LASR Options History — September 2020

In September 2020, LASR traded between $19.86 and $23.84. ATM implied volatility averaged 57.9%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 12.0% (HV 20d: 45.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2020-09-16: Highest Volume — 5,057 contracts
  • 2020-09-03: Largest IV spike — 21.2% change
  • 2020-09-08: Highest IV Rank — 22.1%
  • 2020-09-08: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.52$19.86$23.84$23.54$23.44
Max Pain$22.26$20.00$22.50$20.00$22.50
ATM IV57.9%49.7%67.0%62.7%59.6%
Expected Move16.7%14.3%19.0%18.0%17.1%
HV 20d45.8%38.9%51.6%40.2%46.0%
HV 60d49.1%45.4%54.7%54.7%45.4%
IV Rank17.1%12.6%22.1%19.8%18.1%
IV Percentile41.1%14.3%64.7%56.7%49.2%
Term Structure1.1%-18.1%8.9%-0.5%0.2%
VWIV59.5%48.5%93.2%93.2%52.1%
Skew 25d7.5%-8.5%21.5%13.9%4.5%
Skew 10d5.8%-31.0%31.9%19.1%4.2%
Call IV 25d54.3%44.7%62.3%51.0%54.9%
Put IV 25d61.8%47.0%76.8%64.9%59.3%
Bid-Ask Spread %87.3770.63107.5194.5885.09
Gamma HHI0.380.320.460.340.36
Net GEX37.4K5.0K70.4K35.4K68.8K
Net DEX-1.3M-2.6M232.4K-1.1M-2.1M
Net VEX-31.8K-44.8K-18.8K-23.7K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.006.000.000.00
Total Volume276.66705,05723
Total OI7,104.2864,6409,8494,6429,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$23.54$20.0062.7%18.0%40.2%19.8%93.2%13.9%-0.5%35.4K-1.1M-23.7K0.0094.58N/AN/A202,4642,178
2020-09-02$23.84$20.0049.7%14.3%40.4%12.6%0.0%14.5%7.3%38.8K-1.3M-23.6K0.0092.35N/AN/A202,4622,178
2020-09-03$22.57$22.5060.3%19.0%38.9%18.4%62.9%14.5%-4.5%32.2K-778.5K-23.3K0.1286.39N/AN/A84102,4652,178
2020-09-04$21.64$22.5062.9%18.8%40.9%19.9%0.0%13.2%-6.1%23.0K-495.8K-22.3K6.0084.26N/AN/A3182,5492,188
2020-09-08$20.78$22.5067.0%19.0%41.1%22.1%0.0%10.0%-2.1%10.3K-37.0K-20.9K5.0072.25N/AN/A152,5462,196
2020-09-09$20.68$22.5060.3%17.3%39.5%18.4%0.0%21.5%2.9%10.6K-27-20.7K0.0086.42N/AN/A002,5472,198
2020-09-10$20.38$22.5059.8%17.1%39.1%18.2%0.0%-8.1%-3.6%9.3K185.7K-19.3K0.00105.27N/AN/A002,5472,198
2020-09-11$19.86$22.5059.9%17.2%39.3%18.2%0.0%9.4%-1.5%5.0K232.4K-19.8K0.0089.48N/AN/A002,5472,198
2020-09-14$21.27$22.5054.5%15.6%48.4%15.3%54.1%9.3%5.2%11.3K175.2K-18.8K0.0081.81N/AN/A502,5472,192
2020-09-15$22.06$22.5053.6%15.4%50.6%14.8%53.6%6.3%7.1%23.9K-380.8K-20.5K0.00107.51N/AN/A5402,5522,192
2020-09-16$22.39$22.5060.8%17.4%50.4%18.7%72.6%21.0%-18.1%33.7K-961.4K-22.9K0.98106.22N/AN/A2,5502,5072,6012,192
2020-09-17$22.89$22.5059.4%17.0%51.2%17.9%0.0%16.0%8.9%21.8K-1.6M-42.3K0.0093.10N/AN/A005,1504,699
2020-09-18$23.47$22.5053.0%15.2%51.6%14.5%48.5%2.9%3.7%41.0K-2.2M-44.0K0.0081.58N/AN/A10705,1504,699
2020-09-21$23.47$22.5054.8%15.7%51.0%15.4%54.5%-3.1%4.1%48.0K-2.1M-43.7K0.0070.63N/AN/A18004,8554,569
2020-09-22$23.73$22.5055.4%15.9%49.9%15.7%53.4%12.6%7.1%52.2K-2.6M-44.8K0.0183.22N/AN/A16124,9654,569
2020-09-23$23.10$22.5056.4%16.2%51.0%16.3%53.7%-1.2%1.7%55.3K-1.9M-41.8K0.0082.59N/AN/A6005,1234,570
2020-09-24$23.27$22.5055.7%16.0%50.7%15.9%55.9%0.4%7.4%61.3K-2.1M-43.7K1.5080.28N/AN/A235,1834,570
2020-09-25$23.53$22.5052.3%15.0%50.3%14.1%0.0%-8.5%4.2%70.4K-2.4M-43.9K0.0089.26N/AN/A0475,1844,572
2020-09-28$23.40$22.5058.7%16.8%45.9%17.6%52.1%3.0%-0.2%65.7K-2.3M-43.4K0.0082.26N/AN/A405,1844,619
2020-09-29$23.52$22.5058.3%16.7%46.0%17.4%0.0%6.0%-0.4%66.6K-2.6M-42.9K0.0080.20N/AN/A005,1884,619
2020-09-30$23.44$22.5059.6%17.1%46.0%18.1%0.0%4.5%0.2%68.8K-2.1M-42.6K0.0085.09N/AN/A035,1884,619