L Options History — November 2021

In November 2021, L traded between $53.91 and $58.16. ATM implied volatility averaged 30.3%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.5% (HV 20d: 20.7%). 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 0.38.

Notable Days

  • 2021-11-16: Highest Volume — 692 contracts
  • 2021-11-30: Largest IV spike — 56.4% change
  • 2021-11-05: Highest IV Rank — 100.0%
  • 2021-11-30: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.78$53.91$58.16$57.39$53.91
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV30.3%21.3%59.5%30.4%59.5%
Expected Move8.3%6.1%17.1%8.7%17.1%
HV 20d20.7%19.0%23.2%20.1%21.7%
HV 60d18.8%17.7%20.5%17.8%20.5%
IV Rank49.9%18.5%100.0%45.1%100.0%
IV Percentile65.6%17.5%100.0%81.0%100.0%
Term Structure-3.8%-19.0%10.1%-14.1%-19.0%
VWIV31.2%24.1%61.4%25.4%61.4%
Skew 25d4.1%-11.4%14.3%9.3%1.4%
Skew 10d8.7%-2.4%14.4%11.4%12.9%
Call IV 25d26.6%20.2%39.0%23.9%38.6%
Put IV 25d30.7%25.6%40.6%33.2%40.0%
Bid-Ask Spread %91.1874.85109.8194.05109.81
Gamma HHI0.690.410.840.780.41
Net GEX334.3K127.1K512.4K440.6K127.1K
Net DEX-2.7M-4.5M-1.1M-4.1M-1.1M
Net VEX-18.4K-22.2K-14.8K-22.2K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.171.010.650.64
Total Volume519.667258692297639
Total OI3,860.9053,3614,5693,6123,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$57.39$55.0030.4%8.7%20.1%45.1%25.4%9.3%-14.1%440.6K-4.1M-22.2K0.6594.051801172,6011,011
2021-11-02$57.66$55.0021.3%6.1%19.0%18.5%24.1%4.4%-3.1%512.4K-4.5M-22.0K0.7796.361461122,5951,030
2021-11-03$57.64$55.0026.7%7.7%19.0%42.7%28.8%10.2%4.7%483.8K-4.0M-21.2K0.68100.251581082,5511,050
2021-11-04$56.57$55.0030.4%7.0%19.9%55.9%25.0%1.2%-0.8%345.2K-2.5M-19.7K1.0178.931291302,5141,050
2021-11-05$57.07$55.0044.0%8.6%19.9%100.0%28.7%3.8%-7.7%370.3K-3.3M-21.0K0.6485.992031302,5011,014
2021-11-08$58.16$55.0029.9%7.3%20.7%51.5%26.0%0.0%-2.9%505.9K-4.0M-19.6K0.2579.705111302,7851,014
2021-11-09$57.50$55.0034.3%8.0%21.1%66.5%36.7%-0.4%-3.2%439.5K-3.7M-20.1K0.2388.005141162,8871,014
2021-11-10$57.30$55.0026.3%7.5%20.7%39.1%30.0%2.7%0.1%442.6K-3.5M-20.6K0.2474.854441082,9291,035
2021-11-11$57.60$55.0022.3%6.4%20.2%25.3%29.6%14.3%-7.5%478.0K-3.3M-20.4K0.2182.505031083,1961,037
2021-11-12$57.12$55.0024.0%6.9%19.9%31.3%24.6%4.8%-0.9%417.9K-3.0M-19.0K0.3083.395091513,2551,037
2021-11-15$56.27$55.0030.1%8.6%20.2%52.2%27.2%5.2%-1.0%248.9K-1.8M-17.4K0.1983.095491043,3591,070
2021-11-16$56.57$55.0022.3%6.4%20.2%25.3%32.3%-11.4%9.4%265.9K-2.2M-16.8K0.1794.835921003,3651,075
2021-11-17$57.30$55.0025.2%7.2%20.4%35.2%25.6%4.6%-3.9%412.9K-2.9M-17.1K0.2491.434551093,4841,085
2021-11-18$56.77$55.0025.1%7.2%20.4%35.1%28.6%1.5%10.1%429.0K-3.0M-17.5K0.2390.634691093,4311,080
2021-11-19$55.70$55.0036.0%10.3%21.3%72.4%41.5%9.5%-10.8%174.1K-1.8M-17.3K0.2596.344841233,4261,075
2021-11-22$56.97$55.0025.7%7.4%23.0%37.2%27.9%2.4%-3.8%199.5K-2.0M-15.5K0.3087.794991482,443918
2021-11-23$57.39$55.0030.5%8.7%23.2%53.4%36.4%6.6%-13.2%224.2K-2.4M-16.0K0.2493.63381912,465934
2021-11-24$56.84$55.0028.1%8.1%20.5%45.5%28.3%5.4%-4.3%213.4K-1.9M-16.0K0.2497.824331052,479937
2021-11-26$55.47$55.0025.6%7.3%22.1%36.8%26.4%4.2%6.5%148.2K-1.2M-14.8K0.25102.444321092,488944
2021-11-29$55.20$55.0038.0%10.9%22.2%79.5%40.6%6.5%-15.3%140.4K-1.1M-15.1K0.25103.00381942,491945
2021-11-30$53.91$55.0059.5%17.1%21.7%100.0%61.4%1.4%-19.0%127.1K-1.1M-16.3K0.64109.813902492,524955