L Options History — November 2023

In November 2023, L traded between $65.03 and $70.15. ATM implied volatility averaged 15.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.1% (HV 20d: 15.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 5.82.

Notable Days

  • 2023-11-21: Highest Volume — 553 contracts
  • 2023-11-20: Largest IV drop — 19.6% change
  • 2023-11-01: Highest IV Rank — 12.0%
  • 2023-11-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.97$65.03$70.15$65.03$70.15
Max Pain$62.38$60.00$65.00$65.00$65.00
ATM IV15.4%11.6%17.9%17.9%13.6%
Expected Move4.4%3.3%5.1%5.1%3.9%
HV 20d15.3%9.5%18.9%18.6%11.6%
HV 60d14.4%14.1%15.0%14.6%15.0%
IV Rank7.2%0.2%12.0%12.0%3.9%
IV Percentile12.3%0.4%23.8%23.0%5.6%
Term Structure0.6%-3.2%2.1%0.4%0.7%
VWIV15.7%11.4%20.4%17.1%13.6%
Skew 25d2.9%-1.6%7.6%7.6%1.3%
Skew 10d5.2%-8.2%12.4%12.4%1.8%
Call IV 25d14.2%11.7%16.6%14.3%12.0%
Put IV 25d17.1%10.7%21.9%21.9%13.3%
Bid-Ask Spread %32.838.2484.3984.3947.98
Gamma HHI0.500.300.830.370.81
Net GEX273.3K131.2K512.1K231.7K512.1K
Net DEX-4.9M-8.0M-3.0M-3.5M-8.0M
Net VEX-9.9K-11.8K-8.2K-10.7K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.820.0465.000.100.11
Total Volume157.7621655334230
Total OI3,259.3812,5303,6533,0783,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$65.03$65.0017.9%5.1%18.6%12.0%17.1%7.6%0.4%231.7K-3.5M-10.7K0.1084.393131,7891,289
2023-11-02$65.06$60.0017.7%5.1%18.4%11.6%20.4%4.3%1.5%220.7K-3.4M-10.4K1.9316.2142811,7701,302
2023-11-03$65.81$60.0016.5%5.0%18.7%9.3%17.6%4.1%1.5%269.9K-4.1M-10.2K0.1462.0495131,7901,338
2023-11-06$65.44$60.0017.1%4.9%18.9%10.5%17.5%3.4%1.7%260.4K-4.0M-10.5K2.0014.4812241,8721,345
2023-11-07$65.50$60.0016.4%4.8%18.9%9.1%16.8%3.9%1.9%256.0K-4.0M-10.2K15.0061.361151,8631,352
2023-11-08$65.12$60.0017.2%4.9%18.4%10.6%17.3%3.9%1.2%229.0K-3.6M-10.2K9.8015.00201961,8621,361
2023-11-09$65.25$60.0017.4%5.0%17.7%11.0%17.9%3.5%-1.4%131.2K-3.0M-11.8K65.0015.851651,8671,577
2023-11-10$65.77$65.0016.9%4.8%17.9%10.0%16.7%3.9%-0.4%142.1K-3.7M-11.4K3.1528.3213411,8671,598
2023-11-13$65.91$65.0017.5%5.0%17.1%11.1%17.0%3.7%0.8%131.3K-3.7M-11.2K0.9619.7625241,8761,630
2023-11-14$66.45$65.0016.6%4.8%16.8%9.5%16.6%2.9%1.7%163.7K-4.3M-10.4K5.7261.90362061,8891,634
2023-11-15$66.56$60.0016.8%4.8%16.4%9.9%16.5%2.6%-3.2%212.8K-4.7M-9.4K1.6021.6820321,8801,531
2023-11-16$67.10$60.0017.5%5.0%15.7%11.1%17.0%2.7%-0.2%235.4K-5.0M-8.8K6.2119.2014871,8751,510
2023-11-17$67.09$60.0016.7%4.8%14.4%9.6%17.2%2.9%-0.2%240.2K-5.0M-9.0K0.7323.7064471,8731,491
2023-11-20$67.69$60.0013.4%3.8%13.4%3.5%15.4%3.0%0.1%247.7K-5.1M-8.4K0.1520.44128191,2681,262
2023-11-21$68.10$60.0012.6%3.6%12.7%2.0%14.5%2.4%1.0%292.0K-5.8M-8.2K5.6674.14834701,3281,274
2023-11-22$68.57$65.0012.4%3.5%12.8%1.6%13.0%4.1%0.9%227.4K-5.9M-8.5K0.7147.383152251,2951,628
2023-11-24$69.25$65.0012.1%3.5%13.0%1.1%12.1%4.3%1.1%469.5K-7.2M-9.9K0.3125.5084261,5711,808
2023-11-27$69.31$65.0012.5%3.6%9.5%1.9%12.4%-0.2%1.2%468.3K-7.1M-9.0K2.008.2423461,5431,810
2023-11-28$68.66$65.0011.6%3.3%10.8%0.2%11.4%-0.9%2.1%405.3K-6.4M-8.9K0.8712.602041771,5411,847
2023-11-29$68.53$65.0012.9%3.7%10.4%2.5%12.3%-1.6%1.1%393.6K-6.3M-10.3K0.049.367231,5692,019
2023-11-30$70.15$65.0013.6%3.9%11.6%3.9%13.6%1.3%0.7%512.1K-8.0M-10.5K0.1147.98208221,6332,020