L Options History — November 2022

In November 2022, L traded between $54.35 and $58.03. ATM implied volatility averaged 26.9%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.4% (HV 20d: 23.5%). 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 9 of 21 days. Put/call ratio averaged 0.27.

Notable Days

2022-11-18: Highest Volume — 387 contracts
2022-11-02: Largest IV spike — 54.6% change
2022-11-02: Highest IV Rank — 35.9%
2022-11-02: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.26	$54.35	$58.03	$56.37	$58.03
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	26.9%	17.8%	40.5%	26.2%	21.7%
Expected Move	7.5%	5.1%	11.6%	7.5%	6.2%
HV 20d	23.5%	19.6%	26.1%	24.7%	19.6%
HV 60d	25.4%	24.5%	26.3%	25.3%	24.8%
IV Rank	15.5%	1.9%	35.9%	14.5%	7.8%
IV Percentile	32.1%	0.4%	86.9%	26.6%	7.5%
Term Structure	-1.9%	-19.5%	13.2%	-3.1%	13.2%
VWIV	29.5%	23.5%	40.8%	27.6%	29.8%
Skew 25d	5.2%	-5.1%	15.8%	8.4%	-5.1%
Skew 10d	-6.3%	-36.6%	29.8%	29.8%	-36.6%
Call IV 25d	24.2%	13.3%	34.6%	26.2%	23.3%
Put IV 25d	29.4%	18.2%	41.6%	34.6%	18.2%
Bid-Ask Spread %	101.64	88.89	114.64	104.92	110.03
Gamma HHI	0.48	0.34	0.70	0.36	0.58
Net GEX	54.5K	12.3K	419.2K	56.0K	27.6K
Net DEX	-616.3K	-1.1M	-215.1K	-794.3K	-568.6K
Net VEX	-3.4K	-4.1K	-2.6K	-3.6K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	0.49	0.13	0.00
Total Volume	208.857	1	387	202	4
Total OI	765.571	642	899	761	658

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-11-01	$56.37	$55.00	26.2%	7.5%	24.7%	14.5%	27.6%	8.4%	-3.1%	56.0K	-794.3K	-3.6K	0.13	104.92	178	24	566	195
2022-11-02	$55.66	$55.00	40.5%	11.6%	25.3%	35.9%	38.9%	11.1%	-19.5%	45.2K	-612.1K	-3.6K	0.28	114.64	168	47	556	200
2022-11-03	$55.37	$55.00	33.4%	6.8%	24.8%	25.1%	26.0%	3.6%	3.6%	37.3K	-520.2K	-3.9K	0.30	98.48	168	50	555	223
2022-11-04	$55.37	$55.00	31.6%	6.8%	23.7%	22.5%	24.9%	7.4%	1.5%	39.0K	-467.8K	-3.9K	0.42	98.80	168	71	555	218
2022-11-07	$55.62	$55.00	24.8%	6.8%	23.7%	12.3%	23.5%	-1.6%	-3.6%	419.2K	-872.8K	-2.6K	0.28	97.49	192	53	557	238
2022-11-08	$55.71	$55.00	27.5%	7.8%	23.7%	16.4%	40.8%	-2.7%	0.2%	55.4K	-573.8K	-4.1K	0.27	100.52	193	53	582	242
2022-11-09	$54.35	$55.00	24.3%	7.0%	25.8%	11.6%	29.7%	4.3%	-0.0%	51.8K	-215.1K	-3.7K	0.45	92.86	205	92	603	242
2022-11-10	$56.38	$55.00	28.2%	8.1%	26.1%	17.5%	30.1%	6.6%	4.3%	47.1K	-645.5K	-4.1K	0.46	108.03	206	95	603	260
2022-11-11	$56.16	$55.00	26.7%	7.7%	25.9%	15.2%	34.4%	6.2%	-1.6%	54.2K	-713.3K	-4.1K	0.49	89.24	196	96	603	260
2022-11-14	$55.87	$55.00	29.9%	8.6%	25.8%	20.0%	35.8%	6.2%	-5.8%	14.4K	-976.9K	-3.5K	0.46	99.33	203	94	516	261
2022-11-15	$55.62	$55.00	25.4%	7.3%	25.3%	13.3%	29.9%	4.8%	2.3%	12.3K	-898.3K	-3.3K	0.23	95.50	209	49	522	263
2022-11-16	$55.70	$55.00	24.8%	7.1%	25.3%	12.4%	28.4%	3.9%	2.1%	77.9K	-545.7K	-3.5K	0.22	88.89	218	49	630	267
2022-11-17	$55.90	$55.00	27.3%	7.8%	24.5%	16.1%	28.1%	4.3%	-0.9%	58.0K	-709.4K	-3.5K	0.22	100.98	218	49	632	267
2022-11-18	$56.56	$55.00	24.3%	7.0%	21.7%	11.7%	26.3%	6.0%	0.9%	19.3K	-1.1M	-3.4K	0.14	99.08	338	49	631	267
2022-11-21	$56.67	$55.00	29.0%	8.3%	21.5%	18.7%	31.2%	8.2%	2.3%	14.1K	-303.2K	-3.2K	0.22	104.69	177	39	449	193
2022-11-22	$57.20	$55.00	26.7%	7.6%	21.7%	15.2%	26.4%	6.0%	-12.1%	21.6K	-498.2K	-3.2K	0.22	108.92	177	39	453	193
2022-11-23	$57.12	$55.00	23.0%	6.6%	21.7%	9.7%	24.9%	6.7%	-6.3%	20.4K	-474.7K	-3.2K	0.23	102.64	173	39	456	193
2022-11-25	$57.40	$55.00	24.9%	7.1%	21.7%	12.5%	29.3%	15.8%	-4.6%	23.7K	-514.2K	-3.1K	0.00	105.05	0	1	459	193
2022-11-28	$56.75	$55.00	26.8%	7.7%	19.9%	15.3%	24.1%	1.6%	-9.7%	22.7K	-393.6K	-2.8K	0.00	103.65	0	2	464	194
2022-11-29	$57.70	$55.00	17.8%	5.1%	20.2%	1.9%	0.0%	7.0%	-2.5%	28.0K	-566.3K	-3.0K	0.00	110.77	4	0	464	194
2022-11-30	$58.03	$55.00	21.7%	6.2%	19.6%	7.8%	29.8%	-5.1%	13.2%	27.6K	-568.6K	-3.0K	0.00	110.03	4	0	464	194