L Options History — October 2023

In October 2023, L traded between $61.82 and $65.44. ATM implied volatility averaged 20.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.0% (HV 20d: 15.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2023-10-26: Highest Volume — 342 contracts
  • 2023-10-05: Largest IV drop — 37.7% change
  • 2023-10-23: Highest IV Rank — 27.7%
  • 2023-10-23: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.49$61.82$65.44$62.22$63.90
Max Pain$64.32$60.00$65.00$60.00$65.00
ATM IV20.6%14.7%26.4%22.4%18.7%
Expected Move6.2%4.9%7.6%6.4%5.4%
HV 20d15.7%13.4%18.4%13.8%18.0%
HV 60d12.9%11.8%14.2%13.3%14.2%
IV Rank17.0%6.0%27.7%20.2%13.3%
IV Percentile39.6%5.2%75.8%49.2%28.2%
Term Structure-1.2%-2.7%2.9%0.2%0.2%
VWIV21.6%16.7%30.6%20.2%19.8%
Skew 25d4.4%1.2%8.5%3.1%6.7%
Skew 10d8.0%-4.5%17.2%12.9%11.4%
Call IV 25d19.9%16.3%24.2%18.9%16.3%
Put IV 25d24.3%21.9%28.3%22.0%23.0%
Bid-Ask Spread %48.2511.1491.5989.3711.14
Gamma HHI0.520.290.770.530.34
Net GEX374.1K116.1K947.9K238.4K162.0K
Net DEX-3.1M-6.1M-1.3M-2.3M-2.6M
Net VEX-14.1K-16.4K-11.9K-16.2K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.005.121.192.27
Total Volume102.955183426836
Total OI2,972.9092,4773,3212,8953,057

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$62.22$60.0022.4%6.4%13.8%20.2%20.2%3.1%0.2%238.4K-2.3M-16.2K1.1989.3731371,6221,273
2023-10-03$61.82$60.0022.0%6.3%13.7%19.5%22.1%1.2%0.9%173.5K-1.5M-15.5K1.8835.8533621,6261,290
2023-10-04$62.48$60.0023.6%6.8%14.2%22.6%20.8%3.0%-2.7%273.5K-2.5M-16.2K0.1891.5968121,6561,262
2023-10-05$63.00$65.0014.7%7.0%14.5%6.0%20.6%4.1%-1.7%402.0K-3.5M-16.2K0.6857.0628191,7021,266
2023-10-06$63.38$65.0017.6%5.5%14.5%11.3%16.7%3.8%-0.9%395.2K-3.5M-16.4K3.6456.6414511,6941,275
2023-10-09$63.55$65.0018.6%6.3%14.4%13.3%19.2%3.8%-2.0%418.1K-3.7M-15.1K0.2449.0849121,6841,297
2023-10-10$63.48$65.0014.8%5.5%13.4%6.2%18.9%8.5%-1.0%434.7K-3.7M-14.3K0.2584.8440101,7111,293
2023-10-11$64.43$65.0020.1%5.8%14.4%16.1%18.3%4.2%-1.5%617.2K-4.9M-14.3K0.0079.8321401,6991,283
2023-10-12$63.64$65.0020.1%5.8%14.8%15.9%19.3%3.9%-1.5%525.7K-3.6M-14.4K0.2624.5268181,8791,283
2023-10-13$63.66$65.0021.0%6.0%14.6%17.7%24.4%4.3%-1.8%527.0K-3.7M-14.9K0.0682.851811,9181,265
2023-10-16$64.67$65.0020.4%5.8%15.4%16.5%20.1%4.6%-1.8%679.1K-4.9M-13.5K0.1027.52105101,9071,266
2023-10-17$65.44$65.0020.6%5.9%15.5%16.9%20.4%4.6%-1.9%876.2K-6.1M-14.1K0.7126.7531221,9391,276
2023-10-18$64.86$65.0017.0%4.9%15.8%10.2%21.2%3.4%2.9%947.9K-5.0M-13.4K5.1235.7017871,9491,295
2023-10-19$64.05$65.0021.7%6.2%15.7%19.0%20.5%4.2%-2.7%539.3K-3.0M-13.0K0.0722.2412091,9561,324
2023-10-20$63.09$65.0023.2%6.6%16.4%21.7%23.4%7.4%-1.7%131.8K-2.3M-13.4K0.2813.5461171,9941,327
2023-10-23$62.37$65.0026.4%7.6%16.7%27.7%26.4%3.9%-2.7%116.1K-1.3M-12.4K0.4715.891991,3821,095
2023-10-24$63.36$65.0022.4%6.4%17.6%20.2%23.9%5.8%-1.7%153.6K-2.0M-12.8K0.3885.651351,3921,104
2023-10-25$63.71$65.0020.3%5.8%17.6%16.4%22.6%4.3%-0.4%157.0K-2.2M-12.4K0.0957.86231201,3991,109
2023-10-26$63.92$65.0023.9%6.9%17.5%23.1%24.2%2.5%-2.0%185.3K-2.4M-13.3K0.0221.4933571,5451,125
2023-10-27$62.66$65.0023.9%6.9%18.4%23.1%30.6%4.0%-2.3%136.1K-1.8M-13.4K2.6466.54551451,7741,129
2023-10-30$63.05$65.0020.3%5.8%17.6%16.3%21.5%5.6%-0.7%140.9K-2.1M-12.5K0.3125.6596301,8151,267
2023-10-31$63.90$65.0018.7%5.4%18.0%13.3%19.8%6.7%0.2%162.0K-2.6M-11.9K2.2711.1411251,7851,272