LUMN Options History — November 2020

In November 2020, LUMN traded between $8.81 and $10.91. ATM implied volatility averaged 38.6%. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.2% (HV 20d: 39.8%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2020-11-24: Highest Volume — 30,702 contracts
  • 2020-11-05: Largest IV drop — 23.5% change
  • 2020-11-02: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.83$8.81$10.91$8.88$10.39
Max Pain$10.10$10.00$11.00$11.00$10.00
ATM IV38.6%30.4%59.3%59.3%37.8%
Expected Move10.8%8.7%17.0%17.0%10.8%
HV 20d39.8%25.6%44.7%25.6%44.1%
HV 60d34.1%33.6%34.4%33.6%34.1%
Term Structure-0.9%-14.8%10.9%-14.7%-1.7%
VWIV39.1%31.0%57.0%56.0%37.8%
Skew 25d30.2%-11.9%89.2%8.3%-1.9%
Skew 10d50.7%3.3%104.3%16.1%15.8%
Call IV 25d46.1%30.6%86.9%56.8%48.0%
Put IV 25d76.3%32.0%172.1%65.1%46.2%
Bid-Ask Spread %9.833.4226.1218.204.51
Gamma HHI0.260.160.620.210.16
Net GEX-516.3K-3.5M951.5K-963.1K516.9K
Net DEX53.1M7.7M85.7M85.4M20.3M
Net VEX-321.2K-397.0K-293.1K-317.2K-393.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.101.680.900.32
Total Volume11,891.454,49730,70211,64412,802
Total OI347,600.45301,590367,541342,419326,899

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$8.88$11.0059.3%17.0%25.6%0.0%56.0%8.3%-14.7%-963.1K85.4M-317.2K0.9018.20N/AN/A6,1205,524151,095191,324
2020-11-03$9.14$11.0058.6%16.8%28.4%0.0%56.8%11.3%-14.8%-1.0M83.2M-315.4K0.3715.12N/AN/A7,3542,711151,095191,324
2020-11-04$8.81$10.0056.8%16.3%29.0%0.0%57.0%1.8%-9.5%-860.8K85.7M-304.5K0.2816.76N/AN/A7,2502,019156,402190,654
2020-11-05$9.24$10.0043.4%11.1%34.9%0.0%39.2%8.4%0.9%-966.8K79.9M-307.1K0.2325.40N/AN/A9,2072,115160,029192,325
2020-11-06$9.11$10.0036.6%8.7%35.1%0.0%36.2%21.6%0.7%-966.0K84.6M-293.1K1.2210.16N/AN/A4,3305,301161,280192,196
2020-11-09$9.36$10.0040.9%10.5%36.9%0.0%37.1%11.2%-1.2%-966.4K75.7M-300.7K0.3526.12N/AN/A7,9602,754162,564195,669
2020-11-10$9.81$10.0037.4%9.7%40.7%0.0%33.9%55.3%-0.4%-874.7K62.0M-316.7K1.6810.73N/AN/A4,9558,330165,837195,190
2020-11-11$9.61$10.0033.6%9.6%41.3%0.0%33.6%53.4%0.8%-463.1K63.7M-314.5K0.485.87N/AN/A5,0832,456167,527189,894
2020-11-12$9.53$10.0035.6%10.2%41.2%0.0%35.6%60.8%-1.4%-483.6K65.9M-317.6K1.039.19N/AN/A2,2162,281168,668190,115
2020-11-13$9.89$10.0033.0%9.5%43.4%0.0%33.0%55.5%0.4%-359.0K53.5M-321.3K0.174.97N/AN/A3,964665169,537191,138
2020-11-16$10.11$10.0033.3%9.5%43.5%0.0%33.3%24.8%1.0%-309.3K42.5M-320.8K0.205.26N/AN/A8,2831,624169,429191,363
2020-11-17$10.15$10.0033.7%9.7%43.5%0.0%33.7%42.9%0.3%-234.3K40.5M-314.9K0.574.39N/AN/A4,3372,467170,038191,883
2020-11-18$9.97$10.0033.8%9.7%44.1%0.0%33.7%45.1%-0.4%-815.2K51.8M-310.0K0.398.97N/AN/A4,4931,738171,724193,140
2020-11-19$9.84$10.0034.3%9.8%44.3%0.0%34.3%66.3%-1.0%-748.5K59.7M-296.6K0.223.42N/AN/A6,1471,345172,578193,791
2020-11-20$10.03$10.0032.5%9.3%44.7%0.0%32.4%67.9%-0.1%-3.5M41.1M-298.0K0.464.79N/AN/A8,2983,831174,403193,138
2020-11-23$10.51$10.0031.3%9.0%44.7%0.0%31.0%-11.9%3.5%640.1K22.9M-295.9K0.116.31N/AN/A23,9872,756144,906156,684
2020-11-24$10.91$10.0030.4%8.7%43.9%0.0%35.5%-3.4%10.9%951.5K7.7M-342.8K0.176.60N/AN/A26,1764,526157,143158,056
2020-11-25$10.76$10.0033.1%9.5%42.8%0.0%54.8%89.2%9.0%592.9K12.8M-346.2K0.105.16N/AN/A20,2041,942167,815158,805
2020-11-27$10.47$10.0036.9%10.6%44.4%0.0%36.9%-2.5%-0.6%526.2K23.6M-397.0K0.144.68N/AN/A9,0221,256166,732159,619
2020-11-30$10.39$10.0037.8%10.8%44.1%0.0%37.8%-1.9%-1.7%516.9K20.3M-393.8K0.324.51N/AN/A9,7323,070171,099155,800