LUMN Options History — December 2020

In December 2020, LUMN traded between $9.73 and $10.57. ATM implied volatility averaged 36.9%. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.2% (HV 20d: 41.1%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-12-14: Highest Volume — 40,429 contracts
  • 2020-12-24: Largest IV spike — 18.4% change
  • 2020-12-01: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.14$9.73$10.57$10.53$9.73
Max Pain$10.82$10.00$11.00$10.00$10.00
ATM IV36.9%34.2%41.3%38.2%35.5%
Expected Move10.4%9.6%10.9%10.9%9.6%
HV 20d41.1%35.8%45.4%43.3%35.9%
HV 60d35.9%32.9%36.8%33.9%36.5%
Term Structure4.2%-3.1%8.8%-3.1%2.4%
VWIV37.2%33.8%41.7%38.1%33.8%
Skew 25d1.2%-9.5%5.5%-9.5%1.8%
Skew 10d7.2%-12.4%27.9%-12.4%6.3%
Call IV 25d38.9%35.6%53.2%47.7%36.5%
Put IV 25d40.1%38.2%45.3%38.2%38.2%
Bid-Ask Spread %5.112.6411.094.883.05
Gamma HHI0.190.170.220.170.18
Net GEX517.5K154.6K998.8K580.6K222.1K
Net DEX19.6M5.6M34.1M20.1M25.9M
Net VEX-443.5K-504.7K-364.9K-381.0K-440.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.070.860.450.16
Total Volume11,474.2274,67940,4299,7008,516
Total OI386,544.364331,154423,747331,154414,256

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$10.53$10.0038.2%10.9%43.3%0.0%38.1%-9.5%-3.1%580.6K20.1M-381.0K0.454.88N/AN/A6,7132,987175,751155,403
2020-12-02$10.48$10.0037.9%10.9%42.8%0.0%37.9%-7.2%-1.1%656.4K16.3M-394.7K0.194.76N/AN/A5,5271,039178,131156,974
2020-12-03$10.49$11.0035.5%10.2%39.7%0.0%34.1%3.0%4.2%701.4K14.7M-396.4K0.236.73N/AN/A3,796883180,309156,588
2020-12-04$10.57$11.0036.9%9.6%37.0%0.0%34.9%2.5%5.2%808.5K11.5M-399.2K0.473.68N/AN/A7,6633,620182,244156,859
2020-12-07$9.90$11.0041.3%10.5%44.5%0.0%37.7%3.0%4.4%154.6K34.1M-364.9K0.507.19N/AN/A18,4069,186185,194159,195
2020-12-08$10.28$11.0036.8%10.5%45.4%0.0%39.3%2.8%4.7%387.2K18.6M-417.1K0.244.63N/AN/A13,5153,225191,733164,544
2020-12-09$10.44$11.0037.3%10.7%42.8%0.0%36.9%3.6%4.2%794.0K10.6M-432.6K0.415.57N/AN/A6,8892,804203,065165,094
2020-12-10$10.03$11.0038.2%10.9%44.8%0.0%40.0%2.9%2.9%216.3K23.9M-447.1K0.394.32N/AN/A8,9743,474203,431171,023
2020-12-11$10.15$11.0037.2%10.7%44.7%0.0%38.9%2.5%4.9%254.3K21.3M-469.3K0.2211.09N/AN/A6,5801,446208,188179,381
2020-12-14$10.40$11.0037.3%10.7%43.6%0.0%38.1%0.9%5.2%647.9K8.7M-473.1K0.074.15N/AN/A37,7252,704211,666180,032
2020-12-15$10.49$11.0037.5%10.7%43.1%0.0%41.7%5.5%5.0%998.8K5.6M-504.7K0.397.17N/AN/A6,9792,714237,769179,785
2020-12-16$10.35$11.0036.2%10.4%43.4%0.0%37.0%2.0%7.1%897.2K6.1M-496.6K0.624.91N/AN/A4,5952,851238,912179,475
2020-12-17$10.23$11.0035.4%10.2%43.1%0.0%35.9%3.3%8.8%637.8K10.1M-487.8K0.314.65N/AN/A6,8402,112240,004179,645
2020-12-18$10.15$11.0036.5%10.5%42.9%0.0%37.6%2.9%5.5%645.3K10.1M-488.3K0.864.37N/AN/A5,2004,484243,705180,042
2020-12-21$9.90$11.0037.4%10.7%43.4%0.0%38.9%1.2%7.2%518.8K25.5M-465.8K0.3010.72N/AN/A10,5603,161228,726169,767
2020-12-22$9.78$11.0036.8%10.5%39.7%0.0%37.3%3.1%7.1%252.0K31.9M-445.3K0.593.81N/AN/A6,6843,959229,359171,255
2020-12-23$9.93$11.0034.2%9.8%37.4%0.0%34.6%4.5%8.5%388.3K26.9M-455.2K0.243.00N/AN/A5,9631,424231,481170,984
2020-12-24$9.84$11.0040.5%10.3%37.3%0.0%37.3%-7.8%2.0%415.1K27.9M-459.1K0.393.20N/AN/A3,8291,494234,805172,168
2020-12-28$9.86$11.0034.5%10.0%36.4%0.0%36.5%1.9%2.2%467.7K27.3M-445.7K0.145.06N/AN/A9,1311,286237,080172,527
2020-12-29$9.78$11.0035.2%10.2%36.4%0.0%36.6%2.1%2.5%352.4K30.5M-446.2K0.322.64N/AN/A4,8931,546242,414173,510
2020-12-30$9.73$10.0036.1%9.9%35.8%0.0%35.7%1.9%2.8%388.0K23.6M-447.1K0.232.74N/AN/A5,7591,297244,285167,217
2020-12-31$9.73$10.0035.5%9.6%35.9%0.0%33.8%1.8%2.4%222.1K25.9M-440.4K0.163.05N/AN/A7,3441,172246,453167,803