L Options History — August 2022

In August 2022, L traded between $54.50 and $58.91. ATM implied volatility averaged 30.0%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.6% (HV 20d: 23.4%). 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 9 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2022-08-05: Highest Volume — 355 contracts
  • 2022-08-02: Largest IV spike — 76.2% change
  • 2022-08-08: Highest IV Rank — 74.3%
  • 2022-08-02: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.93$54.50$58.91$55.84$55.48
Max Pain$55.65$55.00$60.00$60.00$55.00
ATM IV30.0%16.5%65.9%26.3%27.0%
Expected Move7.3%4.7%13.3%7.5%7.7%
HV 20d23.4%18.1%25.8%25.8%22.9%
HV 60d24.9%24.2%25.8%25.7%25.8%
IV Rank21.9%2.3%74.3%16.6%17.6%
IV Percentile44.7%0.8%99.2%40.5%39.7%
Term Structure-1.9%-22.6%10.4%2.9%-4.1%
VWIV25.6%14.1%50.9%29.2%29.1%
Skew 25d8.3%-3.3%37.3%0.3%-0.2%
Skew 10d18.7%-4.9%118.7%3.5%0.2%
Call IV 25d23.3%16.5%35.7%30.6%28.6%
Put IV 25d31.6%17.9%73.0%30.9%28.4%
Bid-Ask Spread %99.4684.29123.67104.1697.49
Gamma HHI0.450.280.650.280.39
Net GEX155.6K51.5K395.3K80.5K51.5K
Net DEX-766.5K-1.7M-196.6K-256.1K-220.9K
Net VEX-7.2K-8.9K-5.5K-6.5K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.007.830.690.55
Total Volume128.78310355249303
Total OI1,918.5651,7482,1991,7481,756

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$55.84$60.0026.3%7.5%25.8%16.6%29.2%0.3%2.9%80.5K-256.1K-6.5K0.69104.161471021,516232
2022-08-02$55.45$55.0046.4%13.3%23.8%45.9%50.9%32.6%-22.6%86.4K-223.4K-6.0K1.35123.671101481,532255
2022-08-03$55.52$55.0033.2%9.5%23.4%26.6%37.9%37.3%-15.9%79.1K-208.3K-6.5K1.20107.131231481,553301
2022-08-04$54.50$60.0038.6%6.0%24.1%34.5%24.1%11.8%-3.4%73.5K-196.6K-6.8K1.3097.111021331,563300
2022-08-05$55.15$60.0052.3%6.0%24.4%54.5%21.7%6.5%5.0%76.1K-238.7K-6.3K0.6086.122221331,564300
2022-08-08$55.57$55.0065.9%7.5%24.7%74.3%25.9%5.7%2.8%117.9K-954.3K-8.6K1.1384.291411601,658301
2022-08-09$55.87$55.0037.3%6.3%24.8%32.6%20.6%4.8%3.4%90.7K-618.9K-8.2K0.3393.482481,645340
2022-08-10$56.96$55.0021.9%6.3%25.8%10.2%21.4%0.8%4.0%118.6K-506.3K-6.4K0.9296.1724221,623346
2022-08-11$57.54$55.0019.5%5.6%24.0%6.7%23.6%2.0%-1.1%160.8K-548.8K-5.6K0.2687.562361,620368
2022-08-12$58.59$55.0019.6%5.6%24.5%6.9%20.1%2.8%-2.2%297.6K-1.2M-8.2K0.1497.45155211,625364
2022-08-15$58.56$55.0018.1%5.2%24.4%4.6%22.0%7.1%2.8%250.1K-1.4M-6.8K0.51104.0780411,715345
2022-08-16$58.74$55.0019.2%5.5%22.5%6.3%22.6%6.6%-3.0%366.8K-1.6M-8.3K1.1295.2025281,733386
2022-08-17$58.49$55.0023.5%6.7%22.5%12.5%14.1%5.9%-2.4%308.8K-1.7M-8.9K0.00102.711901,752371
2022-08-18$58.91$55.0022.8%6.5%22.3%11.5%26.4%3.7%-6.4%395.3K-1.4M-8.4K1.5096.32461,744371
2022-08-19$58.15$55.0016.5%4.7%22.8%2.3%14.1%11.7%10.4%167.4K-1.2M-7.7K0.11108.268291,821378
2022-08-22$56.89$55.0027.1%7.8%23.5%17.7%0.0%2.8%-5.9%126.5K-730.7K-7.4K0.5895.971271,496308
2022-08-23$57.06$55.0027.2%7.8%23.5%17.8%0.0%3.9%-4.5%116.5K-618.8K-6.8K1.1794.00671,508315
2022-08-24$57.20$55.0023.4%6.7%23.4%12.4%22.4%1.9%2.8%120.7K-706.8K-7.4K0.75105.05861,514321
2022-08-25$57.77$55.0025.8%7.4%23.6%15.8%24.9%-3.3%0.7%143.9K-807.6K-6.9K0.7994.5819151,520327
2022-08-26$57.00$55.0027.5%7.9%23.7%18.3%0.0%11.7%-0.8%137.1K-997.0K-8.6K0.0697.2410961,533333
2022-08-29$56.65$55.0036.1%10.3%18.1%30.9%34.7%9.3%-6.8%95.8K-587.7K-7.2K7.83110.076471,442339
2022-08-30$57.51$55.0034.2%9.8%18.6%28.1%0.0%24.5%-0.2%118.1K-739.9K-6.8K0.05109.5615781,448345
2022-08-31$55.48$55.0027.0%7.7%22.9%17.6%29.1%-0.2%-4.1%51.5K-220.9K-5.5K0.5597.491961071,403353