L Options History — June 2024 In June 2024, L traded between $73.65 and $77.44. ATM implied volatility averaged 15.7%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.2% (HV 20d: 15.5%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.63.
Notable Days 2024-06-21 : Highest Volume — 902 contracts2024-06-05 : Largest IV drop — 6.6% change2024-06-04 : Highest IV Rank — 45.1%2024-06-03 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $75.35 $73.65 $77.44 $75.68 $74.55 Max Pain $73.95 $70.00 $75.00 $70.00 $75.00 ATM IV 15.7% 14.6% 17.0% 17.0% 15.2% Expected Move 4.5% 4.2% 4.9% 4.9% 4.3% HV 20d 15.5% 14.2% 16.8% 15.8% 16.0% HV 60d 14.6% 14.0% 15.4% 14.1% 15.4% IV Rank 38.0% 32.7% 45.1% 35.1% 35.7% IV Percentile 35.8% 18.3% 55.6% 55.6% 27.4% Term Structure 1.0% -1.5% 5.4% -1.4% 1.7% VWIV 15.4% 14.1% 16.8% 16.5% 15.2% Skew 25d 3.0% 1.8% 6.5% 2.7% 5.5% Skew 10d 5.4% 3.3% 10.4% 5.6% 8.9% Call IV 25d 14.5% 12.6% 16.7% 16.5% 12.7% Put IV 25d 17.6% 16.5% 19.4% 19.2% 18.2% Bid-Ask Spread % 84.52 66.49 89.90 87.10 76.66 Gamma HHI 0.69 0.27 0.85 0.63 0.71 Net GEX 473.1K 91.1K 875.2K 454.1K 386.8K Net DEX -3.5M -5.6M -1.5M -4.0M -2.3M Net VEX -14.2K -15.9K -12.0K -15.0K -14.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.01 1.89 0.06 0.03 Total Volume 79.789 2 902 18 31 Total OI 1,964.158 1,502 2,207 2,024 1,569
Daily Data (19 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 2024-06-03 $75.68 $70.00 17.0% 4.9% 15.8% 35.1% 16.5% 2.7% -1.4% 454.1K -4.0M -15.0K 0.06 87.10 17 1 1,273 751 2024-06-04 $75.43 $70.00 16.9% 4.9% 14.5% 45.1% 16.6% 2.7% -1.5% 457.6K -3.7M -15.9K 0.05 85.09 21 1 1,282 807 2024-06-05 $74.95 $70.00 15.8% 4.5% 14.5% 39.1% 15.8% 6.5% -0.6% 486.7K -3.2M -15.6K 0.10 66.49 10 1 1,282 808 2024-06-06 $75.13 $75.00 15.6% 4.3% 14.6% 37.8% 14.9% 2.7% 1.0% 504.9K -3.5M -15.3K 1.00 87.43 1 1 1,280 809 2024-06-07 $75.37 $75.00 15.2% 4.3% 14.7% 35.7% 14.7% 2.7% 1.1% 522.5K -3.6M -15.0K 1.20 87.84 5 6 1,281 810 2024-06-10 $75.53 $75.00 16.1% 4.3% 14.2% 40.8% 15.1% 2.6% 1.3% 542.9K -3.8M -14.3K 1.89 87.52 9 17 1,281 810 2024-06-11 $74.26 $75.00 15.5% 4.3% 15.1% 37.6% 15.1% 2.1% 0.9% 543.6K -2.3M -14.7K 0.82 88.39 22 18 1,281 822 2024-06-12 $74.63 $75.00 14.8% 4.2% 15.3% 33.5% 14.7% 2.3% 1.3% 623.0K -2.7M -14.8K 0.07 83.27 43 3 1,298 820 2024-06-13 $73.96 $75.00 14.6% 4.2% 15.4% 32.7% 14.6% 2.2% 1.1% 574.1K -1.9M -13.9K 0.78 84.08 9 7 1,305 823 2024-06-14 $73.65 $75.00 15.0% 4.3% 15.0% 35.0% 15.0% 2.1% 0.9% 513.0K -1.5M -13.6K 0.91 85.30 23 21 1,309 823 2024-06-17 $75.16 $75.00 15.6% 4.5% 16.8% 37.9% 15.7% 2.8% 0.6% 875.2K -3.5M -13.4K 0.53 85.14 19 10 1,314 824 2024-06-18 $76.18 $75.00 15.6% 4.5% 16.3% 38.0% 14.1% 2.4% 0.7% 589.8K -5.0M -12.4K 0.68 85.02 37 25 1,321 824 2024-06-20 $76.62 $75.00 15.9% 4.6% 16.4% 39.8% 15.3% 1.9% 5.4% 376.5K -5.3M -12.0K 0.05 89.90 98 5 1,319 846 2024-06-21 $76.70 $75.00 16.4% 4.7% 16.4% 42.0% 16.8% 2.9% 0.2% 91.1K -5.6M -12.2K 0.01 86.31 891 11 1,359 848 2024-06-24 $77.44 $75.00 16.7% 4.8% 14.3% 43.9% 15.6% 2.1% 1.0% 314.6K -4.5M -13.3K 0.83 89.10 42 35 1,010 524 2024-06-25 $76.21 $75.00 16.0% 4.6% 15.6% 40.3% 15.9% 1.8% 1.4% 351.8K -3.6M -14.5K 0.25 84.82 36 9 980 522 2024-06-26 $75.05 $70.00 15.4% 4.4% 16.5% 37.0% 15.5% 5.5% 1.4% 393.2K -2.8M -14.9K 1.64 80.81 11 18 1,012 524 2024-06-27 $75.19 $75.00 15.2% 4.3% 16.6% 35.6% 15.2% 4.3% 1.8% 387.7K -2.9M -14.9K 1.00 85.65 1 1 1,016 552 2024-06-28 $74.55 $75.00 15.2% 4.3% 16.0% 35.7% 15.2% 5.5% 1.7% 386.8K -2.3M -14.7K 0.03 76.66 30 1 1,016 553
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