L Options History — October 2021

In October 2021, L traded between $55.24 and $57.94. ATM implied volatility averaged 28.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.6% (HV 20d: 18.7%). 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 5 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2021-10-29: Highest Volume — 861 contracts
  • 2021-10-27: Largest IV spike — 97.1% change
  • 2021-10-04: Highest IV Rank — 64.3%
  • 2021-10-27: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.79$55.24$57.94$55.34$56.08
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV28.3%18.7%37.0%25.1%33.1%
Expected Move8.2%5.4%10.5%7.2%9.5%
HV 20d18.7%16.2%21.1%20.2%18.5%
HV 60d17.7%16.1%20.9%20.9%17.4%
IV Rank39.1%10.9%64.3%29.7%53.0%
IV Percentile59.6%4.4%93.7%43.3%89.7%
Term Structure-3.9%-14.8%5.1%-0.2%-3.5%
VWIV27.9%16.5%37.9%18.3%31.1%
Skew 25d7.8%-4.4%25.5%12.6%6.4%
Skew 10d8.1%-18.7%41.9%22.7%8.5%
Call IV 25d25.9%19.9%34.1%20.9%30.8%
Put IV 25d33.7%25.6%49.3%33.4%37.2%
Bid-Ask Spread %95.2743.95111.12111.1243.95
Gamma HHI0.480.280.670.310.67
Net GEX110.9K49.4K200.6K55.4K200.6K
Net DEX-1.7M-2.4M-801.1K-892.3K-2.0M
Net VEX-15.3K-19.4K-12.9K-13.9K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0010.000.000.14
Total Volume156.238086115861
Total OI2,145.4291,8052,9771,8052,977

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$55.34$55.0025.1%7.2%20.2%29.7%18.3%12.6%-0.2%55.4K-892.3K-13.9K0.00111.121501,069736
2021-10-04$55.24$55.0037.0%6.6%19.9%64.3%0.0%10.1%-0.8%49.4K-801.1K-12.9K0.0099.7310601,068737
2021-10-05$56.35$55.0029.2%10.3%21.1%41.6%26.3%5.8%-5.7%73.5K-1.4M-14.3K1.1596.1513151,068738
2021-10-06$56.34$55.0026.3%9.2%21.1%33.1%34.9%3.6%-4.5%92.9K-1.8M-15.3K0.0095.611001,168740
2021-10-07$56.90$55.0025.1%8.0%21.1%29.7%30.4%3.2%2.5%82.9K-1.7M-14.7K0.2595.59821,162755
2021-10-08$57.39$55.0029.1%7.4%19.1%41.5%0.0%1.0%-3.0%108.7K-2.0M-13.6K10.0091.811101,167755
2021-10-11$56.81$55.0023.2%8.0%19.7%24.2%25.8%5.8%-10.8%91.0K-1.8M-14.4K1.4491.6116231,167756
2021-10-12$56.77$55.0028.9%9.0%18.7%40.9%0.0%8.8%-9.3%83.3K-1.6M-13.9K0.0099.57001,166766
2021-10-13$56.13$55.0027.8%8.0%18.7%37.5%37.9%12.4%-3.6%73.8K-1.3M-14.9K0.0099.16011,181795
2021-10-14$56.93$55.0036.4%10.4%19.0%62.7%36.1%10.1%-12.6%86.2K-1.6M-14.5K0.5298.9023121,181795
2021-10-15$57.70$55.0020.0%5.7%18.5%14.8%26.7%7.1%2.9%97.3K-2.1M-14.4K0.3391.061241,181796
2021-10-18$57.07$55.0031.8%9.1%16.9%49.2%25.4%5.1%-12.3%92.5K-1.5M-13.5K0.0098.950251,149747
2021-10-19$57.34$55.0030.7%8.8%16.7%45.9%0.0%7.2%-8.3%110.4K-1.9M-13.4K0.00101.390971,149750
2021-10-20$57.94$55.0032.4%9.3%16.4%51.0%33.6%-4.4%-14.8%97.3K-2.0M-14.5K0.49105.532571251,149854
2021-10-21$57.41$55.0027.4%7.9%17.1%36.5%16.5%-2.7%5.1%156.0K-2.2M-15.6K0.72108.341511081,337899
2021-10-22$57.68$55.0024.2%6.9%17.1%27.1%25.6%17.4%0.5%135.7K-2.4M-17.7K1.07101.98981051,511921
2021-10-25$57.59$55.0019.9%5.7%16.6%14.6%22.5%14.2%3.2%171.8K-2.3M-17.1K1.0092.691041041,555943
2021-10-26$57.52$55.0018.7%5.4%16.2%10.9%25.0%25.5%-1.1%150.6K-2.3M-18.0K0.4392.632481061,636959
2021-10-27$55.76$55.0036.8%10.5%19.7%63.8%29.5%9.5%-2.5%130.8K-1.1M-17.3K0.3195.90261811,703963
2021-10-28$56.21$55.0031.4%9.0%19.8%48.1%29.0%4.7%-4.1%188.7K-1.5M-17.8K0.4588.96193861,924981
2021-10-29$56.08$55.0033.1%9.5%18.5%53.0%31.1%6.4%-3.5%200.6K-2.0M-19.4K0.1443.957581031,994983