L Options History — February 2022

In February 2022, L traded between $58.90 and $62.03. ATM implied volatility averaged 27.6%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.9% (HV 20d: 18.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2022-02-04: Highest Volume — 1,140 contracts
2022-02-03: Largest IV spike — 30.7% change
2022-02-04: Highest IV Rank — 26.5%
2022-02-28: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.21	$58.90	$62.03	$60.63	$61.26
Max Pain	$55.53	$55.00	$60.00	$60.00	$55.00
ATM IV	27.6%	21.8%	33.1%	29.3%	32.2%
Expected Move	7.7%	6.2%	9.2%	8.4%	9.2%
HV 20d	18.7%	15.7%	25.9%	20.2%	25.9%
HV 60d	20.6%	19.7%	21.8%	20.9%	21.8%
IV Rank	18.5%	10.0%	26.5%	21.0%	25.2%
IV Percentile	64.3%	23.8%	88.1%	76.2%	87.3%
Term Structure	-2.0%	-12.3%	3.7%	-0.6%	-0.7%
VWIV	26.4%	21.8%	33.8%	28.1%	33.8%
Skew 25d	6.5%	1.8%	21.1%	1.8%	6.5%
Skew 10d	14.5%	-0.0%	51.6%	-0.0%	10.8%
Call IV 25d	24.6%	21.0%	30.7%	30.7%	28.1%
Put IV 25d	31.1%	26.5%	45.4%	32.5%	34.7%
Bid-Ask Spread %	93.62	78.49	103.49	101.68	91.71
Gamma HHI	0.44	0.35	0.54	0.53	0.35
Net GEX	288.6K	171.2K	385.1K	278.6K	200.8K
Net DEX	-4.2M	-5.1M	-2.0M	-4.0M	-3.1M
Net VEX	-16.5K	-18.9K	-12.3K	-18.9K	-15.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.21	0.72	0.64	0.25
Total Volume	510	371	1,140	377	392
Total OI	2,499.263	2,107	2,954	2,275	2,126

Daily Data (19 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
2022-02-01	$60.63	$60.00	29.3%	8.4%	20.2%	21.0%	28.1%	1.8%	-0.6%	278.6K	-4.0M	-18.9K	0.64	101.68	230	147	1,608	667
2022-02-02	$61.43	$60.00	22.9%	6.6%	18.9%	11.7%	22.5%	21.1%	3.0%	314.7K	-4.6M	-17.6K	0.65	96.44	226	146	1,618	663
2022-02-03	$61.12	$55.00	30.0%	7.8%	18.6%	22.0%	30.0%	7.6%	-3.0%	266.7K	-4.4M	-18.9K	0.63	78.49	228	143	1,625	664
2022-02-04	$61.63	$55.00	33.1%	6.9%	18.7%	26.5%	24.7%	6.1%	1.2%	287.3K	-4.8M	-17.0K	0.39	90.58	823	317	1,641	669
2022-02-07	$60.87	$55.00	27.6%	7.2%	17.3%	18.5%	26.2%	4.5%	-1.9%	381.8K	-4.6M	-12.3K	0.56	88.33	406	229	2,073	881
2022-02-08	$61.80	$55.00	28.1%	8.6%	17.9%	19.2%	24.3%	13.1%	-4.9%	347.3K	-5.1M	-17.6K	0.72	98.37	307	222	2,017	886
2022-02-09	$61.57	$55.00	22.2%	6.4%	17.6%	10.6%	21.8%	5.3%	0.9%	385.1K	-4.9M	-17.1K	0.59	96.18	309	183	1,994	790
2022-02-10	$61.96	$55.00	28.1%	8.1%	17.7%	19.2%	26.6%	5.1%	-3.1%	364.4K	-5.1M	-16.9K	0.45	99.04	321	146	1,930	780
2022-02-11	$61.63	$55.00	27.2%	7.8%	17.8%	18.0%	26.6%	3.7%	-2.2%	336.1K	-4.6M	-17.9K	0.38	86.37	358	137	1,885	824
2022-02-14	$61.03	$55.00	27.7%	7.9%	18.1%	18.7%	25.8%	6.3%	0.2%	342.3K	-4.0M	-16.4K	0.43	87.42	308	132	1,880	822
2022-02-15	$61.23	$55.00	25.4%	7.3%	17.6%	15.3%	24.0%	4.5%	-0.3%	338.2K	-4.2M	-16.9K	0.38	93.37	312	119	1,879	842
2022-02-16	$62.03	$55.00	27.0%	7.7%	16.7%	17.6%	26.0%	6.9%	-3.5%	327.1K	-5.1M	-16.1K	0.30	97.13	370	111	1,873	840
2022-02-17	$61.13	$55.00	31.4%	9.0%	17.4%	24.0%	30.3%	7.7%	-5.1%	332.8K	-4.3M	-16.0K	0.36	96.17	370	134	1,904	843
2022-02-18	$61.76	$55.00	27.9%	8.0%	15.7%	18.9%	26.7%	6.4%	-0.9%	191.0K	-5.0M	-16.0K	0.30	88.81	521	154	1,904	850
2022-02-22	$61.13	$55.00	28.2%	8.1%	16.3%	19.4%	28.1%	4.7%	-12.3%	202.3K	-3.3M	-16.5K	0.36	95.79	383	136	1,366	741
2022-02-23	$60.06	$55.00	25.9%	7.4%	17.7%	16.0%	24.6%	3.1%	-2.6%	200.0K	-2.7M	-15.6K	0.31	94.72	363	113	1,382	761
2022-02-24	$58.90	$55.00	21.8%	6.2%	19.2%	10.0%	25.9%	2.5%	3.7%	171.2K	-2.0M	-15.7K	0.22	103.49	370	81	1,385	764
2022-02-25	$61.80	$55.00	28.0%	8.0%	25.6%	19.0%	26.0%	5.9%	-7.0%	215.2K	-3.4M	-15.6K	0.21	94.75	365	78	1,353	756
2022-02-28	$61.26	$55.00	32.2%	9.2%	25.9%	25.2%	33.8%	6.5%	-0.7%	200.8K	-3.1M	-15.2K	0.25	91.71	313	79	1,369	757