L Options History — March 2024

In March 2024, L traded between $74.22 and $78.44. ATM implied volatility averaged 15.1%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.6% (HV 20d: 11.5%). Max pain ranged from $60.00 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 0.18.

Notable Days

2024-03-11: Highest Volume — 5,135 contracts
2024-03-27: Largest IV drop — 20.8% change
2024-03-15: Highest IV Rank — 17.3%
2024-03-11: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.29	$74.22	$78.44	$74.44	$78.44
Max Pain	$68.25	$60.00	$70.00	$65.00	$70.00
ATM IV	15.1%	11.8%	17.1%	15.0%	12.0%
Expected Move	4.3%	3.4%	4.7%	4.3%	3.4%
HV 20d	11.5%	9.3%	12.9%	12.7%	11.0%
HV 60d	11.3%	10.1%	12.6%	12.6%	10.7%
IV Rank	10.6%	2.6%	17.3%	7.1%	3.6%
IV Percentile	20.6%	1.6%	40.9%	16.3%	2.0%
Term Structure	1.4%	-1.2%	3.6%	-0.3%	3.6%
VWIV	15.0%	12.2%	16.8%	14.3%	12.2%
Skew 25d	1.4%	-5.2%	2.6%	-5.2%	2.6%
Skew 10d	2.3%	-8.9%	7.8%	-8.9%	3.6%
Call IV 25d	14.6%	12.0%	18.5%	18.5%	12.0%
Put IV 25d	15.9%	13.3%	17.9%	13.3%	14.6%
Bid-Ask Spread %	79.69	56.91	93.27	56.91	66.51
Gamma HHI	0.54	0.45	0.68	0.51	0.45
Net GEX	685.7K	559.7K	1.2M	612.3K	576.1K
Net DEX	-8.8M	-13.5M	-5.7M	-9.1M	-8.7M
Net VEX	-13.8K	-18.5K	-10.4K	-11.8K	-12.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	2.51	2.51	0.01
Total Volume	462.15	2	5,135	165	71
Total OI	2,332.7	1,928	3,238	2,449	1,947

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
2024-03-01	$74.44	$65.00	15.0%	4.3%	12.7%	7.1%	14.3%	-5.2%	-0.3%	612.3K	-9.1M	-11.8K	2.51	56.91	47	118	1,933	516
2024-03-04	$74.22	$60.00	16.0%	4.6%	12.3%	8.9%	16.8%	1.7%	0.2%	605.5K	-8.5M	-11.9K	0.00	85.15	30	0	1,889	630
2024-03-05	$74.31	$60.00	17.0%	4.5%	12.3%	10.8%	15.8%	2.4%	0.8%	593.6K	-8.6M	-11.6K	0.23	85.87	30	7	1,876	630
2024-03-06	$75.35	$60.00	17.1%	4.5%	12.9%	10.8%	16.0%	2.4%	0.9%	559.7K	-9.6M	-11.1K	0.02	86.10	558	9	1,854	630
2024-03-07	$75.16	$70.00	16.2%	4.5%	12.9%	9.2%	15.4%	2.4%	1.0%	562.3K	-5.9M	-11.0K	0.02	85.85	108	2	1,400	636
2024-03-08	$74.91	$70.00	15.6%	4.5%	12.6%	8.2%	0.0%	2.4%	-1.2%	633.4K	-5.7M	-11.4K	0.00	88.44	2	0	1,480	638
2024-03-11	$75.81	$70.00	17.0%	4.7%	12.9%	10.7%	16.1%	2.0%	0.4%	622.1K	-6.8M	-10.4K	0.00	80.13	5,119	16	1,475	638
2024-03-12	$76.10	$70.00	16.7%	4.5%	12.8%	10.2%	15.6%	2.1%	1.0%	1.2M	-12.1M	-18.5K	0.02	79.42	607	13	2,585	646
2024-03-13	$76.05	$70.00	15.1%	4.3%	12.7%	12.0%	15.0%	2.2%	1.5%	816.0K	-11.7M	-15.8K	0.03	80.11	227	6	2,373	652
2024-03-14	$75.87	$70.00	15.6%	4.5%	12.7%	15.9%	15.5%	2.4%	1.0%	814.2K	-11.2M	-15.2K	0.08	76.48	501	42	2,320	655
2024-03-15	$76.69	$70.00	16.0%	4.6%	10.7%	17.3%	16.0%	1.4%	1.2%	663.9K	-13.5M	-17.8K	0.01	77.03	940	10	2,591	647
2024-03-18	$76.97	$70.00	15.6%	4.5%	9.9%	15.7%	15.4%	1.0%	1.1%	793.3K	-8.7M	-18.1K	0.07	83.63	279	20	1,849	358
2024-03-19	$77.34	$70.00	15.3%	4.4%	9.7%	14.5%	14.7%	1.3%	1.8%	693.7K	-8.4M	-16.0K	0.01	79.28	110	1	1,693	375
2024-03-20	$77.78	$70.00	13.2%	3.8%	9.7%	7.3%	14.4%	0.5%	2.2%	648.7K	-8.5M	-14.6K	0.01	93.27	79	1	1,631	376
2024-03-21	$77.64	$70.00	12.6%	3.6%	9.3%	5.7%	14.5%	1.7%	2.8%	640.9K	-8.1M	-14.4K	0.02	86.18	57	1	1,588	377
2024-03-22	$76.68	$70.00	14.0%	4.0%	10.6%	11.4%	13.7%	0.7%	2.6%	689.6K	-7.0M	-14.0K	0.05	85.13	66	3	1,551	377
2024-03-25	$77.19	$70.00	14.9%	4.3%	10.4%	14.8%	13.9%	0.6%	2.1%	654.6K	-7.4M	-14.3K	0.10	77.82	93	9	1,559	380
2024-03-26	$77.10	$70.00	14.9%	4.3%	10.4%	15.1%	14.3%	0.7%	2.8%	659.1K	-7.3M	-14.2K	0.45	69.55	22	10	1,556	387
2024-03-27	$77.84	$70.00	11.8%	3.4%	10.8%	2.6%	14.9%	1.9%	3.6%	627.4K	-8.2M	-12.7K	0.04	70.85	28	1	1,566	390
2024-03-28	$78.44	$70.00	12.0%	3.4%	11.0%	3.6%	12.2%	2.6%	3.6%	576.1K	-8.7M	-12.2K	0.01	66.51	70	1	1,558	389