L Options History — October 2024

In October 2024, L traded between $76.48 and $81.74. ATM implied volatility averaged 22.1%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.9% (HV 20d: 18.3%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 3.19.

Notable Days

  • 2024-10-07: Highest Volume — 374 contracts
  • 2024-10-07: Largest IV spike — 48.0% change
  • 2024-10-31: Highest IV Rank — 80.6%
  • 2024-10-31: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.72$76.48$81.74$79.49$79.36
Max Pain$78.04$75.00$80.00$80.00$80.00
ATM IV22.1%15.4%27.2%16.3%27.2%
Expected Move6.5%4.7%7.8%4.7%7.8%
HV 20d18.3%15.3%20.6%15.8%20.5%
HV 60d17.8%15.8%19.2%17.4%15.9%
IV Rank58.5%29.3%80.6%33.3%80.6%
IV Percentile87.5%34.5%99.2%53.6%99.2%
Term Structure-2.5%-5.4%3.8%3.8%-5.4%
VWIV23.0%16.2%31.0%16.2%27.2%
Skew 25d3.5%-6.8%10.8%-0.3%-6.8%
Skew 10d7.1%-1.3%13.9%-1.3%3.9%
Call IV 25d20.9%13.3%26.2%20.9%26.2%
Put IV 25d24.5%19.4%29.6%20.6%19.5%
Bid-Ask Spread %79.2768.4495.2372.5576.35
Gamma HHI0.340.270.470.270.34
Net GEX75.2K-99.4K284.9K86.5K3.0K
Net DEX-984.1K-2.9M534.0K-1.1M-219.1K
Net VEX-11.7K-13.2K-9.9K-10.5K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.190.0417.000.721.00
Total Volume72.5221037421712
Total OI1,468.7391,1051,8271,1051,385

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$79.49$80.0016.3%4.7%15.8%33.3%16.2%-0.3%3.8%86.5K-1.1M-10.5K0.7272.5512691610495
2024-10-02$78.58$80.0016.5%4.7%16.1%34.1%19.3%3.9%3.5%102.9K-712.2K-12.0K1.7573.4147733571
2024-10-03$78.18$75.0016.8%5.9%15.6%35.6%23.1%3.5%-2.2%91.3K-584.4K-11.2K0.1475.76375736574
2024-10-04$79.33$75.0015.4%5.8%15.3%29.3%20.0%3.7%-1.8%118.8K-1.1M-11.7K0.0976.05343726573
2024-10-07$76.48$80.0022.8%6.8%18.7%61.2%21.4%4.1%-3.0%29.2K399.2K-9.9K14.5884.6324350734574
2024-10-08$77.38$75.0024.5%6.8%18.5%68.9%22.1%4.4%-2.5%-99.4K534.0K-12.1K0.4783.257033735907
2024-10-09$78.13$75.0021.4%6.1%17.3%55.3%24.3%3.1%-2.1%-14.0K-99.5K-11.7K0.6876.142215783960
2024-10-10$78.06$75.0021.0%6.0%17.3%53.8%21.0%4.2%-1.9%-21.5K36.6K-11.3K2.4076.5552125794963
2024-10-11$79.38$75.0020.8%6.0%18.2%52.7%20.8%4.6%-1.6%197.7K-1.2M-11.4K0.7481.523828815907
2024-10-14$80.19$80.0021.5%6.2%18.4%55.8%22.3%3.8%-2.2%268.2K-2.0M-10.7K1.3187.721621805908
2024-10-15$80.40$80.0022.2%6.4%18.4%58.6%22.4%10.8%-2.5%284.9K-2.2M-10.3K0.1295.238310810930
2024-10-16$80.78$80.0021.9%6.3%18.4%57.6%22.6%4.7%-1.9%183.4K-2.2M-10.6K0.0484.54251754939
2024-10-17$81.57$75.0022.8%6.5%18.7%61.5%22.9%5.3%-2.6%103.4K-2.9M-10.2K2.8283.4044124758941
2024-10-18$81.74$75.0022.5%6.4%18.4%60.0%20.5%4.3%-3.0%60.8K-2.8M-11.8K0.1683.8861107721,055
2024-10-21$81.00$75.0022.9%6.6%18.7%61.7%21.9%4.1%-3.4%62.6K-1.1M-12.0K0.4182.732711601634
2024-10-22$80.75$80.0023.0%6.6%18.6%62.4%23.0%4.4%-3.2%57.5K-972.4K-12.6K4.0079.66520612645
2024-10-23$80.92$80.0023.8%6.8%18.6%65.5%24.1%4.6%-3.6%54.6K-960.6K-12.3K9.4075.76547612664
2024-10-24$81.05$80.0024.1%6.9%18.6%67.0%0.0%4.8%-3.7%50.3K-946.6K-12.9K17.0072.81117616710
2024-10-25$79.66$80.0024.1%6.9%19.6%67.0%26.1%4.7%-3.7%17.9K-427.7K-13.0K3.4072.13517617727
2024-10-28$80.85$80.0025.7%7.4%20.3%73.9%31.0%5.0%-5.2%44.5K-897.7K-12.6K1.0085.8255616740
2024-10-29$79.98$80.0025.6%7.3%20.6%73.6%26.6%-4.4%-4.9%21.0K-550.5K-12.8K10.0074.80110622743
2024-10-30$80.26$80.0026.4%7.6%20.1%77.0%26.4%5.0%-5.3%25.9K-627.1K-13.0K1.1068.441011622753
2024-10-31$79.36$80.0027.2%7.8%20.5%80.6%27.2%-6.8%-5.4%3.0K-219.1K-13.2K1.0076.3566627758