L Options History — December 2021

In December 2021, L traded between $53.99 and $58.30. ATM implied volatility averaged 40.9%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 17.7% (HV 20d: 23.3%). 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 7 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2021-12-06: Highest Volume — 656 contracts
  • 2021-12-29: Largest IV spike — 75.7% change
  • 2021-12-03: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.80$53.99$58.30$53.99$57.91
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV40.9%19.7%83.5%48.1%24.6%
Expected Move9.9%5.6%17.4%13.8%7.1%
HV 20d23.3%20.4%25.0%21.6%20.4%
HV 60d20.9%20.1%21.7%20.5%20.9%
IV Rank48.2%6.9%100.0%74.4%14.2%
IV Percentile80.2%6.0%100.0%99.6%42.9%
Term Structure-2.9%-26.1%20.2%-8.5%3.3%
VWIV41.2%22.3%106.9%70.5%45.1%
Skew 25d9.8%-5.0%46.0%18.7%0.0%
Skew 10d18.7%-3.6%94.4%57.2%25.9%
Call IV 25d30.6%21.8%54.8%25.7%24.3%
Put IV 25d40.4%24.3%100.8%44.4%24.3%
Bid-Ask Spread %96.7186.44119.47103.3496.15
Gamma HHI0.490.360.790.450.41
Net GEX160.9K69.5K350.4K128.5K121.0K
Net DEX-2.0M-3.3M-1.0M-1.0M-2.1M
Net VEX-14.6K-18.1K-12.2K-16.2K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.433.710.660.74
Total Volume464.182231656622417
Total OI2,782.8641,2353,8303,5771,548

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$53.99$55.0048.1%13.8%21.6%74.4%70.5%18.7%-8.5%128.5K-1.0M-16.2K0.66103.343752472,5431,034
2021-12-02$55.19$55.0044.3%12.7%23.4%65.8%68.4%25.7%-20.2%125.2K-1.2M-16.1K0.66108.333702462,5511,040
2021-12-03$54.73$55.0060.7%17.4%22.7%100.0%106.9%46.0%-26.1%132.9K-1.7M-18.1K0.53119.473671942,5671,040
2021-12-06$56.22$55.0046.3%10.8%24.6%68.5%36.8%9.3%-4.5%168.7K-1.6M-15.1K0.4386.694581982,5671,073
2021-12-07$56.89$55.0053.6%11.6%24.0%84.5%38.4%17.1%-1.4%202.6K-2.2M-16.3K0.6490.603732382,6451,078
2021-12-08$56.97$55.0063.0%9.9%23.7%100.0%35.3%4.8%-0.4%204.4K-2.6M-16.8K0.6786.443552382,6491,090
2021-12-09$56.71$55.0053.3%10.7%23.7%80.0%38.1%3.5%1.7%209.4K-2.2M-15.9K0.64100.533742382,6551,095
2021-12-10$57.02$55.0039.0%8.9%23.7%50.2%37.4%-5.0%-2.3%298.3K-2.7M-14.7K0.6690.413652412,6551,095
2021-12-13$57.08$55.0052.6%9.0%23.5%78.4%36.8%3.2%-1.4%313.8K-2.8M-13.6K2.9390.53822402,6561,095
2021-12-14$56.96$55.0083.5%11.0%22.9%100.0%33.2%10.6%-6.4%204.7K-2.6M-13.7K1.1393.091972222,6591,098
2021-12-15$57.19$55.0043.6%12.5%22.8%41.8%45.1%25.2%-6.0%236.5K-3.3M-15.3K1.30101.641692192,7201,110
2021-12-16$57.92$55.0021.4%6.1%22.8%9.4%22.3%3.5%5.2%350.4K-2.8M-13.0K2.81100.371193342,7041,120
2021-12-17$57.14$55.0033.3%9.5%23.1%26.8%35.8%8.4%5.0%74.4K-2.2M-12.5K3.5596.21943342,7041,094
2021-12-20$55.34$55.0033.1%9.5%24.9%26.5%33.8%8.9%1.7%69.5K-1.0M-12.2K2.0988.4487182873362
2021-12-21$56.64$55.0030.5%8.7%25.0%22.7%35.5%8.3%-3.4%74.4K-1.4M-12.8K3.7195.6449182895415
2021-12-22$56.63$55.0031.3%9.0%24.9%23.9%33.5%7.5%-2.8%72.4K-1.2M-12.4K1.1393.55158179896419
2021-12-23$57.07$55.0027.0%7.7%24.8%17.6%30.3%6.1%3.3%93.9K-1.6M-13.8K1.1096.431681841,007425
2021-12-27$57.58$55.0023.3%6.7%23.2%12.2%33.7%6.1%20.2%100.4K-2.1M-13.9K0.7995.872331841,020438
2021-12-28$58.30$55.0019.7%5.6%23.3%6.9%28.5%16.8%-1.6%114.1K-2.2M-14.7K0.7499.042471841,080438
2021-12-29$58.22$55.0034.5%9.9%21.2%28.6%30.3%-4.0%-13.4%125.7K-2.2M-14.3K0.7196.052601841,089438
2021-12-30$57.82$55.0034.1%9.8%21.6%27.9%31.0%-4.7%-6.5%117.8K-2.1M-14.9K0.7398.742471801,105438
2021-12-31$57.91$55.0024.6%7.1%20.4%14.2%45.1%0.0%3.3%121.0K-2.1M-14.1K0.7496.152401771,108440