L Options History — September 2022

In September 2022, L traded between $49.82 and $57.34. ATM implied volatility averaged 34.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 10.9% (HV 20d: 23.1%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2022-09-07: Highest Volume — 469 contracts
  • 2022-09-07: Largest IV spike — 53.6% change
  • 2022-09-07: Highest IV Rank — 63.1%
  • 2022-09-29: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.85$49.82$57.34$55.26$50.02
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV34.0%20.6%58.8%34.8%36.6%
Expected Move8.7%5.9%13.0%10.0%10.5%
HV 20d23.1%19.8%26.5%21.9%24.4%
HV 60d23.7%22.5%25.8%25.8%23.4%
IV Rank26.4%6.1%63.1%29.1%30.0%
IV Percentile62.3%6.7%97.2%75.8%79.0%
Term Structure-4.0%-13.2%8.3%-6.0%-2.5%
VWIV27.4%22.0%36.3%34.2%36.3%
Skew 25d6.7%-4.7%28.2%-4.7%7.3%
Skew 10d11.4%-10.5%31.1%-10.5%11.7%
Call IV 25d25.6%14.0%36.2%30.1%36.2%
Put IV 25d32.2%19.2%54.2%25.4%43.5%
Bid-Ask Spread %105.2995.22117.83112.33104.37
Gamma HHI0.390.240.640.460.27
Net GEX47.8K13.2K112.6K72.3K17.1K
Net DEX-142.4K-1.1M383.7K-343.7K335.0K
Net VEX-4.9K-7.6K-3.8K-6.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.006.206.200.31
Total Volume168.19046936322
Total OI1,416.0487182,0221,786870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$55.26$55.0034.8%10.0%21.9%29.1%0.0%-4.7%-6.0%72.3K-343.7K-6.0K6.20112.335311,428358
2022-09-02$55.27$55.0025.4%7.3%21.5%15.3%34.2%-1.1%-3.8%61.1K-184.1K-5.6K0.10102.447371,433385
2022-09-06$55.31$55.0038.3%7.8%21.3%34.1%27.3%8.0%-4.5%84.6K-399.5K-6.1K0.45103.752401081,492391
2022-09-07$56.20$55.0058.8%7.4%22.0%63.1%24.5%8.1%-3.5%112.6K-1.1M-7.6K0.30103.673611081,500396
2022-09-08$56.51$55.0037.1%7.1%20.9%30.8%0.0%5.8%-10.2%101.2K-638.3K-6.1K0.0099.75001,607396
2022-09-09$56.90$55.0025.0%6.1%20.8%12.7%23.6%3.0%7.5%106.8K-589.1K-5.6K1.00101.13111,607396
2022-09-12$57.34$55.0027.6%6.7%19.8%16.5%22.9%4.8%7.6%88.8K-802.0K-5.0K0.0099.192001,607395
2022-09-13$55.84$55.0039.2%8.1%21.8%33.9%29.6%18.4%-7.7%41.1K-270.3K-4.9K0.33105.043101031,623395
2022-09-14$55.90$55.0027.0%7.7%21.7%15.6%27.2%4.4%-5.0%70.2K-426.2K-5.7K1.67105.59351,622395
2022-09-15$55.34$55.0028.1%8.1%21.9%17.4%28.5%5.0%-3.6%26.4K-176.8K-5.1K0.09110.051111,625397
2022-09-16$53.92$55.0020.6%5.9%23.0%6.1%22.0%4.7%1.3%26.3K269.2K-4.5K0.59101.472161281,622398
2022-09-19$55.00$55.0029.0%8.3%24.3%18.7%25.5%14.0%-8.2%30.7K-299.4K-4.5K0.46106.15136504214
2022-09-20$53.88$55.0029.0%8.3%24.2%18.6%0.0%4.0%-4.8%24.5K-35.8K-4.6K0.02117.83641537219
2022-09-21$53.08$55.0029.0%8.3%24.5%18.6%25.8%-2.6%-7.3%33.9K-117.6K-4.5K3.00114.0313601220
2022-09-22$52.19$55.0024.1%6.9%24.8%11.4%24.0%-0.9%2.2%24.3K211.5K-4.0K0.01113.58701602220
2022-09-23$51.01$55.0032.1%9.2%25.0%23.2%24.7%7.3%8.3%13.2K290.6K-3.8K0.23106.449722562213
2022-09-26$49.82$55.0045.0%12.9%25.6%42.6%28.1%12.9%-12.1%14.9K383.7K-3.8K0.1699.3730049638235
2022-09-27$50.16$55.0041.6%11.9%26.1%37.5%27.9%7.6%-13.2%18.2K290.1K-4.0K0.2295.2222851638238
2022-09-28$51.12$55.0040.6%11.6%26.5%36.0%31.8%5.9%-8.3%17.6K341.7K-4.0K0.23105.8822451639238
2022-09-29$50.88$55.0045.4%13.0%24.0%43.1%28.7%28.2%-10.0%17.1K287.1K-3.9K0.21103.8224651643238
2022-09-30$50.02$55.0036.6%10.5%24.4%30.0%36.3%7.3%-2.5%17.1K335.0K-3.8K0.31104.3724676643227