L Options History — July 2023

In July 2023, L traded between $59.48 and $62.61. ATM implied volatility averaged 19.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.4% (HV 20d: 16.4%). 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 6 of 20 days. Put/call ratio averaged 3.66.

Notable Days

  • 2023-07-10: Highest Volume — 2,475 contracts
  • 2023-07-21: Largest IV spike — 41.9% change
  • 2023-07-26: Highest IV Rank — 28.4%
  • 2023-07-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.79$59.48$62.61$59.77$62.61
Max Pain$59.50$55.00$60.00$55.00$60.00
ATM IV19.8%12.8%27.0%22.0%16.1%
Expected Move5.8%3.7%7.7%6.3%4.6%
HV 20d16.4%14.8%17.1%15.8%15.8%
HV 60d18.6%16.2%19.4%18.4%16.2%
IV Rank15.0%2.3%28.4%18.8%8.3%
IV Percentile19.6%0.4%63.1%25.4%3.6%
Term Structure-1.3%-9.0%15.9%-2.9%1.0%
VWIV19.1%6.9%25.6%17.7%17.2%
Skew 25d4.0%-9.8%34.1%18.8%1.6%
Skew 10d8.4%-8.1%53.0%26.0%3.0%
Call IV 25d24.1%17.0%42.8%29.2%17.0%
Put IV 25d28.1%18.6%52.4%48.0%18.6%
Bid-Ask Spread %102.4965.93115.76115.7665.93
Gamma HHI0.510.390.710.670.44
Net GEX421.1K189.3K673.7K227.1K593.1K
Net DEX-12.6M-18.2M-2.4M-2.6M-18.2M
Net VEX-22.3K-30.5K-12.4K-14.6K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.0038.0015.000.69
Total Volume219.4582,47516144
Total OI3,762.91,8055,1451,8055,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$59.77$55.0022.0%6.3%15.8%18.8%0.0%18.8%-2.9%227.1K-2.6M-14.6K15.00115.761151,075730
2023-07-05$59.64$55.0018.0%5.2%15.4%11.6%0.0%4.8%4.0%189.3K-2.4M-14.5K1.71112.6814241,074740
2023-07-06$59.84$60.0015.9%5.7%15.5%7.7%0.0%1.8%-3.5%220.5K-2.7M-14.9K0.42105.271251,075756
2023-07-07$60.81$60.0018.4%4.6%14.8%12.4%0.0%-3.4%2.7%239.2K-3.5M-12.4K0.00108.741501,066756
2023-07-10$59.56$60.0016.4%5.0%16.4%8.7%17.7%3.7%3.2%242.5K-2.4M-13.4K0.01101.022,454211,079756
2023-07-11$60.41$60.0016.8%6.7%17.1%9.3%23.3%11.4%-5.4%516.7K-15.3M-30.5K3.00102.78263,519749
2023-07-12$60.49$60.0020.8%6.0%16.8%16.7%0.0%-4.6%-1.6%578.5K-15.3M-29.7K0.05104.914423,521754
2023-07-13$60.53$60.0018.5%5.3%16.8%12.6%0.0%0.2%-2.3%613.0K-16.6M-20.0K0.00105.923003,551755
2023-07-14$59.48$60.0025.5%7.3%16.6%25.5%25.2%-9.8%-8.4%627.8K-14.1M-29.8K0.58107.3119113,577755
2023-07-17$60.20$60.0019.8%5.7%16.7%15.1%0.0%34.1%-4.3%655.2K-15.2M-26.8K38.00108.271383,577766
2023-07-18$60.30$60.0024.1%6.9%16.6%23.1%0.0%4.2%-1.0%571.1K-14.6M-30.5K1.56103.139143,576785
2023-07-19$60.59$60.0020.6%5.9%16.3%16.6%20.6%2.9%-2.8%673.7K-15.0M-29.3K0.04102.335523,577797
2023-07-20$61.63$60.0012.8%3.7%17.1%2.3%6.9%-7.6%15.9%418.0K-17.1M-22.4K0.40111.734181673,509799
2023-07-21$61.53$60.0018.2%5.2%17.0%12.2%17.8%-6.4%-6.8%330.9K-16.3M-23.3K6.00104.705303,413965
2023-07-24$61.55$60.0022.6%6.5%16.8%20.2%17.1%10.9%-5.5%385.5K-15.1M-26.6K1.6799.11353,342982
2023-07-25$61.03$60.0020.5%5.9%17.1%16.3%0.0%-5.0%3.9%372.8K-15.0M-25.7K0.00103.800983,345987
2023-07-26$61.58$60.0027.0%7.7%17.1%28.4%25.6%14.7%-9.0%391.9K-16.5M-20.9K0.01100.997813,3451,062
2023-07-27$62.21$60.0022.3%6.4%16.4%19.7%21.0%4.2%-1.5%323.3K-17.2M-21.5K0.1799.483053,4211,063
2023-07-28$62.13$60.0019.5%5.6%15.8%14.5%17.7%3.1%-2.3%252.1K-17.6M-17.5K0.1785.98521903,4491,065
2023-07-31$62.61$60.0016.1%4.6%15.8%8.3%17.2%1.6%1.0%593.1K-18.2M-21.6K0.6965.9385594,0041,141