LUMN Options History — September 2020 In September 2020, LUMN traded between $10.07 and $10.28. ATM implied volatility averaged 38.1%. The 30-day expected move averaged 10.5%. Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 8 trading days. Term structure was in contango for 5 of 8 days. Put/call ratio averaged 0.97.
Notable Days 2020-09-24 : Highest Volume — 14,502 contracts2020-09-22 : Largest IV drop — 20.1% change2020-09-21 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $10.20 $10.07 $10.28 $10.28 $10.07 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 38.1% 30.6% 45.8% 45.8% 40.8% Expected Move 10.5% 9.5% 11.1% 11.1% 9.5% Term Structure 1.4% -12.1% 10.5% -9.3% 6.2% VWIV 36.7% 33.7% 38.4% 38.3% 33.7% Skew 25d 9.4% 2.0% 30.2% 30.2% 23.8% Skew 10d 17.4% 3.6% 32.9% 32.9% 21.9% Call IV 25d 34.9% 25.1% 37.3% 37.0% 35.8% Put IV 25d 44.3% 31.8% 67.2% 67.2% 59.5% Bid-Ask Spread % 6.93 4.56 11.06 6.78 6.14 Gamma HHI 0.17 0.15 0.21 0.17 0.17 Net GEX -684.8K -894.0K -425.8K -629.0K -768.9K Net DEX 51.5M 48.1M 54.3M 48.1M 54.1M Net VEX -437.4K -454.2K -419.7K -440.6K -454.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.07 3.05 0.72 1.08 Total Volume 6,099.125 2,672 14,502 6,538 4,424 Total OI 382,689.875 378,989 388,572 380,257 381,549
Daily Data (8 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-09-21 $10.28 $10.00 45.8% 11.1% 0.0% 0.0% 38.3% 30.2% -9.3% -629.0K 48.1M -440.6K 0.72 6.78 N/A N/A 3,810 2,728 149,659 230,598 2020-09-22 $10.28 $10.00 36.6% 10.6% 0.0% 0.0% 36.2% 3.8% -12.1% -752.2K 50.5M -442.5K 0.86 6.73 N/A N/A 2,851 2,445 151,008 231,969 2020-09-23 $10.11 $10.00 38.7% 11.0% 0.0% 0.0% 37.5% 3.8% 8.7% -894.0K 54.0M -426.0K 0.72 5.60 N/A N/A 3,745 2,679 151,473 232,175 2020-09-24 $10.11 $10.00 38.4% 10.8% 0.0% 0.0% 38.4% 2.0% -0.9% -888.1K 54.3M -422.4K 3.05 7.12 N/A N/A 3,577 10,925 152,809 232,238 2020-09-25 $10.20 $10.00 37.7% 10.3% 0.0% 0.0% 36.9% 2.4% 0.6% -560.8K 51.8M -448.8K 0.07 7.43 N/A N/A 5,630 407 154,190 234,382 2020-09-28 $10.28 $10.00 30.6% 10.5% 0.0% 0.0% 36.4% 6.8% 10.5% -425.8K 48.4M -445.3K 0.31 11.06 N/A N/A 2,215 685 151,609 227,380 2020-09-29 $10.24 $10.00 36.3% 10.1% 0.0% 0.0% 36.2% 2.5% 7.8% -559.4K 50.7M -419.7K 0.97 4.56 N/A N/A 1,355 1,317 152,644 227,836 2020-09-30 $10.07 $10.00 40.8% 9.5% 0.0% 0.0% 33.7% 23.8% 6.2% -768.9K 54.1M -454.2K 1.08 6.14 N/A N/A 2,127 2,297 153,261 228,288
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