L Options History — December 2023

In December 2023, L traded between $67.50 and $70.63. ATM implied volatility averaged 16.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.9% (HV 20d: 15.3%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2023-12-14: Highest Volume — 938 contracts
2023-12-22: Largest IV spike — 24.7% change
2023-12-22: Highest IV Rank — 16.0%
2023-12-22: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.22	$67.50	$70.63	$70.18	$69.63
Max Pain	$65.50	$65.00	$70.00	$65.00	$65.00
ATM IV	16.2%	13.2%	20.1%	13.2%	14.4%
Expected Move	4.6%	3.8%	5.8%	3.8%	4.1%
HV 20d	15.3%	11.2%	18.2%	11.6%	15.4%
HV 60d	15.6%	15.0%	16.4%	15.0%	15.4%
IV Rank	8.8%	3.1%	16.0%	3.1%	5.4%
IV Percentile	18.4%	4.4%	50.0%	4.4%	8.7%
Term Structure	1.2%	-2.6%	2.9%	1.1%	2.9%
VWIV	16.5%	13.2%	28.2%	13.2%	14.4%
Skew 25d	1.9%	-2.6%	4.7%	1.2%	-1.6%
Skew 10d	4.4%	-3.2%	35.2%	1.8%	-2.6%
Call IV 25d	15.6%	12.0%	19.1%	12.0%	15.6%
Put IV 25d	17.5%	13.2%	19.5%	13.2%	14.0%
Bid-Ask Spread %	55.97	6.33	94.54	6.33	79.42
Gamma HHI	0.72	0.52	0.82	0.82	0.80
Net GEX	870.7K	362.8K	1.3M	592.8K	1.2M
Net DEX	-7.6M	-9.5M	-6.2M	-8.5M	-7.8M
Net VEX	-17.7K	-23.1K	-11.4K	-12.0K	-20.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.00	2.47	0.31	0.10
Total Volume	216.85	12	938	219	120
Total OI	3,816.4	2,944	5,190	3,821	3,041

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-12-01	$70.18	$65.00	13.2%	3.8%	11.6%	3.1%	13.2%	1.2%	1.1%	592.8K	-8.5M	-12.0K	0.31	6.33	167	52	1,781	2,040
2023-12-04	$70.63	$65.00	16.4%	4.6%	11.3%	9.1%	15.5%	2.5%	1.6%	485.3K	-8.7M	-11.4K	0.02	30.07	880	19	1,740	2,068
2023-12-05	$70.30	$70.00	16.3%	4.6%	11.2%	8.9%	16.1%	2.3%	1.4%	779.0K	-9.5M	-16.4K	0.32	84.03	63	20	2,377	2,102
2023-12-06	$69.34	$70.00	16.2%	4.6%	12.8%	8.7%	15.5%	2.2%	1.1%	713.0K	-7.8M	-15.1K	0.39	24.44	59	23	2,330	2,103
2023-12-07	$68.63	$65.00	16.0%	4.5%	13.3%	8.3%	16.2%	1.2%	1.0%	593.0K	-6.8M	-14.0K	1.11	17.36	19	21	2,336	2,110
2023-12-08	$68.88	$65.00	14.9%	4.3%	13.3%	6.3%	16.6%	2.1%	1.7%	703.9K	-7.1M	-13.9K	0.48	12.85	33	16	2,329	2,109
2023-12-11	$69.57	$65.00	17.6%	4.4%	13.4%	11.3%	15.8%	2.2%	1.1%	928.6K	-8.1M	-14.2K	0.19	25.81	37	7	2,341	2,124
2023-12-12	$69.97	$65.00	16.6%	4.2%	13.4%	9.5%	14.3%	2.5%	1.8%	1.1M	-8.8M	-13.9K	0.26	11.62	19	5	2,345	2,126
2023-12-13	$70.28	$65.00	14.7%	4.2%	13.3%	6.0%	14.0%	4.5%	1.8%	1.2M	-9.4M	-13.5K	0.73	90.96	22	16	2,338	2,127
2023-12-14	$68.69	$65.00	16.0%	4.6%	16.1%	8.3%	16.0%	-0.2%	1.0%	362.8K	-6.2M	-11.9K	0.00	18.68	936	2	2,335	2,143
2023-12-15	$67.50	$65.00	19.0%	5.4%	17.3%	13.9%	15.9%	3.2%	0.7%	519.4K	-6.9M	-16.3K	0.01	41.79	726	9	3,051	2,139
2023-12-18	$68.60	$65.00	16.0%	4.6%	18.2%	8.4%	16.8%	3.3%	0.5%	934.8K	-6.4M	-23.1K	0.00	92.29	75	0	2,668	276
2023-12-19	$68.94	$65.00	15.6%	4.5%	18.0%	7.6%	16.3%	4.7%	1.8%	998.5K	-7.1M	-23.1K	0.00	90.32	19	0	2,701	276
2023-12-20	$68.37	$65.00	19.1%	5.5%	18.2%	14.1%	16.8%	4.4%	-1.9%	844.8K	-6.2M	-22.4K	0.16	93.42	230	37	2,700	276
2023-12-21	$68.48	$65.00	16.1%	4.6%	18.0%	8.6%	16.7%	2.9%	2.0%	920.2K	-6.2M	-22.3K	0.22	90.93	169	38	2,708	309
2023-12-22	$68.78	$65.00	20.1%	5.8%	17.7%	16.0%	28.2%	-2.6%	-2.6%	894.7K	-6.5M	-23.0K	0.09	94.54	11	1	2,861	346
2023-12-26	$69.06	$65.00	16.0%	4.6%	17.8%	8.4%	20.5%	2.7%	2.1%	1.1M	-7.4M	-22.8K	2.47	69.53	17	42	2,863	347
2023-12-27	$69.05	$65.00	15.4%	4.4%	17.4%	7.3%	16.7%	2.3%	2.3%	1.2M	-7.4M	-22.2K	0.13	71.50	16	2	2,874	354
2023-12-28	$69.55	$65.00	14.8%	4.2%	17.6%	6.1%	14.8%	-1.8%	2.5%	1.3M	-8.2M	-22.2K	0.02	73.55	402	7	2,880	354
2023-12-29	$69.63	$65.00	14.4%	4.1%	15.4%	5.4%	14.4%	-1.6%	2.9%	1.2M	-7.8M	-20.9K	0.10	79.42	109	11	2,680	361