L Options History — September 2024

In September 2024, L traded between $77.73 and $82.00. ATM implied volatility averaged 15.9%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.2% (HV 20d: 14.7%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.80.

Notable Days

2024-09-05: Highest Volume — 475 contracts
2024-09-11: Largest IV drop — 5.6% change
2024-09-04: Highest IV Rank — 36.2%
2024-09-09: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.22	$77.73	$82.00	$81.61	$78.91
Max Pain	$77.25	$75.00	$80.00	$75.00	$80.00
ATM IV	15.9%	14.9%	17.0%	16.4%	15.9%
Expected Move	4.6%	4.3%	4.9%	4.7%	4.6%
HV 20d	14.7%	8.4%	16.9%	8.8%	15.5%
HV 60d	18.1%	17.6%	19.1%	17.6%	17.6%
IV Rank	31.7%	27.5%	36.2%	33.6%	31.6%
IV Percentile	43.0%	24.6%	58.3%	51.2%	44.8%
Term Structure	2.5%	-0.3%	4.4%	-0.2%	3.9%
VWIV	16.1%	12.9%	19.3%	15.6%	18.0%
Skew 25d	3.0%	0.5%	7.2%	2.9%	3.1%
Skew 10d	4.5%	-3.9%	10.9%	9.1%	3.4%
Call IV 25d	15.8%	13.5%	17.8%	13.6%	17.0%
Put IV 25d	18.7%	16.5%	22.7%	16.5%	20.1%
Bid-Ask Spread %	82.49	59.33	90.23	59.33	77.87
Gamma HHI	0.41	0.26	0.75	0.35	0.27
Net GEX	223.0K	42.0K	696.9K	288.4K	67.4K
Net DEX	-1.8M	-3.7M	-557.2K	-3.7M	-870.6K
Net VEX	-10.1K	-12.3K	-8.1K	-12.3K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	0.00	17.17	1.36	1.09
Total Volume	72.1	7	475	52	23
Total OI	1,625.05	1,004	2,173	1,877	1,100

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
2024-09-03	$81.61	$75.00	16.4%	4.7%	8.8%	33.6%	15.6%	2.9%	-0.2%	288.4K	-3.7M	-12.3K	1.36	59.33	22	30	1,034	843
2024-09-04	$82.00	$75.00	17.0%	4.9%	8.4%	36.2%	12.9%	3.1%	-0.3%	290.3K	-3.7M	-12.3K	0.04	65.26	56	2	1,057	872
2024-09-05	$80.91	$80.00	16.1%	4.8%	10.2%	32.3%	15.8%	4.1%	1.5%	253.0K	-3.1M	-11.9K	0.57	81.12	303	172	1,055	873
2024-09-06	$79.43	$80.00	16.7%	4.9%	12.5%	35.1%	17.4%	2.8%	1.8%	167.7K	-2.2M	-9.7K	0.09	82.81	45	4	908	799
2024-09-09	$80.82	$80.00	17.0%	4.9%	13.7%	36.2%	15.1%	3.5%	1.5%	217.1K	-3.0M	-9.2K	0.27	84.77	15	4	892	800
2024-09-10	$79.38	$80.00	16.6%	4.7%	14.9%	34.4%	0.0%	2.9%	1.9%	187.6K	-2.1M	-8.9K	0.00	81.53	10	0	899	801
2024-09-11	$77.73	$80.00	15.6%	4.5%	16.9%	30.4%	15.8%	3.0%	2.3%	105.6K	-1.3M	-8.2K	0.15	80.65	20	3	909	801
2024-09-12	$78.04	$80.00	15.9%	4.6%	16.7%	31.6%	16.4%	0.8%	1.8%	122.1K	-1.3M	-8.6K	0.21	84.48	14	3	906	803
2024-09-13	$78.33	$80.00	15.4%	4.4%	16.4%	29.6%	15.4%	2.7%	2.1%	143.9K	-1.5M	-8.1K	0.01	83.94	236	3	909	804
2024-09-16	$78.90	$80.00	15.8%	4.5%	16.4%	31.3%	19.3%	2.8%	2.3%	452.2K	-2.1M	-8.3K	0.69	83.56	32	22	1,105	805
2024-09-17	$79.15	$75.00	16.1%	4.6%	16.4%	32.6%	16.9%	3.0%	2.1%	519.3K	-2.4M	-9.7K	10.33	83.43	9	93	1,124	832
2024-09-18	$79.20	$75.00	16.3%	4.7%	16.3%	33.2%	16.5%	4.2%	2.4%	641.2K	-2.2M	-10.5K	17.17	86.61	6	103	1,120	923
2024-09-19	$79.25	$75.00	16.2%	4.6%	16.3%	32.8%	16.3%	3.4%	3.2%	696.9K	-1.9M	-10.5K	0.12	83.75	59	7	1,124	1,020
2024-09-20	$78.61	$75.00	15.3%	4.4%	16.3%	29.2%	18.0%	7.2%	4.4%	42.0K	-1.0M	-10.3K	0.20	90.23	15	3	1,147	1,026
2024-09-23	$78.51	$75.00	14.9%	4.3%	15.7%	27.5%	15.0%	0.5%	3.7%	44.3K	-814.7K	-10.1K	0.31	87.66	36	11	542	462
2024-09-24	$78.03	$75.00	15.0%	4.3%	15.7%	27.6%	15.0%	2.6%	3.6%	42.0K	-557.2K	-10.4K	0.89	89.50	9	8	562	467
2024-09-25	$78.07	$75.00	15.2%	4.4%	15.7%	28.7%	15.3%	1.6%	3.6%	45.2K	-613.0K	-10.7K	0.29	89.23	14	4	571	475
2024-09-26	$78.47	$75.00	15.7%	4.5%	15.5%	30.9%	15.7%	0.7%	3.6%	60.6K	-791.0K	-10.7K	0.17	85.11	6	1	585	477
2024-09-27	$78.98	$75.00	15.4%	4.4%	15.7%	29.2%	15.3%	4.9%	4.0%	74.0K	-956.3K	-10.7K	2.00	88.98	13	26	591	478
2024-09-30	$78.91	$80.00	15.9%	4.6%	15.5%	31.6%	18.0%	3.1%	3.9%	67.4K	-870.6K	-10.7K	1.09	77.87	11	12	599	501