LUMN Options History — January 2021

In January 2021, LUMN traded between $9.72 and $15.57. ATM implied volatility averaged 51.8%. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 6.8% (HV 20d: 45.0%). Max pain ranged from $10.00 to $11.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.28.

Notable Days

  • 2021-01-26: Highest Volume — 116,025 contracts
  • 2021-01-26: Largest IV spike — 107.7% change
  • 2021-01-27: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.34$9.72$15.57$9.72$12.44
Max Pain$10.13$10.00$11.50$10.00$11.50
ATM IV51.8%35.2%95.8%38.9%90.7%
Expected Move15.3%10.9%30.1%11.4%26.6%
HV 20d45.0%26.6%126.8%35.8%126.8%
HV 60d44.1%36.2%79.5%36.2%79.5%
Term Structure4.7%-4.3%59.9%2.5%3.0%
VWIV55.5%38.7%109.6%40.4%99.3%
Skew 25d-1.1%-34.7%3.9%2.1%-4.9%
Skew 10d2.9%-30.7%37.7%4.1%-13.4%
Call IV 25d57.8%35.0%142.3%39.3%103.8%
Put IV 25d56.6%37.1%131.7%41.4%98.8%
Bid-Ask Spread %23.062.9591.376.4141.78
Gamma HHI0.220.110.470.170.15
Net GEX2.1M444.1K3.4M444.1K2.5M
Net DEX-55.1M-234.4M23.4M23.4M-113.9M
Net VEX-587.4K-850.6K-448.3K-448.3K-827.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.051.430.240.21
Total Volume32,429.6849,504116,0259,50433,164
Total OI371,682.632271,696453,372416,874372,293

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$9.72$10.0038.9%11.4%35.8%0.0%40.4%2.1%2.5%444.1K23.4M-448.3K0.246.41N/AN/A7,6491,855248,199168,675
2021-01-05$9.99$10.0036.1%10.9%37.3%0.0%38.7%2.2%2.0%1.0M8.9M-471.3K0.5426.06N/AN/A6,5903,527252,449169,437
2021-01-06$10.51$10.0037.9%11.4%34.1%0.0%41.1%2.9%-1.1%1.8M-16.9M-502.4K0.1525.54N/AN/A15,9122,428254,740169,737
2021-01-07$10.55$10.0035.2%11.5%31.6%0.0%40.9%2.7%6.6%2.0M-16.4M-492.1K0.184.81N/AN/A8,8321,628254,485170,304
2021-01-08$10.51$10.0036.7%11.6%31.2%0.0%41.0%2.1%6.5%1.9M-17.4M-492.5K0.092.95N/AN/A9,422816256,972170,730
2021-01-11$10.53$10.0041.0%12.0%27.3%0.0%43.4%2.3%-0.6%2.0M-19.8M-488.3K0.423.29N/AN/A7,2102,998256,760168,988
2021-01-12$10.72$10.0042.1%12.0%27.6%0.0%42.1%1.3%-1.0%2.8M-27.9M-492.6K0.144.68N/AN/A12,5221,715259,145169,893
2021-01-13$10.82$10.0041.8%11.8%26.6%0.0%41.4%1.8%-0.7%3.4M-35.1M-500.6K1.434.72N/AN/A9,64513,748262,741169,772
2021-01-14$11.36$10.0046.0%12.7%31.3%0.0%45.1%0.2%-2.1%2.9M-71.0M-547.1K0.0623.46N/AN/A55,7393,221265,390170,019
2021-01-15$11.39$10.0044.6%12.7%30.6%0.0%45.3%0.4%0.1%3.2M-75.4M-575.0K0.203.24N/AN/A28,8155,758282,143171,229
2021-01-19$11.18$10.0042.5%12.1%31.2%0.0%43.3%2.1%-1.0%2.1M-42.7M-568.3K0.226.44N/AN/A18,1224,006192,27279,424
2021-01-20$11.07$10.0042.5%12.2%31.3%0.0%43.9%1.5%-2.3%2.0M-40.6M-574.3K0.304.26N/AN/A13,9194,167198,91982,654
2021-01-21$11.10$10.0042.6%12.3%29.4%0.0%44.9%-0.8%-2.0%2.1M-41.9M-581.5K0.165.41N/AN/A9,1221,415205,24385,830
2021-01-22$11.18$10.0042.5%12.3%28.6%0.0%44.7%2.6%-2.5%1.8M-45.9M-590.5K0.2941.23N/AN/A7,3662,157208,98986,839
2021-01-25$11.45$10.0044.4%13.2%29.1%0.0%47.6%1.8%-4.3%2.0M-54.8M-607.5K0.2610.57N/AN/A20,1295,295202,38384,719
2021-01-26$13.45$10.0092.2%27.9%61.3%0.0%98.0%-10.6%59.9%1.9M-132.9M-775.4K0.0791.37N/AN/A108,7487,277209,78087,918
2021-01-27$15.57$10.5095.8%30.1%76.6%0.0%109.6%-34.7%26.4%2.4M-234.4M-850.6K0.0588.27N/AN/A100,3304,967238,16992,268
2021-01-28$11.99$10.5090.4%26.5%126.6%0.0%103.6%3.9%0.2%2.0M-91.2M-774.5K0.2643.75N/AN/A60,15415,796249,02093,442
2021-01-29$12.44$11.5090.7%26.6%126.8%0.0%99.3%-4.9%3.0%2.5M-113.9M-827.1K0.2141.78N/AN/A27,3455,819268,017104,276