L Options History — July 2022

In July 2022, L traded between $55.79 and $60.11. ATM implied volatility averaged 35.6%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.7% (HV 20d: 26.0%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2022-07-27: Highest Volume — 312 contracts
  • 2022-07-11: Largest IV spike — 113.8% change
  • 2022-07-11: Highest IV Rank — 75.8%
  • 2022-07-13: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.71$55.79$60.11$60.11$58.28
Max Pain$61.25$55.00$65.00$55.00$60.00
ATM IV35.6%24.7%66.9%32.4%28.6%
Expected Move9.0%7.1%11.6%9.3%8.2%
HV 20d26.0%21.7%31.1%29.2%22.1%
HV 60d26.1%25.1%26.7%25.5%25.1%
IV Rank30.2%14.3%75.8%25.5%20.0%
IV Percentile73.0%31.3%99.6%77.0%56.3%
Term Structure-4.2%-13.5%6.9%0.5%-3.0%
VWIV30.9%25.8%36.9%36.9%35.8%
Skew 25d16.0%-2.7%41.0%-1.3%-1.8%
Skew 10d32.3%3.3%77.6%3.3%4.9%
Call IV 25d31.9%20.8%50.5%37.3%50.5%
Put IV 25d47.9%34.8%67.7%36.0%48.7%
Bid-Ask Spread %110.9089.13120.49110.8189.13
Gamma HHI0.330.280.380.380.38
Net GEX106.1K82.2K190.3K120.3K190.3K
Net DEX-1.0M-1.7M-729.7K-1.7M-1.4M
Net VEX-9.3K-12.1K-8.0K-12.1K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.521.100.860.74
Total Volume202.65144312167235
Total OI1,394.051,3101,6561,3431,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$60.11$55.0032.4%9.3%29.2%25.5%36.9%-1.3%0.5%120.3K-1.7M-12.1K0.86110.8190771,180163
2022-07-05$58.30$65.0041.8%10.4%30.7%39.2%30.6%12.0%-9.2%93.5K-1.1M-9.4K1.06102.0990951,181168
2022-07-06$58.83$65.0036.4%8.7%31.1%31.3%30.8%15.4%-8.7%118.6K-1.2M-10.1K1.10117.8286951,182186
2022-07-07$58.81$65.0040.6%8.8%30.9%37.5%29.2%11.8%-7.0%114.1K-1.4M-11.3K1.10112.5286951,181186
2022-07-08$58.05$65.0031.3%7.2%30.7%23.9%28.1%9.5%-4.7%99.9K-1.1M-9.8K1.09108.2485931,182186
2022-07-11$57.89$65.0066.9%8.0%29.7%75.8%31.2%12.4%-3.4%103.0K-896.2K-9.2K1.06110.5789941,181188
2022-07-12$57.68$65.0045.1%7.6%28.8%44.0%27.5%-2.7%4.9%82.2K-909.6K-8.9K0.61107.64154941,188187
2022-07-13$57.33$60.0040.5%11.6%25.0%37.3%25.8%15.8%-3.4%90.4K-750.1K-8.0K0.61118.49154941,260187
2022-07-14$55.79$60.0039.1%11.2%26.4%35.2%31.9%11.2%-12.6%83.5K-729.7K-8.1K0.61112.29154941,260187
2022-07-15$56.39$60.0035.9%10.3%26.6%30.5%30.4%21.9%-13.5%86.0K-827.3K-8.6K0.61120.49154941,260187
2022-07-18$56.15$60.0039.1%11.2%23.3%35.3%35.9%34.6%-10.1%91.7K-1.0M-9.3K0.52112.1095491,177133
2022-07-19$57.73$60.0026.0%7.5%25.1%16.2%28.0%14.3%6.9%102.2K-1.1M-9.6K0.52105.7195491,187136
2022-07-20$57.66$60.0027.9%8.0%24.0%18.9%30.3%21.6%-6.4%107.6K-1.0M-8.9K0.74114.1495701,187136
2022-07-21$57.14$60.0035.1%10.1%24.2%29.4%30.1%13.3%-1.7%93.3K-862.0K-9.3K0.72113.3697701,187157
2022-07-22$56.81$60.0039.5%11.3%24.0%35.8%31.0%36.6%-4.3%92.7K-821.0K-8.9K0.72118.1097701,189157
2022-07-25$57.72$60.0030.0%8.6%21.8%22.0%31.9%20.6%-8.8%96.7K-797.5K-8.3K0.72115.7597701,189157
2022-07-26$57.76$60.0026.8%7.7%21.8%17.3%29.0%21.6%-3.6%98.6K-845.1K-8.6K0.65109.88108701,189157
2022-07-27$58.07$60.0024.7%7.1%21.9%14.3%27.6%12.7%1.0%121.3K-865.2K-8.2K0.54107.782021101,254197
2022-07-28$57.67$60.0025.2%7.2%21.7%15.0%36.9%41.0%2.1%135.7K-1.3M-10.0K0.56111.111971101,359197
2022-07-29$58.28$60.0028.6%8.2%22.1%20.0%35.8%-1.8%-3.0%190.3K-1.4M-9.0K0.7489.131351001,459197