L Options History — October 2022

In October 2022, L traded between $51.35 and $57.95. ATM implied volatility averaged 37.6%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.5% (HV 20d: 28.1%). 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 3 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2022-10-04: Highest Volume — 291 contracts
  • 2022-10-07: Largest IV spike — 34.7% change
  • 2022-10-07: Highest IV Rank — 65.1%
  • 2022-10-10: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.02$51.35$57.95$51.42$57.14
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV37.6%26.3%60.1%42.4%29.3%
Expected Move10.0%7.6%12.8%12.2%8.4%
HV 20d28.1%25.8%30.9%27.0%25.8%
HV 60d25.1%24.0%26.4%24.1%25.2%
IV Rank31.5%14.7%65.1%38.6%19.0%
IV Percentile70.8%27.4%97.6%90.9%47.6%
Term Structure-4.0%-14.3%7.8%-7.1%1.4%
VWIV34.9%26.1%41.6%26.1%29.5%
Skew 25d8.7%-19.1%39.8%24.3%4.9%
Skew 10d22.3%-26.3%127.6%43.4%6.5%
Call IV 25d39.2%23.7%62.9%24.0%27.9%
Put IV 25d47.9%32.8%72.7%48.3%32.8%
Bid-Ask Spread %110.4769.83119.75104.5497.40
Gamma HHI0.300.250.380.260.32
Net GEX32.5K19.4K51.9K19.4K44.9K
Net DEX-285.0K-1.1M205.9K195.6K-846.0K
Net VEX-4.2K-5.2K-3.6K-4.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.210.530.280.21
Total Volume237.667195291273269
Total OI852.048660951891703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$51.42$55.0042.4%12.2%27.0%38.6%26.1%24.3%-7.1%19.4K195.6K-4.4K0.28104.5421360643248
2022-10-04$53.05$55.0033.1%9.5%29.7%24.7%32.4%7.5%-3.7%25.1K29.4K-4.6K0.26109.2723160675249
2022-10-05$52.91$55.0036.5%10.5%28.9%29.9%41.6%39.8%-4.1%33.8K-137.9K-5.2K0.26117.5423160702249
2022-10-06$52.20$55.0044.6%9.7%29.0%42.0%32.7%11.7%-6.7%25.7K91.7K-4.5K0.32116.1119562702249
2022-10-07$51.35$55.0060.1%10.1%29.0%65.1%40.2%14.5%-1.6%23.3K98.4K-4.5K0.32117.3019562698247
2022-10-10$51.60$55.0058.3%12.8%28.8%62.4%38.4%20.4%-9.1%23.0K149.7K-4.4K0.32111.1719562694245
2022-10-11$51.85$55.0049.9%11.4%27.9%49.9%35.6%11.5%-2.9%23.5K171.4K-4.2K0.32112.9019562690243
2022-10-12$51.85$55.0039.7%11.4%27.9%34.7%34.2%13.9%-2.4%19.4K205.9K-3.8K0.36112.6717162686241
2022-10-13$53.67$55.0027.5%7.9%30.9%16.4%34.2%6.5%-3.6%37.5K-220.2K-4.5K0.34119.7518462687239
2022-10-14$53.15$55.0028.9%8.3%29.7%18.5%31.1%2.8%-6.3%31.5K-166.2K-4.5K0.37116.7816962683237
2022-10-17$53.72$55.0035.7%10.2%29.0%28.7%34.9%1.8%-14.3%27.5K-85.6K-3.8K0.38118.3116763681235
2022-10-18$54.60$55.0033.5%9.6%28.7%25.4%32.9%-1.1%-7.1%35.4K-337.0K-3.9K0.44117.3714062677233
2022-10-19$54.49$55.0031.5%9.0%28.1%22.4%31.5%-2.7%-1.1%36.8K-344.8K-4.0K0.44101.0314162674233
2022-10-20$53.62$55.0035.6%10.2%28.0%28.5%35.9%-10.7%-9.6%25.0K-187.7K-3.9K0.38115.4516161675234
2022-10-21$55.49$55.0038.9%11.2%28.8%33.5%40.2%-12.3%-5.5%26.0K-600.3K-3.8K0.38112.4216562676235
2022-10-24$55.99$55.0035.3%10.1%26.9%28.0%41.0%12.7%7.2%38.1K-724.8K-4.2K0.38119.2114455505155
2022-10-25$55.89$55.0037.8%10.8%27.0%31.7%39.1%14.8%-4.9%38.7K-655.7K-4.0K0.38115.4514455506155
2022-10-26$56.09$55.0036.5%10.5%26.6%29.9%38.2%29.9%-7.8%47.7K-718.5K-4.1K0.36105.3815355506155
2022-10-27$56.47$55.0026.3%7.6%26.3%14.7%30.8%11.9%7.8%51.9K-805.8K-3.8K0.39110.0414055517155
2022-10-28$57.95$55.0029.0%8.3%25.9%18.6%33.3%-19.1%-3.3%47.5K-1.1M-3.8K0.5369.8315985520156
2022-10-31$57.14$55.0029.3%8.4%25.8%19.0%29.5%4.9%1.4%44.9K-846.0K-3.6K0.2197.4022346514189