L Options History — April 2023

In April 2023, L traded between $55.47 and $57.74. ATM implied volatility averaged 25.1%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.1% (HV 20d: 26.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 9.55.

Notable Days

  • 2023-04-25: Highest Volume — 1,096 contracts
  • 2023-04-04: Largest IV spike — 32.7% change
  • 2023-04-10: Highest IV Rank — 31.9%
  • 2023-04-06: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.67$55.47$57.74$57.61$57.74
Max Pain$55.79$55.00$60.00$60.00$55.00
ATM IV25.1%19.8%31.7%19.8%23.4%
Expected Move7.1%5.7%8.6%5.7%6.7%
HV 20d26.2%16.7%36.5%36.2%18.4%
HV 60d24.2%23.9%24.7%24.6%24.7%
IV Rank19.3%9.0%31.9%9.0%16.0%
IV Percentile33.5%4.8%69.0%4.8%20.2%
Term Structure0.5%-10.8%11.8%-0.4%1.5%
VWIV24.6%21.4%31.3%25.4%22.7%
Skew 25d6.3%-1.6%14.0%4.0%-0.5%
Skew 10d9.0%-16.9%27.4%-16.9%1.4%
Call IV 25d23.1%16.5%39.1%22.4%22.9%
Put IV 25d29.4%22.3%40.0%26.4%22.3%
Bid-Ask Spread %104.2096.87113.1099.55103.66
Gamma HHI0.530.430.800.500.66
Net GEX-639.8K-1.0M-108.8K-988.2K-361.5K
Net DEX9.5M1.2M13.7M10.7M2.1M
Net VEX-21.9K-29.9K-15.4K-29.9K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.550.0037.0010.000.58
Total Volume85.52601,0961157
Total OI4,189.2631,9394,8284,7693,156

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-04-03$57.61$60.0019.8%5.7%36.2%9.0%0.0%4.0%-0.4%-988.2K10.7M-29.9K10.0099.551107064,063
2023-04-04$56.08$60.0026.2%7.5%36.5%21.4%25.4%9.7%11.8%-707.1K13.7M-26.5K15.50104.414627074,073
2023-04-05$56.25$60.0028.9%8.3%36.2%26.5%0.0%14.0%0.5%-799.9K12.8M-26.0K0.00105.030557034,072
2023-04-06$56.34$55.0026.5%8.6%36.0%21.9%0.0%13.9%1.6%-797.0K13.0M-26.1K0.00101.88037034,125
2023-04-10$56.39$55.0031.7%7.0%35.5%31.9%0.0%12.3%7.1%-865.7K12.5M-24.3K0.0098.14007034,098
2023-04-11$56.97$55.0025.8%7.2%34.4%20.6%23.9%7.2%-3.1%-776.5K12.5M-15.4K23.0097.811237044,068
2023-04-12$56.58$55.0022.4%6.4%34.4%14.1%0.0%-1.6%-3.4%-843.7K12.6M-24.1K0.00105.97107054,094
2023-04-13$56.66$55.0024.0%6.9%31.3%17.2%0.0%5.8%4.3%-854.6K12.3M-21.9K0.00103.330157064,094
2023-04-14$56.25$55.0022.1%6.3%28.6%13.4%23.3%12.5%7.5%-732.9K13.1M-19.5K4.00108.06287064,108
2023-04-17$56.87$55.0026.8%7.7%23.5%22.4%0.0%3.5%-7.3%-771.1K12.4M-20.1K0.00109.06007044,114
2023-04-18$57.53$55.0021.5%6.2%21.1%12.2%24.0%9.2%-3.4%-1.0M11.2M-20.4K0.00109.69407084,114
2023-04-19$57.47$55.0025.4%7.3%20.6%19.8%0.0%11.0%-1.7%-858.8K11.9M-18.8K0.00113.10207124,114
2023-04-20$56.87$55.0025.2%7.2%19.0%19.3%22.3%0.8%-10.8%-513.0K9.4M-17.7K0.00105.116007123,550
2023-04-21$56.31$55.0021.8%6.3%17.9%12.9%31.3%0.9%11.4%-108.8K8.9M-16.3K0.00107.8701177723,550
2023-04-24$56.61$55.0025.8%7.4%17.5%20.5%21.4%1.0%-9.1%-143.2K1.2M-15.6K37.00105.722746761,263
2023-04-25$56.03$55.0025.2%7.2%16.7%19.5%23.6%1.5%8.8%-184.4K1.5M-18.2K23.91100.03441,0526781,337
2023-04-26$55.47$55.0026.1%7.5%17.0%21.1%27.7%6.9%-2.7%-462.2K4.5M-26.3K10.00104.552207142,429
2023-04-27$56.73$55.0029.0%8.3%17.4%26.7%0.0%7.6%-2.8%-373.0K3.6M-25.3K0.2096.87517122,443
2023-04-28$57.74$55.0023.4%6.7%18.4%16.0%22.7%-0.5%1.5%-361.5K2.1M-22.9K0.58103.6636217122,444