L Options History — August 2024

In August 2024, L traded between $76.13 and $81.94. ATM implied volatility averaged 17.6%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.8% (HV 20d: 21.3%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.93.

Notable Days

  • 2024-08-05: Highest Volume — 294 contracts
  • 2024-08-12: Largest IV spike — 133.7% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.85$76.13$81.94$79.13$81.94
Max Pain$75.45$75.00$80.00$80.00$75.00
ATM IV17.6%9.7%31.7%18.4%14.7%
Expected Move4.7%3.8%7.0%5.3%4.2%
HV 20d21.3%14.9%24.4%21.7%14.9%
HV 60d18.2%17.5%18.8%17.5%17.6%
IV Rank40.2%4.6%100.0%55.1%26.5%
IV Percentile42.2%0.4%100.0%74.2%21.0%
Term Structure0.4%-2.6%2.5%-1.4%0.6%
VWIV17.1%13.2%28.8%19.2%17.2%
Skew 25d2.9%-0.4%6.3%6.2%4.4%
Skew 10d6.4%0.2%17.0%11.9%9.1%
Call IV 25d15.6%10.8%21.7%15.3%10.8%
Put IV 25d18.4%14.6%27.5%21.5%15.2%
Bid-Ask Spread %75.6161.3882.4761.3869.68
Gamma HHI0.270.220.370.290.37
Net GEX145.7K-15.0K296.2K234.0K296.2K
Net DEX-2.1M-3.7M-691.9K-2.7M-3.7M
Net VEX-13.8K-18.8K-11.3K-15.7K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0012.505.6012.50
Total Volume64.18262943327
Total OI2,371.1821,7532,9382,7401,892

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$79.13$80.0018.4%5.3%21.7%55.1%19.2%6.2%-1.4%234.0K-2.7M-15.7K5.6061.385281,3481,392
2024-08-02$78.52$80.0022.4%6.4%21.3%77.4%24.4%6.3%-2.6%144.7K-2.0M-18.3K1.3364.5670931,3491,403
2024-08-05$76.13$75.0031.7%7.0%24.2%100.0%28.8%5.8%-1.0%-15.0K-691.9K-18.8K4.3568.92552391,3881,352
2024-08-06$76.94$75.0026.9%6.1%24.4%79.1%21.2%4.1%-0.5%64.7K-1.2M-16.7K1.0676.1617181,3541,434
2024-08-07$76.93$75.0020.5%5.9%24.3%51.3%20.2%3.4%-0.2%27.5K-1.0M-16.7K1.4174.5039551,3621,442
2024-08-08$77.39$75.0025.3%5.6%23.8%72.1%19.4%3.2%1.2%105.2K-1.6M-15.2K0.2777.591131,3731,497
2024-08-09$77.86$75.009.7%4.6%23.6%4.6%17.0%3.1%2.3%148.2K-1.8M-15.7K0.0675.801711,3721,498
2024-08-12$77.12$75.0022.6%5.3%23.9%60.6%16.5%2.6%0.1%76.2K-1.2M-14.0K0.2381.911331,3831,497
2024-08-13$77.03$75.0028.6%5.0%23.5%86.4%16.8%2.8%1.1%63.3K-1.3M-13.3K1.0680.1117181,3891,496
2024-08-14$77.65$75.0014.1%4.0%22.9%23.6%16.7%1.1%2.5%134.9K-1.6M-12.1K2.0082.479181,3841,511
2024-08-15$78.42$75.0013.7%3.9%23.2%22.2%17.5%2.2%1.2%236.1K-2.1M-12.6K0.2779.5455151,3821,509
2024-08-16$78.89$75.0013.6%3.9%21.9%21.5%14.0%0.8%-1.6%125.0K-2.0M-11.4K0.3681.5128101,4291,509
2024-08-19$79.24$75.0013.2%3.8%21.9%20.1%14.5%1.3%0.7%144.8K-2.3M-12.0K0.1580.75538944809
2024-08-20$78.88$75.0013.6%3.9%22.0%21.4%14.9%-0.4%0.7%98.5K-1.8M-12.6K0.3174.46299946856
2024-08-21$78.81$75.0013.4%3.8%22.0%20.7%13.4%2.8%0.8%95.3K-1.9M-13.5K4.9181.961154955864
2024-08-22$79.43$75.0014.0%4.0%22.2%23.3%14.0%0.5%1.3%146.7K-2.3M-13.8K0.2081.3151964836
2024-08-23$80.32$75.0013.4%3.8%20.8%20.6%14.5%1.2%1.6%184.7K-2.6M-12.6K0.0969.84908966837
2024-08-26$80.55$75.0013.8%4.0%19.3%22.5%13.3%2.9%1.0%185.8K-2.7M-11.3K0.3381.95155931842
2024-08-27$80.64$75.0013.4%3.8%16.2%20.7%13.2%2.6%1.2%195.4K-2.7M-11.4K0.0072.4160946844
2024-08-28$81.29$75.0015.0%4.3%16.3%27.9%14.7%3.7%0.3%227.1K-2.9M-12.2K0.0869.2414512951844
2024-08-29$81.64$75.0014.6%4.2%15.3%25.8%13.9%2.7%0.4%286.8K-3.7M-12.1K5.9377.3514831,031855
2024-08-30$81.94$75.0014.7%4.2%14.9%26.5%17.2%4.4%0.6%296.2K-3.7M-12.5K12.5069.682251,032860