L Options History — May 2023

In May 2023, L traded between $56.47 and $60.16. ATM implied volatility averaged 22.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.8% (HV 20d: 21.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2023-05-01: Highest Volume — 164 contracts
  • 2023-05-24: Largest IV spike — 55.0% change
  • 2023-05-09: Highest IV Rank — 24.5%
  • 2023-05-31: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.26$56.47$60.16$60.16$56.47
Max Pain$59.32$55.00$60.00$55.00$60.00
ATM IV22.0%15.8%27.8%19.7%26.9%
Expected Move6.2%4.5%7.7%5.6%7.7%
HV 20d21.2%12.1%24.2%23.2%12.1%
HV 60d25.5%25.4%26.2%26.0%25.8%
IV Rank13.3%1.2%24.5%8.8%22.7%
IV Percentile20.1%0.4%54.4%4.0%50.4%
Term Structure-0.8%-11.3%6.7%2.1%2.5%
VWIV21.9%14.4%26.7%19.7%24.5%
Skew 25d4.7%-14.5%12.2%0.5%4.5%
Skew 10d18.9%-20.1%40.9%0.7%11.4%
Call IV 25d20.0%15.7%42.9%19.2%21.0%
Put IV 25d24.7%18.8%28.8%19.7%25.4%
Bid-Ask Spread %105.5593.77118.7093.77106.10
Gamma HHI0.660.470.830.470.83
Net GEX-313.4K-471.2K-154.8K-154.8K-471.2K
Net DEX1.5M417.0K2.6M417.0K2.6M
Net VEX-18.9K-23.6K-15.6K-19.8K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.007.502.640.50
Total Volume27.273016416438
Total OI3,035.0452,5523,2723,1792,577

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$60.16$55.0019.7%5.6%23.2%8.8%19.7%0.5%2.1%-154.8K417.0K-19.8K2.6493.77451197352,444
2023-05-02$59.09$55.0024.9%7.1%24.2%18.7%24.9%0.6%-3.6%-250.7K1.7M-23.6K1.41101.7817247322,511
2023-05-03$58.64$55.0021.6%6.2%22.2%12.5%24.6%-14.5%-2.2%-275.3K1.5M-21.9K3.08102.8913407352,495
2023-05-04$58.01$60.0020.3%6.5%22.6%9.9%22.3%4.3%-2.3%-308.5K1.9M-22.5K6.4099.515327402,495
2023-05-05$58.61$60.0019.3%6.3%22.8%7.9%22.1%2.2%-5.2%-225.0K1.2M-20.9K0.0097.424907452,527
2023-05-08$58.78$60.0024.1%6.0%22.8%17.4%21.9%6.4%-3.7%-244.3K1.1M-19.9K0.0095.98707312,527
2023-05-09$58.77$60.0027.8%5.4%22.6%24.5%18.1%6.0%0.9%-279.7K1.2M-20.1K0.00102.41907292,527
2023-05-10$58.50$60.0017.7%5.1%22.5%5.0%26.7%8.4%2.1%-262.4K1.5M-19.8K0.00105.09057342,527
2023-05-11$58.23$60.0021.0%6.0%22.7%11.2%0.0%2.8%-1.0%-360.6K1.6M-20.0K1.00107.89117342,532
2023-05-12$58.34$60.0018.2%5.2%22.4%5.9%0.0%12.2%-2.4%-313.6K1.4M-19.9K0.00108.74007342,533
2023-05-15$58.46$60.0016.4%4.7%22.2%2.4%14.4%2.9%2.3%-299.1K1.0M-17.5K0.00112.821207342,533
2023-05-16$58.00$60.0023.8%6.8%22.1%16.7%0.0%9.4%-0.9%-372.7K1.5M-18.8K0.00118.70007352,533
2023-05-17$58.21$60.0021.4%6.1%22.1%12.1%0.0%5.7%-3.7%-404.3K1.9M-18.9K0.00115.76007352,533
2023-05-18$58.76$60.0024.8%7.1%21.9%18.7%0.0%8.8%3.0%-368.3K1.3M-17.4K0.00116.06307352,533
2023-05-19$58.86$60.0024.4%7.0%21.4%17.9%22.5%10.9%0.2%-237.9K842.6K-16.5K0.00114.0712007372,533
2023-05-22$58.71$60.0018.4%5.3%21.5%6.4%25.3%9.4%0.4%-246.3K1.0M-16.5K7.50107.292156151,937
2023-05-23$58.14$60.0015.8%4.5%21.4%1.2%23.5%4.7%5.3%-283.9K1.2M-16.8K0.00101.01016171,939
2023-05-24$57.35$60.0024.4%7.0%21.7%17.9%23.1%-0.3%-4.6%-358.1K2.0M-18.6K0.50101.95216171,943
2023-05-25$57.18$60.0022.2%6.4%20.3%13.6%22.8%4.8%6.7%-454.6K2.2M-17.5K5.5098.364226181,946
2023-05-26$56.97$60.0026.7%7.7%19.3%22.4%17.7%8.0%-11.3%-357.9K1.6M-16.0K0.50105.94636151,963
2023-05-30$57.47$60.0024.4%7.0%12.1%18.0%18.5%5.6%-3.0%-365.1K1.6M-15.6K0.00108.49046141,962
2023-05-31$56.47$60.0026.9%7.7%12.1%22.7%24.5%4.5%2.5%-471.2K2.6M-17.5K0.00106.100386141,963