L Options History — September 2023

In September 2023, L traded between $61.93 and $65.28. ATM implied volatility averaged 16.9%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.4% (HV 20d: 10.5%). 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 16 of 20 days. Put/call ratio averaged 1.93.

Notable Days

  • 2023-09-15: Highest Volume — 766 contracts
  • 2023-09-06: Largest IV spike — 85.5% change
  • 2023-09-08: Highest IV Rank — 19.4%
  • 2023-09-07: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.65$61.93$65.28$62.42$63.19
Max Pain$59.75$55.00$60.00$55.00$60.00
ATM IV16.9%11.5%21.9%17.3%17.4%
Expected Move4.8%2.9%6.4%5.0%5.0%
HV 20d10.5%9.2%12.8%10.4%12.8%
HV 60d13.1%12.7%13.6%13.6%13.2%
IV Rank10.0%0.0%19.4%10.7%10.9%
IV Percentile15.5%0.0%39.3%13.5%18.7%
Term Structure0.9%-15.0%10.6%-1.0%1.8%
VWIV17.0%10.7%21.9%16.2%19.7%
Skew 25d1.5%-3.4%11.3%11.3%2.3%
Skew 10d2.1%-1.3%10.6%10.6%0.9%
Call IV 25d17.0%10.4%20.8%10.4%18.6%
Put IV 25d18.6%13.7%21.9%21.6%20.8%
Bid-Ask Spread %73.9421.09106.00104.5188.37
Gamma HHI0.610.450.720.640.59
Net GEX280.0K97.6K418.9K158.4K321.4K
Net DEX-11.0M-18.9M-3.3M-18.9M-3.3M
Net VEX-15.1K-17.6K-11.5K-13.9K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0010.001.054.11
Total Volume81.957663946
Total OI3,769.52,6135,0514,9762,881

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$62.42$55.0017.3%5.0%10.4%10.7%0.0%11.3%-1.0%158.4K-18.9M-13.9K1.05104.5119203,7391,237
2023-09-05$61.97$60.0011.5%4.7%10.2%0.0%16.2%-2.8%1.7%97.6K-18.4M-13.6K0.8899.4824213,7581,256
2023-09-06$61.93$60.0021.3%5.5%10.0%18.3%18.6%4.9%-3.8%137.5K-18.1M-14.5K0.0096.400343,7751,276
2023-09-07$62.08$60.0013.5%6.4%9.9%3.8%16.8%5.7%-15.0%106.6K-16.1M-13.5K0.00106.00503,3491,264
2023-09-08$62.40$60.0021.9%4.8%9.9%19.4%13.2%2.9%10.6%135.5K-16.3M-14.4K0.0095.672103,3491,264
2023-09-11$62.84$60.0017.2%4.1%9.9%10.6%13.6%1.8%1.6%156.4K-16.7M-12.4K0.0096.713503,3581,264
2023-09-12$63.75$60.0017.3%2.9%10.7%10.9%10.7%3.1%5.8%224.6K-17.3M-12.0K0.36100.8045163,3851,264
2023-09-13$63.97$60.0014.8%4.2%10.3%6.1%16.0%-3.4%-0.6%264.3K-17.5M-12.5K0.0598.963923,3721,277
2023-09-14$64.44$60.0012.7%3.6%10.5%2.2%12.7%-0.6%6.0%381.1K-17.9M-11.5K0.0291.116413,4081,278
2023-09-15$64.02$60.0016.2%4.6%9.2%8.7%16.2%-0.3%0.9%131.5K-17.5M-13.0K0.2692.146071593,4311,278
2023-09-18$64.62$60.0016.3%4.7%9.5%8.9%18.2%0.6%1.4%402.5K-5.0M-17.1K2.0045.0727541,5701,043
2023-09-19$65.28$60.0016.7%4.8%9.9%9.6%17.9%1.0%0.4%402.2K-5.6M-16.8K2.1786.2230651,5901,080
2023-09-20$65.00$60.0016.3%4.7%9.5%8.9%16.3%1.6%0.3%418.9K-5.5M-16.5K4.4488.8416711,6051,135
2023-09-21$64.14$60.0017.1%4.9%10.9%10.3%17.8%-0.1%0.9%383.4K-4.5M-17.5K0.7941.7328221,6011,169
2023-09-22$64.52$60.0017.1%4.9%10.9%10.4%17.8%-0.4%2.8%394.7K-4.8M-17.2K1.1247.7817191,6101,196
2023-09-25$64.65$60.0017.8%5.1%10.9%11.6%17.8%1.0%1.1%396.6K-4.9M-16.5K0.7121.5917121,6081,201
2023-09-26$64.04$60.0018.4%5.3%11.6%12.9%21.2%0.6%1.4%367.1K-4.3M-17.4K6.6031.465331,6161,220
2023-09-27$63.68$60.0018.7%5.4%11.9%13.5%21.1%1.0%1.1%351.5K-3.9M-17.1K2.1021.0910211,6131,220
2023-09-28$64.01$60.0018.3%5.3%11.8%12.7%21.9%0.7%0.9%368.9K-4.3M-17.6K10.0024.943301,6111,239
2023-09-29$63.19$60.0017.4%5.0%12.8%10.9%19.7%2.3%1.8%321.4K-3.3M-16.8K4.1188.379371,6131,268