L Options History — August 2023

In August 2023, L traded between $61.37 and $63.67. ATM implied volatility averaged 16.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.0% (HV 20d: 12.4%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2023-08-01: Highest Volume — 519 contracts
  • 2023-08-08: Largest IV spike — 56.2% change
  • 2023-08-22: Highest IV Rank — 17.7%
  • 2023-08-22: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.50$61.37$63.67$62.80$61.91
Max Pain$55.43$55.00$60.00$60.00$55.00
ATM IV16.5%13.1%21.1%15.2%16.4%
Expected Move4.6%3.3%6.1%4.3%4.7%
HV 20d12.4%10.3%15.8%15.8%10.3%
HV 60d15.9%14.1%16.6%16.0%14.1%
IV Rank9.0%2.8%17.7%6.5%8.9%
IV Percentile9.0%0.8%30.6%2.4%7.9%
Term Structure2.2%-8.0%8.1%-0.8%0.1%
VWIV16.7%12.1%20.6%18.0%16.4%
Skew 25d1.7%-0.2%7.5%2.5%5.1%
Skew 10d1.0%-4.7%14.5%2.9%5.8%
Call IV 25d15.7%9.2%19.4%16.1%11.5%
Put IV 25d17.4%15.4%19.3%18.5%16.6%
Bid-Ask Spread %57.9312.8095.5094.0893.79
Gamma HHI0.530.340.820.540.62
Net GEX329.0K141.6K578.4K497.9K141.6K
Net DEX-18.5M-20.9M-16.6M-18.7M-18.0M
Net VEX-17.5K-23.9K-13.7K-19.6K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.016.000.290.70
Total Volume85.913751951939
Total OI5,106.5224,6525,4985,2014,941

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$62.80$60.0015.2%4.3%15.8%6.5%18.0%2.5%-0.8%497.9K-18.7M-19.6K0.2994.084011184,0401,161
2023-08-02$63.02$60.0014.8%4.3%15.7%5.9%17.1%0.4%-1.5%578.4K-19.9M-23.9K0.0170.2617314,3431,155
2023-08-03$63.50$55.0018.9%4.7%15.8%13.4%17.7%1.7%1.5%548.8K-20.9M-21.1K0.0578.63243124,2891,155
2023-08-04$62.92$55.0015.2%4.8%15.6%6.7%18.5%1.7%2.1%497.1K-19.3M-21.3K0.0128.1516214,1451,152
2023-08-07$63.44$55.0013.1%3.3%13.2%2.8%12.1%3.1%8.1%442.7K-19.9M-16.0K0.4524.8547214,0771,151
2023-08-08$63.67$55.0020.5%4.8%12.6%16.4%17.2%0.8%1.7%454.2K-19.6M-18.5K0.5412.801374,0751,166
2023-08-09$63.28$55.0016.4%4.7%13.0%8.8%0.0%0.3%1.8%483.3K-19.4M-18.3K0.2319.093174,0821,165
2023-08-10$62.85$55.0017.0%4.9%13.3%10.1%18.0%0.9%2.3%437.5K-18.8M-18.2K0.3320.791554,0711,169
2023-08-11$63.31$55.0015.9%4.6%11.3%8.0%19.1%-0.1%2.4%435.5K-19.6M-17.9K0.1185.094654,0811,166
2023-08-14$62.77$55.0019.4%5.6%11.5%14.5%15.7%1.6%1.9%422.8K-18.4M-17.6K0.1936.1558114,0621,171
2023-08-15$62.31$55.0018.4%5.3%12.0%12.7%15.8%2.0%0.8%342.9K-17.9M-17.5K0.5724.0786494,0921,168
2023-08-16$62.51$55.0019.4%5.6%12.0%14.5%20.6%1.9%1.7%403.0K-18.3M-17.9K1.3331.14344,1461,184
2023-08-17$61.62$55.0016.4%4.7%11.8%9.0%0.0%0.1%2.8%200.2K-17.2M-17.5K6.0033.34164,1451,188
2023-08-18$61.63$55.0016.7%4.8%11.8%9.5%12.8%0.6%-0.4%187.6K-17.2M-17.2K1.8385.8318334,1451,185
2023-08-21$61.83$55.0017.9%5.1%11.8%11.7%17.8%1.5%2.6%175.3K-17.1M-17.5K0.1291.24109133,5271,125
2023-08-22$61.37$55.0021.1%6.1%11.7%17.7%19.7%-0.0%-8.0%305.9K-16.6M-18.9K1.0088.7715153,5891,136
2023-08-23$61.91$55.0013.6%3.9%11.7%3.7%16.2%1.7%7.3%181.5K-17.7M-16.5K1.3886.1913183,6021,150
2023-08-24$62.20$55.0014.2%4.1%11.2%4.9%13.6%1.9%6.1%173.0K-18.0M-14.6K0.7420.1919143,6151,163
2023-08-25$62.16$55.0013.5%3.9%11.2%3.5%14.4%-0.2%7.4%170.4K-17.8M-15.5K0.2533.2748123,6281,177
2023-08-28$62.14$55.0013.9%4.0%10.8%4.2%16.4%2.9%5.2%157.2K-18.3M-14.3K0.5290.4623123,6711,188
2023-08-29$62.30$55.0016.7%4.8%10.8%9.5%0.0%0.8%1.0%180.8K-18.5M-13.9K0.7988.6414113,6931,199
2023-08-30$62.12$55.0013.9%4.0%10.8%4.3%0.0%7.5%4.3%149.7K-18.3M-13.7K1.0095.5012123,7071,210
2023-08-31$61.91$55.0016.4%4.7%10.3%8.9%0.0%5.1%0.1%141.6K-18.0M-14.3K0.7093.7923163,7191,222