L Options History — May 2024

In May 2024, L traded between $74.19 and $78.07. ATM implied volatility averaged 14.9%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.1% (HV 20d: 14.8%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2024-05-17: Highest Volume — 773 contracts
  • 2024-05-13: Largest IV spike — 75.0% change
  • 2024-05-03: Highest IV Rank — 56.6%
  • 2024-05-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.38$74.19$78.07$76.55$76.14
Max Pain$70.68$70.00$75.00$75.00$70.00
ATM IV14.9%8.6%23.3%22.0%15.3%
Expected Move4.4%3.4%6.7%6.3%4.4%
HV 20d14.8%12.7%16.0%15.9%15.7%
HV 60d13.4%12.6%14.2%13.2%14.1%
IV Rank23.9%0.0%56.6%50.2%27.8%
IV Percentile24.5%0.0%92.5%88.5%29.0%
Term Structure-0.3%-5.6%2.4%-4.0%-0.8%
VWIV15.2%12.4%23.0%21.9%15.3%
Skew 25d1.9%-1.1%5.9%-0.9%2.5%
Skew 10d3.5%-12.0%10.0%-12.0%7.1%
Call IV 25d14.2%11.4%22.1%21.8%14.1%
Put IV 25d16.1%13.6%25.1%20.9%16.6%
Bid-Ask Spread %87.4556.9197.2097.2076.18
Gamma HHI0.560.400.770.520.60
Net GEX372.6K135.9K534.1K485.5K440.1K
Net DEX-4.3M-6.1M-2.1M-5.0M-4.4M
Net VEX-11.1K-15.6K-8.3K-12.6K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.004.000.130.18
Total Volume146.5451177310139
Total OI1,800.51,6802,0131,7692,009

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$76.55$75.0022.0%6.3%15.9%50.2%21.9%-0.9%-4.0%485.5K-5.0M-12.6K0.1397.2089121,276493
2024-05-02$76.35$75.0022.6%6.5%15.0%53.2%22.2%-1.1%-4.8%464.8K-4.6M-12.4K0.0092.4911101,232495
2024-05-03$76.38$75.0023.3%6.7%14.9%56.6%23.0%3.1%-5.6%495.5K-4.7M-12.4K0.3856.91139531,295495
2024-05-06$77.66$70.0013.4%5.2%16.0%10.2%16.0%1.1%0.8%534.1K-6.1M-11.4K0.4181.00189781,400593
2024-05-07$77.78$70.0011.0%3.8%14.8%0.0%13.8%1.9%1.5%477.1K-5.9M-10.5K0.7584.11100751,301600
2024-05-08$77.41$70.0017.4%4.3%14.9%29.7%13.3%1.8%1.2%474.2K-5.8M-10.3K0.1489.00173251,312595
2024-05-09$77.38$70.0014.7%4.0%14.1%17.3%12.9%1.2%1.8%393.8K-4.9M-9.6K0.5789.03741,186615
2024-05-10$78.07$70.008.6%3.5%14.1%0.0%12.4%0.2%2.4%197.1K-5.5M-8.3K0.0792.074531,185617
2024-05-13$77.41$70.0015.0%4.2%14.3%26.8%14.7%1.5%1.0%233.2K-5.0M-8.3K0.1191.43213241,157567
2024-05-14$77.19$70.0015.3%4.1%14.4%27.7%13.5%1.9%1.1%193.6K-4.8M-8.8K1.1688.1145521,176578
2024-05-15$76.65$70.0013.7%3.9%14.7%21.3%12.9%1.7%1.5%190.5K-4.6M-9.0K0.1491.332841,191597
2024-05-16$77.19$70.0014.1%4.1%14.6%23.1%12.6%1.7%-3.2%164.7K-4.8M-8.4K4.0091.5614561,178599
2024-05-17$77.69$70.0011.9%3.4%12.7%13.6%13.9%1.6%0.5%135.9K-4.9M-8.6K0.0094.0077121,181628
2024-05-20$76.23$70.0013.6%3.9%13.9%20.7%12.7%2.1%-0.3%407.0K-4.1M-11.6K0.0795.428061,112568
2024-05-21$76.06$70.0013.1%3.8%13.9%18.8%13.2%1.5%0.4%427.7K-3.9M-12.1K0.8486.6132271,130576
2024-05-22$75.90$70.0013.4%3.8%13.9%19.9%13.2%2.5%0.1%434.7K-3.8M-12.1K0.2986.93103301,144591
2024-05-23$74.22$70.0013.6%3.9%15.9%20.8%14.4%2.0%0.2%374.7K-2.1M-12.0K1.1994.9627321,109608
2024-05-24$74.55$70.0013.2%3.8%15.5%19.0%13.3%1.7%0.4%406.4K-2.3M-11.9K2.2285.5318401,119617
2024-05-28$74.20$70.0014.1%4.0%15.6%22.8%20.1%4.3%-0.1%395.0K-2.1M-11.3K0.0490.9314961,119612
2024-05-29$74.19$70.0013.9%4.0%15.5%21.9%13.9%4.3%0.1%410.5K-2.1M-11.9K0.9981.181511501,126616
2024-05-30$75.25$70.0014.4%4.1%15.0%24.0%14.3%5.9%0.1%461.7K-3.6M-15.6K0.1087.912021,257756
2024-05-31$76.14$70.0015.3%4.4%15.7%27.8%15.3%2.5%-0.8%440.1K-4.4M-15.1K0.1876.183361,255754