L Options History — December 2022

In December 2022, L traded between $55.00 and $58.61. ATM implied volatility averaged 27.4%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.6% (HV 20d: 18.8%). 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 14 of 21 days. Put/call ratio averaged 1.32.

Notable Days

2022-12-09: Highest Volume — 6,746 contracts
2022-12-12: Largest IV spike — 67.8% change
2022-12-12: Highest IV Rank — 51.7%
2022-12-06: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.93	$55.00	$58.61	$58.18	$58.23
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	27.4%	20.0%	51.2%	26.1%	25.6%
Expected Move	6.8%	5.7%	9.8%	7.5%	7.3%
HV 20d	18.8%	15.5%	22.3%	18.9%	20.3%
HV 60d	23.5%	21.3%	25.2%	24.6%	21.4%
IV Rank	17.6%	6.9%	51.7%	14.3%	18.0%
IV Percentile	32.7%	3.6%	96.0%	26.6%	27.8%
Term Structure	2.7%	-17.0%	11.9%	-2.7%	-1.5%
VWIV	25.4%	21.0%	36.5%	24.9%	25.1%
Skew 25d	2.4%	-9.6%	15.2%	8.5%	1.2%
Skew 10d	-3.0%	-25.7%	12.3%	-12.4%	8.5%
Call IV 25d	22.9%	17.4%	44.4%	21.0%	23.2%
Put IV 25d	25.3%	18.8%	34.8%	29.5%	24.4%
Bid-Ask Spread %	103.74	81.44	117.39	94.42	104.83
Gamma HHI	0.87	0.58	0.99	0.69	0.96
Net GEX	749.3K	17.8K	1.3M	30.9K	1.1M
Net DEX	-9.7M	-18.1M	-368.7K	-612.7K	-16.1M
Net VEX	-47.4K	-73.8K	-2.7K	-3.0K	-70.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.00	11.67	0.55	0.20
Total Volume	443	1	6,746	17	6
Total OI	4,719.857	660	6,968	660	6,765

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
2022-12-01	$58.18	$55.00	26.1%	7.5%	18.9%	14.3%	24.9%	8.5%	-2.7%	30.9K	-612.7K	-3.0K	0.55	94.42	11	6	466	194
2022-12-02	$57.45	$55.00	22.3%	6.4%	19.4%	8.7%	0.0%	-1.8%	-9.9%	25.0K	-550.8K	-2.9K	0.00	104.18	10	0	471	196
2022-12-05	$56.26	$55.00	33.1%	6.3%	21.0%	24.7%	0.0%	6.6%	-2.7%	22.3K	-368.7K	-2.9K	0.00	110.96	3	0	473	196
2022-12-06	$57.07	$55.00	32.8%	9.8%	21.6%	24.3%	34.2%	-5.2%	-17.0%	25.9K	-484.3K	-2.8K	0.00	106.74	4	0	473	190
2022-12-07	$56.23	$55.00	29.1%	7.7%	22.3%	18.7%	0.0%	15.2%	-6.5%	19.9K	-414.8K	-2.7K	0.24	102.80	17	4	475	190
2022-12-08	$56.16	$55.00	43.3%	6.6%	20.2%	40.0%	22.1%	3.1%	-2.3%	22.0K	-447.3K	-2.8K	0.00	117.39	3	0	479	191
2022-12-09	$56.55	$55.00	30.5%	7.4%	15.6%	20.9%	36.5%	-9.6%	11.9%	17.8K	-466.9K	-2.8K	0.00	106.36	6,730	16	481	200
2022-12-12	$56.61	$55.00	51.2%	8.9%	15.6%	51.7%	28.2%	3.7%	4.0%	1.0M	-13.1M	-68.7K	0.05	100.38	458	23	6,560	198
2022-12-13	$56.94	$55.00	39.2%	6.5%	15.5%	33.8%	0.0%	0.7%	9.8%	1.0M	-14.8M	-71.8K	11.67	111.88	3	35	6,573	194
2022-12-14	$56.13	$55.00	23.9%	6.9%	16.4%	11.0%	0.0%	7.0%	10.4%	1.1M	-11.8M	-67.0K	0.00	111.81	1,407	5	6,579	226
2022-12-15	$56.00	$55.00	24.0%	6.9%	16.4%	14.8%	23.3%	3.3%	3.9%	1.0M	-12.6M	-67.7K	7.25	95.83	4	29	6,715	225
2022-12-16	$55.86	$55.00	21.9%	6.3%	16.4%	10.7%	21.0%	1.4%	4.7%	1.1M	-11.4M	-65.3K	0.01	112.28	90	1	6,714	254
2022-12-19	$55.00	$55.00	21.5%	6.2%	16.6%	10.0%	21.6%	-5.0%	9.2%	915.5K	-10.0M	-62.3K	0.10	106.63	83	8	6,414	112
2022-12-20	$55.84	$55.00	20.8%	6.0%	17.6%	8.6%	24.3%	-1.2%	6.0%	1.0M	-12.2M	-67.3K	0.00	98.17	130	0	6,494	117
2022-12-21	$57.25	$55.00	20.4%	5.8%	19.6%	7.6%	0.0%	3.7%	11.2%	1.2M	-15.1M	-73.8K	0.29	104.38	34	10	6,572	117
2022-12-22	$56.92	$55.00	22.2%	6.4%	19.7%	11.3%	24.3%	1.0%	1.7%	1.2M	-13.8M	-70.3K	0.00	100.24	43	0	6,555	127
2022-12-23	$57.69	$55.00	23.9%	6.8%	20.2%	14.6%	22.7%	0.1%	6.3%	1.2M	-16.0M	-72.9K	7.25	103.33	4	29	6,569	127
2022-12-27	$58.56	$55.00	20.1%	5.8%	20.3%	7.0%	21.5%	8.1%	8.2%	1.3M	-18.1M	-73.0K	0.08	104.93	59	5	6,570	154
2022-12-28	$57.97	$55.00	22.9%	6.6%	19.9%	12.8%	0.0%	0.5%	6.3%	1.2M	-16.6M	-72.6K	0.00	99.58	1	0	6,606	149
2022-12-29	$58.61	$55.00	20.0%	5.7%	20.2%	6.9%	0.0%	9.1%	4.8%	1.2M	-18.1M	-73.5K	0.00	81.44	32	0	6,607	149
2022-12-30	$58.23	$55.00	25.6%	7.3%	20.3%	18.0%	25.1%	1.2%	-1.5%	1.1M	-16.1M	-70.4K	0.20	104.83	5	1	6,606	159