L Options History — March 2022

In March 2022, L traded between $59.74 and $65.67. ATM implied volatility averaged 34.8%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.8% (HV 20d: 26.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2022-03-22: Highest Volume — 572 contracts
  • 2022-03-25: Largest IV spike — 173.3% change
  • 2022-03-25: Highest IV Rank — 70.4%
  • 2022-03-10: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.79$59.74$65.67$59.74$65.14
Max Pain$57.86$55.00$60.00$55.00$60.00
ATM IV34.8%22.5%63.2%35.8%36.0%
Expected Move8.8%5.1%13.2%10.3%6.5%
HV 20d26.0%15.4%28.9%27.2%15.4%
HV 60d22.1%21.1%22.9%22.1%21.1%
IV Rank29.0%11.1%70.4%30.4%30.7%
IV Percentile80.7%29.8%99.6%92.1%88.1%
Term Structure-4.6%-31.3%10.9%-2.6%-21.6%
VWIV35.0%25.8%58.0%37.6%39.6%
Skew 25d7.6%-8.4%29.0%0.7%9.5%
Skew 10d12.5%-26.1%100.4%51.5%100.4%
Call IV 25d35.0%21.7%65.7%33.3%25.0%
Put IV 25d42.6%30.1%74.9%34.0%34.5%
Bid-Ask Spread %98.7881.54113.59104.5299.21
Gamma HHI0.390.300.510.360.44
Net GEX178.5K74.9K287.0K166.1K177.6K
Net DEX-3.2M-5.0M-2.1M-2.3M-3.0M
Net VEX-14.0K-15.9K-11.4K-15.9K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.180.710.250.61
Total Volume382.826281572394298
Total OI1,932.8261,3012,2332,1311,675

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$59.74$55.0035.8%10.3%27.2%30.4%37.6%0.7%-2.6%166.1K-2.3M-15.9K0.25104.52315791,369762
2022-03-02$61.56$55.0031.5%9.0%28.3%24.2%30.4%7.3%9.9%207.8K-3.4M-15.7K0.2796.44295801,369760
2022-03-03$61.41$55.0035.6%10.2%27.9%30.2%34.1%-1.0%2.0%195.7K-3.5M-15.7K0.28101.53304841,374760
2022-03-04$60.63$55.0038.4%11.0%28.2%34.3%38.7%1.3%1.4%185.6K-2.7M-15.4K0.2996.58279811,382761
2022-03-07$59.90$55.0042.4%12.2%28.3%40.1%42.9%8.3%-4.6%174.0K-2.5M-15.1K0.28106.56285811,384761
2022-03-08$60.29$55.0039.6%12.7%28.2%36.0%58.0%10.4%-1.0%179.1K-2.6M-15.4K0.3998.222901121,370761
2022-03-09$61.36$55.0037.7%12.2%28.3%33.2%41.6%11.1%-5.2%198.0K-3.1M-14.7K0.39109.652841121,370821
2022-03-10$60.89$55.0035.0%13.2%28.4%29.3%44.8%-3.8%1.5%200.2K-3.0M-14.4K0.39113.592881121,369821
2022-03-11$61.02$55.0037.2%13.0%28.3%32.4%45.3%9.5%-2.2%208.8K-3.1M-14.4K0.43111.632631131,374821
2022-03-14$61.54$60.0030.6%9.6%28.5%22.9%30.0%-3.0%6.4%216.2K-3.3M-13.2K0.3788.223251191,378822
2022-03-15$62.59$60.0037.0%7.7%28.8%32.3%28.2%7.1%-17.5%244.5K-4.1M-12.9K0.3899.743111191,386820
2022-03-16$62.82$60.0040.0%7.0%28.8%36.5%26.0%9.2%-31.3%265.1K-4.6M-12.1K0.59106.922001191,413820
2022-03-17$63.68$0.0029.3%6.4%28.9%21.0%0.0%13.7%-8.4%287.0K-5.0M-12.4K0.56104.602141191,407820
2022-03-18$63.17$0.0026.1%7.1%28.5%16.2%40.8%-8.4%-2.1%74.9K-4.4M-12.2K0.7183.762101491,390820
2022-03-21$63.87$60.0022.5%5.1%28.5%11.1%31.0%10.1%-2.7%95.4K-2.1M-11.4K0.25100.2832982747554
2022-03-22$64.63$60.0023.5%6.9%28.4%12.5%26.5%7.0%4.0%136.3K-2.9M-13.1K0.1893.6548389893556
2022-03-23$64.13$60.0026.9%6.7%27.6%17.4%30.7%7.6%-3.4%136.5K-2.6M-13.9K0.24105.2131976952600
2022-03-24$64.41$60.0023.1%6.4%26.3%12.0%28.9%29.0%-11.3%135.3K-2.8M-14.1K0.2397.8331973958599
2022-03-25$65.24$60.0063.2%7.4%21.0%70.4%29.4%21.3%10.9%117.0K-3.1M-14.4K0.2383.3530170958600
2022-03-28$65.17$60.0032.0%6.5%20.6%24.9%25.8%7.6%-5.6%177.1K-3.0M-12.2K0.1892.8538670961600
2022-03-29$65.67$60.0037.8%7.0%17.7%33.4%28.9%20.0%-9.0%166.0K-3.4M-13.8K0.4996.11193941,057600
2022-03-30$65.27$60.0039.3%8.2%15.4%35.6%30.6%0.5%-13.1%162.2K-3.2M-14.4K0.5081.54187941,056624
2022-03-31$65.14$60.0036.0%6.5%15.4%30.7%39.6%9.5%-21.6%177.6K-3.0M-14.3K0.6199.211851131,051624