L Options History — June 2023

In June 2023, L traded between $56.09 and $59.86. ATM implied volatility averaged 18.0%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.7% (HV 20d: 18.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2023-06-05: Highest Volume — 194 contracts
  • 2023-06-30: Largest IV spike — 59.7% change
  • 2023-06-01: Highest IV Rank — 33.8%
  • 2023-06-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.55$56.09$59.86$56.09$59.46
Max Pain$57.14$55.00$60.00$60.00$55.00
ATM IV18.0%11.6%32.6%32.6%18.5%
Expected Move5.2%3.3%9.4%9.4%5.3%
HV 20d18.7%12.0%20.2%12.0%19.3%
HV 60d21.7%18.4%26.2%25.5%18.4%
IV Rank7.8%0.0%33.8%33.8%12.5%
IV Percentile8.5%0.0%73.4%73.4%8.7%
Term Structure0.8%-6.6%10.9%0.1%2.5%
VWIV20.1%11.2%32.3%32.3%18.9%
Skew 25d3.1%-10.0%15.1%14.3%15.1%
Skew 10d7.6%-21.7%30.8%12.5%25.2%
Call IV 25d21.8%16.2%33.1%22.0%27.0%
Put IV 25d24.8%20.4%42.1%36.3%42.1%
Bid-Ask Spread %104.5998.88112.43108.75112.43
Gamma HHI0.490.200.780.780.62
Net GEX45.5K-429.8K235.9K-429.8K189.1K
Net DEX-682.9K-2.6M3.3M3.3M-2.6M
Net VEX-13.3K-17.5K-9.6K-17.5K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.003.003.000.00
Total Volume55.9051194426
Total OI2,275.2861,4002,9622,5621,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$56.09$60.0032.6%9.4%12.0%33.8%32.3%14.3%0.1%-429.8K3.3M-17.5K3.00108.75136141,948
2023-06-02$57.97$60.0022.3%6.4%16.9%13.9%26.7%3.1%-0.4%-333.4K1.1M-14.3K0.00108.08306141,948
2023-06-05$58.58$60.0020.0%6.3%16.9%9.4%22.5%3.5%-6.6%-6.2K197.2K-11.9K0.12105.44173216161,938
2023-06-06$58.66$60.0016.7%4.7%16.9%3.0%19.7%6.1%3.7%63.3K-104.8K-11.8K0.00101.286907281,958
2023-06-07$59.86$60.0016.1%5.3%18.4%1.9%19.1%5.0%-3.2%68.0K-514.3K-11.5K0.00100.535807191,958
2023-06-08$59.34$60.0013.8%5.0%18.6%0.0%17.7%-7.1%2.7%64.2K-194.0K-11.8K0.00100.121407331,958
2023-06-09$59.42$60.0016.6%4.6%18.5%5.3%0.0%3.2%2.0%67.4K-476.4K-10.9K0.00104.860117411,960
2023-06-12$58.94$60.0018.6%4.2%18.8%9.1%14.4%5.8%2.2%75.1K-338.9K-9.6K0.23104.7544107611,979
2023-06-13$59.16$55.0018.7%4.7%18.8%9.2%16.7%5.0%-4.5%88.3K-351.2K-12.7K0.12100.22164197941,989
2023-06-14$58.08$60.0019.9%5.7%19.8%11.4%23.8%-8.6%-4.4%-105.4K-318.0K-13.3K0.0598.882219101,999
2023-06-15$58.75$55.0013.9%4.0%20.2%0.2%25.6%3.6%10.9%76.1K-782.2K-12.6K0.43101.2728129331,997
2023-06-16$58.52$55.0016.7%4.8%19.9%5.4%16.5%2.7%6.2%39.1K-591.5K-12.7K0.01102.647519612,001
2023-06-20$58.09$55.0016.9%4.8%20.1%5.9%16.5%2.6%0.0%58.1K-1.0M-12.3K0.00105.751480671729
2023-06-21$58.33$55.0019.0%5.4%20.1%9.8%0.0%0.9%-4.1%112.6K-1.4M-13.7K0.04104.48492815729
2023-06-22$58.06$55.0017.8%5.1%19.9%7.5%0.0%5.1%0.4%110.8K-1.3M-13.8K0.01102.86751873730
2023-06-23$57.80$55.0016.7%4.8%19.3%5.4%0.0%-10.0%0.1%129.8K-1.2M-14.5K0.19107.005310948729
2023-06-26$58.32$55.0017.8%5.1%19.5%7.5%19.0%6.6%0.1%147.0K-1.7M-14.8K0.00105.04401,001730
2023-06-27$58.87$55.0014.8%4.2%19.6%1.9%0.0%-1.6%-0.4%187.2K-2.1M-14.7K0.00106.27301,001730
2023-06-28$58.13$55.0020.0%5.7%20.1%11.6%0.0%2.6%4.4%119.0K-1.7M-15.4K0.00107.247301,002730
2023-06-29$59.02$55.0011.6%3.3%19.5%0.0%11.2%6.3%5.1%235.9K-2.2M-15.0K0.00108.41101,073730
2023-06-30$59.46$55.0018.5%5.3%19.3%12.5%18.9%15.1%2.5%189.1K-2.6M-15.2K0.00112.432601,073730