L Options History — January 2023

In January 2023, L traded between $58.19 and $61.19. ATM implied volatility averaged 23.4%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.3% (HV 20d: 19.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.02.

Notable Days

2023-01-11: Highest Volume — 156 contracts
2023-01-26: Largest IV spike — 67.3% change
2023-01-27: Highest IV Rank — 29.4%
2023-01-27: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.66	$58.19	$61.19	$58.47	$61.19
Max Pain	$58.50	$55.00	$60.00	$55.00	$60.00
ATM IV	23.4%	15.2%	30.4%	23.6%	28.0%
Expected Move	6.5%	4.3%	8.7%	6.8%	8.0%
HV 20d	19.1%	17.2%	21.2%	19.8%	17.3%
HV 60d	20.2%	18.6%	21.9%	21.2%	18.6%
IV Rank	14.2%	0.0%	29.4%	14.0%	24.8%
IV Percentile	20.8%	0.0%	61.5%	17.5%	50.8%
Term Structure	1.7%	-3.5%	10.4%	3.1%	-2.7%
VWIV	23.7%	19.7%	28.8%	21.9%	28.3%
Skew 25d	-0.6%	-22.1%	9.0%	3.8%	-0.6%
Skew 10d	-3.7%	-42.1%	7.7%	5.2%	-0.3%
Call IV 25d	25.5%	20.8%	43.1%	22.7%	27.1%
Put IV 25d	24.9%	17.4%	32.5%	26.5%	26.5%
Bid-Ask Spread %	101.37	79.16	113.51	105.90	79.16
Gamma HHI	0.96	0.95	0.97	0.97	0.95
Net GEX	1.6M	1.3M	2.0M	1.3M	1.9M
Net DEX	-20.3M	-24.9M	-16.0M	-17.8M	-24.1M
Net VEX	-66.8K	-71.3K	-62.1K	-70.2K	-62.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	4.60	0.00	4.60
Total Volume	43.7	4	156	41	28
Total OI	7,020.25	6,763	7,278	6,763	7,278

Daily Data (20 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
2023-01-03	$58.47	$55.00	23.6%	6.8%	19.8%	14.0%	0.0%	3.8%	3.1%	1.3M	-17.8M	-70.2K	0.00	105.90	41	0	6,605	158
2023-01-04	$59.02	$55.00	23.4%	6.7%	18.2%	13.8%	21.9%	-22.1%	4.5%	1.4M	-19.4M	-71.3K	0.92	107.17	13	12	6,642	158
2023-01-05	$59.16	$55.00	24.2%	5.5%	17.7%	15.3%	28.8%	0.8%	5.4%	1.3M	-19.2M	-70.5K	0.70	102.42	10	7	6,642	153
2023-01-06	$60.45	$55.00	26.9%	5.7%	17.9%	20.6%	23.3%	-4.5%	8.8%	1.3M	-22.6M	-70.9K	0.55	107.80	56	31	6,649	159
2023-01-09	$59.03	$60.00	25.8%	6.7%	20.3%	18.4%	27.0%	1.4%	0.7%	1.3M	-17.9M	-67.9K	0.10	95.06	48	5	6,618	174
2023-01-10	$59.00	$60.00	25.3%	6.5%	20.3%	17.5%	21.8%	-3.3%	1.7%	1.3M	-18.9M	-68.5K	1.17	106.85	23	27	6,659	179
2023-01-11	$59.59	$60.00	22.1%	6.3%	20.5%	11.1%	20.5%	-5.8%	3.1%	1.4M	-20.8M	-68.8K	0.14	104.97	137	19	6,679	182
2023-01-12	$59.86	$60.00	22.3%	6.4%	20.4%	11.5%	23.5%	-2.7%	2.4%	1.4M	-20.4M	-69.6K	0.21	113.51	24	5	6,808	193
2023-01-13	$60.17	$60.00	21.0%	6.0%	19.5%	8.9%	21.1%	-2.3%	2.7%	1.6M	-21.4M	-68.9K	0.00	105.16	26	0	6,827	191
2023-01-17	$59.36	$60.00	27.3%	7.8%	20.3%	21.4%	0.0%	-0.2%	-3.5%	1.6M	-18.9M	-65.9K	1.15	103.64	20	23	6,843	191
2023-01-18	$58.48	$60.00	20.2%	5.8%	21.2%	7.2%	20.9%	6.3%	0.3%	1.7M	-17.0M	-65.7K	1.13	107.44	15	17	6,863	207
2023-01-19	$58.19	$60.00	22.3%	6.4%	20.3%	11.4%	22.4%	9.0%	-1.0%	1.8M	-16.0M	-63.9K	0.02	98.67	44	1	6,918	220
2023-01-20	$58.61	$55.00	20.3%	5.8%	19.9%	7.5%	27.4%	-1.1%	-0.1%	1.8M	-17.3M	-65.2K	0.75	101.83	12	9	6,978	219
2023-01-23	$59.36	$55.00	18.4%	5.3%	18.5%	3.7%	19.7%	6.4%	1.5%	1.9M	-19.0M	-64.9K	1.22	110.49	18	22	6,908	202
2023-01-24	$60.11	$60.00	21.1%	6.0%	18.6%	9.0%	21.0%	-2.6%	-0.4%	1.9M	-21.9M	-65.3K	0.00	102.88	4	0	6,921	224
2023-01-25	$60.55	$60.00	15.2%	4.3%	18.3%	0.0%	23.4%	-3.4%	10.4%	1.9M	-22.5M	-64.7K	3.60	86.98	5	18	6,921	224
2023-01-26	$61.02	$60.00	25.4%	7.3%	17.8%	19.7%	24.3%	3.2%	-2.8%	2.0M	-24.9M	-63.5K	1.68	103.12	19	32	6,922	241
2023-01-27	$61.04	$60.00	30.4%	8.7%	17.2%	29.4%	27.8%	2.6%	-3.1%	1.7M	-23.9M	-64.5K	0.25	103.40	59	15	6,919	272
2023-01-30	$60.53	$60.00	24.6%	7.1%	17.3%	18.3%	23.2%	2.4%	2.3%	1.7M	-21.7M	-63.1K	2.22	80.95	9	20	6,976	282
2023-01-31	$61.19	$60.00	28.0%	8.0%	17.3%	24.8%	28.3%	-0.6%	-2.7%	1.9M	-24.1M	-62.1K	4.60	79.16	5	23	6,979	299