L Options History — March 2023

In March 2023, L traded between $53.62 and $61.61. ATM implied volatility averaged 30.3%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.3% (HV 20d: 24.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 9.81.

Notable Days

  • 2023-03-10: Highest Volume — 863 contracts
  • 2023-03-10: Largest IV spike — 222.1% change
  • 2023-03-10: Highest IV Rank — 96.9%
  • 2023-03-20: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.10$53.62$61.61$61.25$57.75
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV30.3%20.3%65.3%20.8%23.4%
Expected Move7.8%4.4%11.2%6.0%6.7%
HV 20d24.1%12.0%36.2%15.2%36.2%
HV 60d20.9%16.5%24.6%17.6%24.6%
IV Rank29.4%9.9%96.9%10.9%15.9%
IV Percentile49.8%6.7%99.2%8.3%21.4%
Term Structure-2.3%-13.9%9.4%-3.8%0.7%
VWIV27.4%15.2%39.0%20.2%30.8%
Skew 25d1.8%-33.1%13.6%4.8%5.0%
Skew 10d-1.5%-46.5%24.9%5.1%-17.4%
Call IV 25d27.9%14.5%55.1%15.6%24.7%
Put IV 25d29.7%16.7%36.9%20.4%29.6%
Bid-Ask Spread %103.7882.94113.3891.54104.87
Gamma HHI0.630.410.960.940.49
Net GEX448.1K-905.2K3.0M2.3M-905.2K
Net DEX3.1M-26.1M15.4M-21.9M10.1M
Net VEX-39.3K-60.6K-27.2K-60.6K-30.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.810.00100.001.0023.67
Total Volume113.0433863674
Total OI7,768.6524,14910,8419,8694,696

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$61.25$60.0020.8%6.0%15.2%10.9%20.2%4.8%-3.8%2.3M-21.9M-60.6K1.0091.54336,7953,074
2023-03-02$61.34$60.0020.9%6.0%15.1%11.1%20.9%-31.3%-0.8%2.3M-23.3M-58.0K0.1887.043466,7983,076
2023-03-03$61.61$60.0021.9%6.3%14.5%13.0%21.9%-33.1%-8.1%2.1M-26.1M-53.3K6.4090.775326,8293,082
2023-03-06$61.34$60.0021.1%4.7%14.4%11.4%20.0%-2.8%3.7%2.5M-24.4M-52.7K0.7597.43436,8303,112
2023-03-07$59.97$60.0024.0%4.4%12.8%17.0%15.2%5.7%3.9%2.7M-11.9M-56.9K0.05108.22241136,8273,115
2023-03-08$58.89$60.0021.8%5.6%12.0%12.8%19.2%6.7%2.4%3.0M-2.8M-51.8K0.3882.9482316,7513,115
2023-03-09$58.21$60.0020.3%4.8%12.3%9.9%22.9%9.8%-1.1%2.5M847.9K-48.5K0.02108.8024656,8213,126
2023-03-10$57.22$60.0065.3%8.7%13.2%96.9%30.3%2.1%-8.8%1.0M-23.3K-48.0K0.00112.1608636,8473,131
2023-03-13$55.71$60.0043.9%8.2%15.2%55.5%33.1%1.8%4.6%378.5K8.5M-41.5K5.67110.643176,8463,971
2023-03-14$56.06$60.0036.9%9.1%15.2%42.1%30.3%13.5%-10.8%-73.9K11.7M-36.8K0.12109.082636,8463,984
2023-03-15$53.98$60.0024.9%7.1%19.0%18.7%27.5%13.6%-0.8%-489.8K14.2M-29.8K0.25106.84416,8573,984
2023-03-16$56.04$60.0033.2%9.5%24.7%35.0%33.3%9.9%-12.5%-621.8K12.4M-34.8K2.00108.63126,8573,978
2023-03-17$53.62$60.0032.9%9.4%28.3%34.4%35.0%4.1%-5.3%-489.3K14.9M-28.5K100.00104.0311006,8563,978
2023-03-20$55.36$60.0039.1%11.2%31.5%46.3%30.3%10.2%-3.1%-552.7K12.8M-33.0K0.00109.59606273,960
2023-03-21$56.17$60.0032.7%9.4%32.3%34.0%28.0%12.7%5.0%-713.6K11.7M-33.2K1.77108.2447836353,960
2023-03-22$54.88$60.0029.0%8.3%33.0%26.8%17.7%7.9%-4.8%-677.6K13.7M-31.5K10.00113.381106744,043
2023-03-23$53.84$60.0032.0%9.2%33.1%32.6%35.0%4.6%-9.4%-507.3K15.4M-27.2K11.80101.475596754,053
2023-03-24$54.55$60.0035.9%10.3%33.7%40.0%39.0%-16.3%-13.9%-520.9K10.9M-29.1K0.00110.900216753,474
2023-03-27$55.65$60.0035.9%10.3%34.8%40.0%35.3%1.4%-8.0%-574.9K10.5M-29.5K4.50105.498366753,494
2023-03-28$55.73$60.0028.9%8.3%34.8%26.5%0.0%-1.4%6.0%-595.8K11.2M-27.6K16.11107.86284516783,530
2023-03-29$56.89$60.0028.9%8.3%35.9%26.6%32.0%10.0%9.4%-861.3K11.0M-31.7K21.00102.501216943,969
2023-03-30$57.20$60.0024.4%7.0%36.0%18.0%25.7%2.4%1.8%-842.9K11.1M-28.9K0.43104.471466953,986
2023-03-31$57.75$60.0023.4%6.7%36.2%15.9%30.8%5.0%0.7%-905.2K10.1M-30.4K23.67104.873717043,992