L Options History — July 2024

In July 2024, L traded between $73.50 and $80.75. ATM implied volatility averaged 17.8%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.0% (HV 20d: 16.9%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2024-07-26: Highest Volume — 1,081 contracts
  • 2024-07-16: Largest IV drop — 10.3% change
  • 2024-07-26: Highest IV Rank — 64.9%
  • 2024-07-26: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.35$73.50$80.75$74.78$80.31
Max Pain$75.91$75.00$80.00$75.00$80.00
ATM IV17.8%14.5%20.6%15.1%17.7%
Expected Move5.2%4.2%5.9%4.3%5.1%
HV 20d16.9%15.0%21.1%15.5%21.1%
HV 60d15.7%15.1%17.6%15.1%17.6%
IV Rank50.4%32.2%64.9%35.4%51.0%
IV Percentile64.6%17.5%89.3%26.2%67.9%
Term Structure-1.6%-3.9%2.5%1.9%-1.2%
VWIV18.4%14.7%22.3%15.3%16.8%
Skew 25d2.7%1.7%7.9%3.3%7.9%
Skew 10d6.4%4.2%12.7%5.3%12.7%
Call IV 25d17.5%12.9%20.9%14.7%12.9%
Put IV 25d20.1%18.0%23.0%18.0%20.8%
Bid-Ask Spread %80.7157.6991.4685.3691.46
Gamma HHI0.520.260.760.720.33
Net GEX310.4K117.1K529.0K433.2K324.1K
Net DEX-3.5M-6.4M-1.4M-2.5M-3.7M
Net VEX-12.4K-16.9K-8.7K-14.8K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.500.560.24
Total Volume190.13621,08156138
Total OI1,728.1361,3052,8551,5892,752

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$74.78$75.0015.1%4.3%15.5%35.4%15.3%3.3%1.9%433.2K-2.5M-14.8K0.5685.3636201,036553
2024-07-02$75.00$75.0014.5%4.2%15.4%32.2%14.7%2.9%2.5%449.5K-2.9M-14.3K1.8881.508151,057568
2024-07-03$74.42$75.0015.0%4.3%15.6%34.6%15.0%2.9%1.8%446.5K-2.4M-13.7K0.0080.46201,052562
2024-07-05$73.50$75.0015.1%4.8%16.0%35.3%18.1%2.6%-0.9%385.7K-1.4M-13.3K1.1383.5815171,054562
2024-07-08$74.45$75.0015.7%5.0%16.7%38.6%0.0%2.4%-1.4%495.5K-2.3M-13.6K0.0083.722001,058561
2024-07-09$74.81$75.0016.3%5.0%16.8%41.8%17.5%2.2%-1.4%510.9K-2.6M-13.0K0.1079.86212221,047561
2024-07-10$75.39$75.0018.0%5.2%17.0%50.9%18.0%2.4%-2.0%529.0K-3.2M-12.6K2.5086.944101,048553
2024-07-11$76.52$75.0018.3%5.2%16.6%52.4%17.9%2.6%-1.7%427.4K-4.5M-11.2K0.2187.721941,051561
2024-07-12$77.31$75.0018.7%5.4%16.8%55.0%17.8%2.5%-3.9%334.2K-5.1M-10.3K0.6986.441391,053560
2024-07-15$77.40$75.0019.4%5.5%16.3%58.3%19.0%2.1%-2.5%169.8K-5.3M-9.9K0.0087.833001,055557
2024-07-16$78.28$75.0017.3%5.0%16.4%47.5%17.6%1.8%-1.8%117.1K-5.8M-9.3K0.1585.7191141,064557
2024-07-17$79.57$75.0018.3%5.3%15.9%52.9%18.3%2.4%-2.1%170.0K-6.4M-8.7K0.1381.00241321,084565
2024-07-18$79.78$75.0019.2%5.5%15.4%57.4%19.1%2.4%-2.5%236.6K-6.0M-9.4K0.0177.57867111,078593
2024-07-19$78.06$75.0018.6%5.3%17.6%54.3%18.7%2.8%-1.9%124.9K-3.6M-11.1K0.1481.54138191,236595
2024-07-22$78.16$80.0018.7%5.4%17.6%55.0%20.0%2.1%-2.4%193.6K-2.4M-11.3K0.7483.103425788517
2024-07-23$78.31$75.0018.6%5.3%17.3%54.2%19.5%2.1%-2.4%207.3K-2.6M-11.6K0.7085.424431827517
2024-07-24$78.16$75.0019.8%5.7%16.2%60.9%19.8%1.8%-2.9%221.7K-2.6M-12.0K0.0062.0570867527
2024-07-25$78.22$75.0019.7%5.7%15.0%60.4%22.3%2.7%-2.9%246.0K-2.6M-11.6K2.3863.52819862527
2024-07-26$80.10$75.0020.6%5.9%16.8%64.9%21.6%2.1%-2.7%241.2K-3.5M-11.6K0.3057.69832249864541
2024-07-29$78.42$80.0019.1%5.5%18.5%58.9%20.5%1.7%-2.5%166.4K-2.0M-16.6K0.9479.293613381,3011,393
2024-07-30$80.75$80.0018.9%5.4%20.8%57.8%18.9%2.9%-1.9%398.9K-4.3M-16.9K0.1983.85192361,4361,419
2024-07-31$80.31$80.0017.7%5.1%21.1%51.0%16.8%7.9%-1.2%324.1K-3.7M-15.9K0.2491.46111271,3421,410