.5%6.1%
HV 20d19.0%11.4%30.1%30.1%14.5%
HV 60d23.0%22.3%23.9%23.9%22.8%
IV Rank13.9%0.0%23.0%15.6%18.1%
IV Percentile15.0%0.0%31.7%15.1%14.3%
Term Structure1.4%-1.6%8.4%-0.9%1.3%
VWIV21.7%15.5%28.2%24.2%21.3%
Skew 25d5.2%-1.9%10.9%4.2%8.5%
Skew 10d10.8%-4.0%27.3%19.2%12.4%
Call IV 25d19.2%12.0%25.5%25.5%13.4%
Put IV 25d24.4%18.9%29.6%29.6%21.9%
Bid-Ask Spread %75.3933.32109.4395.5398.24
Gamma HHI0.500.400.940.400.48
Net GEX602.7K116.3K6.2M261.3K138.0K
Net DEX-2.0M-3.9M-2.8K-615.1K-1.8M
Net VEX-21.0K-23.7K-17.2K-22.8K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.006.000.060.10
Total Volume111.273230915111
Total OI4,257.1363,6034,5974,3493,851

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$53.98$55.0022.7%6.5%30.1%15.6%24.2%4.2%-0.9%261.3K-615.1K-22.8K0.0695.5314292,8621,487
2021-08-03$53.74$55.0022.1%6.3%29.2%13.9%23.2%5.8%-0.1%321.5K-774.3K-23.7K0.06104.576343,0811,515
2021-08-04$53.36$55.0021.6%6.2%29.2%12.2%21.6%4.5%0.2%273.5K-2.8K-21.8K0.00101.00803,0671,517
2021-08-05$54.09$55.0020.7%6.3%27.5%9.3%0.0%3.9%1.8%377.3K-1.0M-23.2K0.0049.75203,0791,518
2021-08-06$54.90$55.0020.6%5.7%24.4%9.1%0.0%2.9%3.0%466.2K-2.6M-23.6K0.1438.134463,0761,518
2021-08-09$55.05$55.0023.2%6.1%24.3%17.3%21.3%2.8%1.8%474.7K-2.8M-23.3K0.4877.67147713,0781,518
2021-08-10$55.50$55.0023.4%6.9%24.0%18.1%21.0%5.6%-0.4%518.0K-3.6M-23.6K0.0347.5525383,0571,520
2021-08-11$56.00$55.0022.0%6.3%24.1%13.6%23.8%4.7%1.2%442.7K-3.8M-22.3K0.1840.30130232,9631,534
2021-08-12$56.08$55.0022.0%6.3%24.1%13.5%28.2%4.2%1.2%430.0K-3.9M-22.4K0.5382.011582,9031,540
2021-08-13$55.76$55.0021.3%6.1%23.8%11.4%20.9%3.3%1.9%372.6K-3.0M-21.5K0.1362.026382,8181,556
2021-08-16$55.41$55.0022.1%6.3%16.9%13.9%17.5%3.9%1.5%397.9K-2.3M-20.2K0.0233.3224552,8221,550
2021-08-17$55.24$55.0022.7%6.5%12.6%15.8%23.1%9.6%1.0%429.0K-2.3M-20.1K0.9159.8647432,8641,554
2021-08-18$54.93$55.0022.6%6.5%11.9%15.6%22.6%8.8%1.3%488.3K-1.7M-19.8K1.0377.3333342,8861,553
2021-08-19$54.56$55.0025.0%7.2%11.4%23.0%23.4%8.8%-1.6%594.9K-373.9K-19.8K0.3872.08832,9111,590
2021-08-20$55.01$55.0022.6%6.5%11.7%15.5%22.2%5.4%0.3%6.2M-1.8M-18.9K0.1382.30257342,8471,547
2021-08-23$55.57$55.0021.4%6.1%12.0%11.7%21.0%-1.9%0.9%126.0K-1.3M-17.9K0.0979.90282242,2551,348
2021-08-24$55.59$55.0020.9%6.0%11.9%10.2%20.9%-0.8%1.1%116.3K-1.2M-17.2K6.0071.362122,2551,365
2021-08-25$56.41$55.0021.2%6.1%12.4%11.1%20.5%4.9%0.8%213.4K-2.4M-20.3K1.2585.5324302,4231,365
2021-08-26$55.67$55.0015.2%4.4%13.5%0.0%15.5%10.9%8.4%172.1K-1.7M-21.3K4.1797.716252,4231,366
2021-08-27$56.56$55.0020.5%5.9%14.1%15.5%18.4%6.9%5.7%242.9K-2.9M-20.4K0.1192.96912,4361,395
2021-08-30$56.11$55.0022.7%6.5%14.5%22.1%22.5%8.0%1.1%179.7K-2.2M-19.4K0.10109.43282272,4311,413
2021-08-31$55.94$55.0021.4%6.1%14.5%18.1%21.3%8.5%1.3%138.0K-1.8M-18.1K0.0098.240112,4371,414