L Options History — January 2024

In January 2024, L traded between $70.19 and $73.63. ATM implied volatility averaged 17.3%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.7% (HV 20d: 10.5%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2024-01-03: Highest Volume — 783 contracts
2024-01-29: Largest IV spike — 16.0% change
2024-01-31: Highest IV Rank — 18.8%
2024-01-31: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.79	$70.19	$73.63	$70.19	$73.18
Max Pain	$69.52	$65.00	$70.00	$65.00	$70.00
ATM IV	17.3%	14.2%	21.6%	14.6%	21.6%
Expected Move	5.1%	4.1%	6.2%	4.2%	6.2%
HV 20d	10.5%	6.6%	15.7%	15.7%	7.7%
HV 60d	14.0%	12.1%	15.5%	15.4%	12.2%
IV Rank	10.7%	4.9%	18.8%	5.8%	18.8%
IV Percentile	33.7%	8.3%	66.7%	9.1%	66.7%
Term Structure	-1.4%	-6.0%	4.0%	4.0%	-5.0%
VWIV	18.1%	14.2%	26.4%	14.6%	20.4%
Skew 25d	1.9%	-2.7%	4.6%	-0.7%	-0.9%
Skew 10d	3.1%	-3.6%	11.3%	-0.8%	-2.0%
Call IV 25d	17.3%	15.6%	24.6%	15.6%	24.6%
Put IV 25d	19.2%	14.5%	23.7%	14.9%	23.7%
Bid-Ask Spread %	76.80	38.48	99.32	73.81	81.27
Gamma HHI	0.61	0.47	0.78	0.78	0.70
Net GEX	848.9K	580.1K	1.2M	1.2M	877.2K
Net DEX	-7.5M	-10.0M	-5.9M	-8.6M	-7.2M
Net VEX	-15.6K	-19.3K	-14.0K	-19.3K	-15.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.02	9.00	0.06	0.04
Total Volume	153.381	1	783	408	4
Total OI	2,712.333	2,041	3,227	2,958	2,574

Daily Data (21 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
2024-01-02	$70.19	$65.00	14.6%	4.2%	15.7%	5.8%	14.6%	-0.7%	4.0%	1.2M	-8.6M	-19.3K	0.06	73.81	386	22	2,586	372
2024-01-03	$70.35	$65.00	14.2%	4.1%	15.6%	4.9%	14.2%	-2.7%	3.3%	1.0M	-7.8M	-17.7K	0.12	75.84	701	82	2,377	394
2024-01-04	$70.88	$70.00	14.2%	5.1%	15.7%	5.0%	17.8%	3.0%	-0.7%	767.4K	-7.1M	-15.5K	0.08	85.65	115	9	2,080	467
2024-01-05	$71.16	$70.00	14.3%	5.1%	14.8%	5.1%	16.7%	2.8%	-0.9%	759.1K	-7.6M	-15.5K	0.12	87.03	303	35	2,090	473
2024-01-08	$71.16	$70.00	14.8%	5.1%	14.2%	6.1%	16.3%	3.3%	-0.7%	855.8K	-8.0M	-16.2K	0.02	86.53	438	10	2,323	500
2024-01-09	$70.97	$70.00	16.3%	5.0%	14.2%	8.9%	17.5%	2.7%	-1.0%	1.0M	-8.1M	-18.6K	0.03	89.04	39	1	2,721	506
2024-01-10	$70.83	$70.00	17.1%	4.9%	13.9%	10.4%	0.0%	3.1%	-0.6%	1.1M	-8.0M	-17.4K	0.00	88.69	0	1	2,717	506
2024-01-11	$70.96	$70.00	15.8%	4.5%	13.8%	8.0%	15.7%	0.9%	0.4%	1.1M	-7.9M	-16.7K	1.29	98.51	7	9	2,717	505
2024-01-12	$71.06	$70.00	17.1%	4.9%	13.8%	10.5%	17.3%	0.6%	-1.1%	1.1M	-8.4M	-16.1K	0.16	99.32	185	30	2,715	504
2024-01-16	$71.05	$70.00	17.9%	5.1%	10.6%	12.0%	17.9%	0.7%	-1.2%	1.0M	-8.1M	-15.0K	0.34	95.76	47	16	2,646	537
2024-01-17	$70.89	$70.00	18.3%	5.2%	8.1%	12.6%	18.3%	-0.1%	-1.5%	1.1M	-7.9M	-15.0K	0.67	53.00	12	8	2,650	544
2024-01-18	$71.43	$70.00	18.2%	5.2%	6.6%	12.4%	26.4%	3.4%	-1.4%	715.3K	-9.0M	-14.4K	1.67	38.48	9	15	2,652	543
2024-01-19	$72.21	$70.00	18.9%	5.4%	7.2%	13.9%	17.4%	2.4%	-1.5%	580.1K	-10.0M	-14.4K	0.30	59.93	70	21	2,651	545
2024-01-22	$72.95	$70.00	17.7%	5.1%	6.6%	11.5%	17.7%	1.8%	-2.0%	615.7K	-6.1M	-14.5K	0.24	97.79	67	16	1,630	411
2024-01-23	$72.82	$70.00	16.9%	4.8%	6.8%	9.9%	17.1%	2.1%	-2.1%	645.3K	-6.0M	-14.1K	0.09	95.67	78	7	1,664	421
2024-01-24	$73.16	$70.00	17.1%	4.9%	6.8%	10.5%	18.3%	3.6%	-1.9%	656.5K	-6.4M	-14.5K	0.06	92.99	18	1	1,685	427
2024-01-25	$72.78	$70.00	18.1%	5.2%	7.4%	12.3%	20.7%	2.9%	-2.5%	641.9K	-5.9M	-14.3K	0.09	52.17	64	6	1,690	427
2024-01-26	$72.90	$70.00	18.1%	5.2%	7.3%	12.3%	18.6%	3.6%	-2.3%	644.8K	-6.0M	-14.3K	9.00	50.51	1	9	1,715	433
2024-01-29	$73.06	$70.00	21.0%	6.0%	7.1%	17.6%	20.5%	3.4%	-6.0%	648.2K	-6.3M	-14.0K	0.04	51.48	246	11	1,715	441
2024-01-30	$73.63	$70.00	20.4%	5.8%	7.3%	16.5%	20.4%	4.6%	-4.2%	814.2K	-7.5M	-15.3K	0.04	59.27	117	5	1,955	450
2024-01-31	$73.18	$70.00	21.6%	6.2%	7.7%	18.8%	0.0%	-0.9%	-5.0%	877.2K	-7.2M	-15.8K	0.00	81.27	0	4	2,121	453