LUMN Options History — February 2021

In February 2021, LUMN traded between $11.47 and $12.56. ATM implied volatility averaged 55.4%. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 68.7% (HV 20d: 124.1%). 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 10 of 19 days. Put/call ratio averaged 0.23.

Notable Days

  • 2021-02-11: Highest Volume — 54,402 contracts
  • 2021-02-09: Largest IV drop — 18.7% change
  • 2021-02-01: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.00$11.47$12.56$11.90$12.27
Max Pain$10.24$10.00$11.50$11.50$10.00
ATM IV55.4%42.8%86.0%86.0%43.3%
Expected Move16.1%12.2%27.2%27.2%12.3%
HV 20d124.1%46.9%133.0%128.3%46.9%
HV 60d80.1%79.3%80.8%80.0%79.8%
Term Structure1.6%-4.8%15.0%-1.3%0.6%
VWIV58.5%43.1%101.9%101.9%43.1%
Skew 25d-3.3%-11.4%8.3%-9.2%-1.6%
Skew 10d-10.4%-42.9%24.6%17.9%-3.2%
Call IV 25d60.4%44.5%97.6%97.6%44.5%
Put IV 25d57.1%42.8%88.4%88.4%43.0%
Bid-Ask Spread %42.2311.1065.1240.7665.12
Gamma HHI0.130.090.170.090.15
Net GEX2.3M1.3M3.6M1.7M2.9M
Net DEX-80.4M-113.4M-47.8M-85.4M-90.9M
Net VEX-753.9K-808.5K-705.6K-794.8K-736.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.110.550.370.25
Total Volume24,763.21114,62154,40224,64614,621
Total OI399,952.474353,666435,645353,666406,238

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$11.90$11.5086.0%27.2%128.3%0.0%101.9%-9.2%-1.3%1.7M-85.4M-794.8K0.3740.76N/AN/A17,9426,704252,655101,011
2021-02-02$11.49$11.5072.8%22.3%129.3%0.0%85.7%-6.1%1.0%1.5M-62.2M-744.8K0.1446.68N/AN/A32,6104,715258,415105,983
2021-02-03$11.77$11.5068.1%20.9%129.2%0.0%77.6%8.3%15.0%1.7M-75.9M-784.2K0.1544.84N/AN/A18,3832,786275,285110,079
2021-02-04$11.69$10.0071.8%20.9%128.3%0.0%71.5%-11.4%12.0%1.7M-71.7M-773.1K0.1652.45N/AN/A14,3192,297283,415110,833
2021-02-05$12.31$10.0061.5%18.0%129.3%0.0%66.9%-1.8%-2.6%2.2M-98.1M-800.6K0.1941.29N/AN/A19,1973,713288,549112,335
2021-02-08$12.34$10.0071.2%17.6%129.3%0.0%62.2%-9.4%-1.5%2.5M-100.3M-798.8K0.2834.02N/AN/A19,1835,466284,632107,121
2021-02-09$12.56$10.0057.9%16.7%129.3%0.0%63.4%-4.5%-3.3%2.8M-113.4M-808.5K0.2120.24N/AN/A23,8354,901291,029110,946
2021-02-10$12.40$10.0058.0%16.0%129.5%0.0%58.9%2.5%-0.8%2.9M-104.1M-806.5K0.3439.02N/AN/A19,7046,746299,736113,356
2021-02-11$11.47$10.0048.3%15.4%133.0%0.0%53.6%-5.4%4.5%1.3M-47.8M-709.2K0.2520.33N/AN/A43,40810,994307,652118,795
2021-02-12$11.74$10.0047.8%14.8%132.1%0.0%55.4%-1.3%5.4%1.7M-60.0M-736.9K0.2548.89N/AN/A29,4557,240311,728123,917
2021-02-16$11.74$10.0052.3%14.5%132.1%0.0%52.9%-3.4%-4.8%1.8M-64.0M-735.1K0.1942.61N/AN/A17,5223,396294,515112,485
2021-02-17$11.82$10.0045.6%13.1%131.9%0.0%46.4%-4.0%4.1%2.4M-66.5M-721.7K0.5555.30N/AN/A12,9407,076299,643114,835
2021-02-18$11.73$10.0047.7%13.8%131.9%0.0%49.3%-3.8%0.4%2.3M-63.5M-714.9K0.1358.59N/AN/A15,5642,032303,917115,640
2021-02-19$11.94$10.0044.3%12.4%132.0%0.0%43.9%-0.4%1.8%2.4M-68.7M-705.6K0.1737.91N/AN/A20,0163,480307,977115,797
2021-02-22$11.98$10.0043.0%12.2%132.0%0.0%45.4%-2.8%-1.0%2.4M-74.5M-723.7K0.1954.49N/AN/A16,0092,977277,788100,935
2021-02-23$12.22$10.0042.8%12.4%131.9%0.0%44.4%-3.8%-0.8%3.2M-88.6M-740.7K0.2811.10N/AN/A11,7743,348284,805102,287
2021-02-24$12.44$10.0046.0%12.4%118.3%0.0%43.5%-5.1%2.3%3.6M-101.3M-744.5K0.1130.99N/AN/A22,2412,420287,685103,673
2021-02-25$12.18$10.0045.4%13.1%104.2%0.0%45.6%0.5%-0.9%3.4M-91.1M-745.1K0.1657.64N/AN/A18,5662,921298,738104,667
2021-02-26$12.27$10.0043.3%12.3%46.9%0.0%43.1%-1.6%0.6%2.9M-90.9M-736.3K0.2565.12N/AN/A11,6702,951299,952106,286