L Options History — January 2022

In January 2022, L traded between $58.05 and $61.58. ATM implied volatility averaged 28.7%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.9% (HV 20d: 19.8%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.45.

Notable Days

2022-01-11: Highest Volume — 3,468 contracts
2022-01-04: Largest IV spike — 75.7% change
2022-01-21: Highest IV Rank — 30.8%
2022-01-21: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.61	$58.05	$61.58	$58.05	$59.37
Max Pain	$56.00	$50.00	$60.00	$55.00	$60.00
ATM IV	28.7%	20.0%	36.1%	20.0%	25.3%
Expected Move	8.4%	5.7%	10.3%	5.7%	7.2%
HV 20d	19.8%	17.4%	21.6%	20.0%	18.9%
HV 60d	21.3%	20.7%	22.2%	20.8%	20.9%
IV Rank	20.2%	7.4%	30.8%	7.4%	15.1%
IV Percentile	65.9%	10.3%	90.5%	10.3%	51.2%
Term Structure	-4.3%	-11.3%	4.0%	4.0%	-2.5%
VWIV	31.2%	22.3%	45.7%	22.3%	26.6%
Skew 25d	6.5%	-5.1%	28.7%	3.9%	5.9%
Skew 10d	13.8%	-0.9%	22.9%	-0.9%	11.7%
Call IV 25d	28.7%	20.5%	38.9%	20.5%	27.9%
Put IV 25d	35.2%	24.4%	61.3%	24.4%	33.7%
Bid-Ask Spread %	90.80	76.70	105.54	96.19	99.04
Gamma HHI	0.41	0.31	0.48	0.44	0.46
Net GEX	147.4K	118.5K	192.6K	131.7K	192.6K
Net DEX	-2.8M	-4.0M	-1.8M	-2.2M	-2.9M
Net VEX	-16.0K	-18.3K	-13.5K	-13.5K	-18.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.45	0.32	27.90	0.76	0.32
Total Volume	562.3	186	3,468	409	607
Total OI	2,531.85	1,555	4,068	1,558	2,114

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$58.05	$55.00	20.0%	5.7%	20.0%	7.4%	22.3%	3.9%	4.0%	131.7K	-2.2M	-13.5K	0.76	96.19	232	177	1,109	449
2022-01-04	$59.48	$55.00	35.2%	10.1%	19.6%	29.5%	45.7%	8.5%	-9.0%	136.2K	-2.6M	-14.1K	0.78	97.02	230	179	1,106	449
2022-01-05	$58.93	$55.00	21.6%	6.2%	19.8%	9.8%	25.3%	3.6%	3.8%	149.8K	-2.5M	-13.7K	0.47	100.75	330	155	1,104	451
2022-01-06	$59.33	$55.00	22.8%	7.8%	19.9%	11.5%	30.9%	-5.1%	-4.7%	152.8K	-2.7M	-15.5K	0.47	97.63	265	124	1,181	482
2022-01-07	$60.80	$55.00	23.7%	8.0%	21.2%	12.7%	26.7%	3.0%	-0.6%	150.2K	-3.5M	-14.9K	0.55	89.93	155	86	1,181	488
2022-01-10	$60.43	$50.00	30.3%	9.2%	21.5%	22.5%	28.9%	11.1%	-10.0%	154.6K	-3.2M	-14.8K	0.54	85.30	121	65	1,191	497
2022-01-11	$61.09	$50.00	35.4%	10.2%	21.6%	29.8%	32.6%	7.0%	-4.1%	157.9K	-3.6M	-14.8K	27.90	78.96	120	3,348	1,208	498
2022-01-12	$61.23	$50.00	29.1%	8.3%	21.5%	20.7%	29.9%	4.4%	-1.1%	154.7K	-3.6M	-14.5K	10.51	82.08	101	1,062	1,208	2,394
2022-01-13	$61.44	$50.00	25.7%	7.4%	21.5%	15.8%	25.9%	4.2%	-5.1%	118.5K	-3.7M	-14.6K	0.52	82.26	277	145	1,210	2,507
2022-01-14	$61.58	$50.00	30.0%	8.6%	21.3%	22.1%	31.3%	8.5%	-4.1%	141.2K	-4.0M	-18.3K	0.82	76.70	179	146	1,425	2,555
2022-01-18	$60.82	$55.00	29.3%	8.4%	21.2%	21.0%	29.3%	7.0%	-4.2%	145.2K	-3.6M	-17.2K	0.81	83.95	196	158	1,425	2,568
2022-01-19	$59.72	$60.00	31.3%	9.0%	18.5%	23.9%	32.4%	4.7%	-11.3%	144.9K	-2.8M	-16.8K	0.73	80.81	196	144	1,425	2,562
2022-01-20	$59.29	$60.00	25.9%	7.4%	17.4%	16.0%	26.9%	5.3%	-6.8%	140.8K	-2.5M	-16.2K	0.60	83.55	244	147	1,426	2,594
2022-01-21	$58.11	$60.00	36.1%	10.3%	19.1%	30.8%	34.3%	2.1%	-3.3%	140.5K	-1.8M	-17.1K	0.54	82.44	229	123	1,437	2,631
2022-01-24	$58.54	$60.00	29.3%	8.4%	19.1%	21.0%	32.7%	14.1%	-4.4%	149.2K	-2.2M	-16.7K	0.47	92.44	202	95	1,368	514
2022-01-25	$58.47	$60.00	26.5%	7.6%	18.9%	16.9%	37.3%	28.7%	-3.4%	143.8K	-2.0M	-15.9K	0.41	105.54	202	83	1,368	539
2022-01-26	$58.36	$60.00	34.5%	9.9%	18.4%	28.6%	36.4%	-1.2%	-8.2%	151.5K	-2.2M	-16.9K	0.56	102.54	204	115	1,368	558
2022-01-27	$58.54	$60.00	31.4%	9.0%	18.5%	24.0%	36.2%	11.1%	-6.2%	144.9K	-2.2M	-18.2K	0.61	99.22	246	150	1,385	592
2022-01-28	$58.53	$60.00	31.4%	9.0%	18.3%	24.1%	31.7%	2.1%	-4.4%	146.7K	-2.0M	-18.0K	0.58	99.59	258	150	1,403	667
2022-01-31	$59.37	$60.00	25.3%	7.2%	18.9%	15.1%	26.6%	5.9%	-2.5%	192.6K	-2.9M	-18.2K	0.32	99.04	461	146	1,447	667