LUMN Options History — March 2021 In March 2021, LUMN traded between $12.53 and $14.40. ATM implied volatility averaged 43.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.2% (HV 20d: 45.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.51.
Notable Days 2021-03-03 : Highest Volume — 123,950 contracts2021-03-03 : Largest IV spike — 24.6% change2021-03-25 : Highest IV Rank — 24.2%2021-03-03 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $13.65 $12.53 $14.40 $12.53 $13.34 Max Pain $11.70 $10.00 $12.00 $10.00 $12.00 ATM IV 43.6% 34.5% 54.3% 46.9% 34.5% Expected Move 12.3% 10.5% 16.9% 14.4% 10.5% HV 20d 45.7% 41.4% 51.4% 45.6% 41.4% HV 60d 80.9% 79.9% 81.7% 79.9% 81.7% IV Rank 16.8% 9.0% 24.2% 14.2% 9.0% IV Percentile 44.6% 12.9% 68.8% 39.7% 12.9% Term Structure -1.9% -18.3% 6.1% -18.3% -7.5% VWIV 45.7% 36.7% 61.0% 55.1% 36.7% Skew 25d -1.4% -6.5% 6.9% -5.2% 4.3% Skew 10d -7.1% -32.9% 23.7% -32.1% 0.6% Call IV 25d 46.5% 36.2% 57.1% 57.1% 36.2% Put IV 25d 45.1% 38.6% 55.4% 51.9% 40.5% Bid-Ask Spread % 28.94 6.29 64.62 64.62 30.14 Gamma HHI 0.20 0.13 0.30 0.17 0.25 Net GEX 4.4M 2.4M 8.9M 3.5M 2.9M Net DEX -132.7M -194.4M -72.9M -104.4M -81.3M Net VEX -842.2K -940.6K -737.1K -738.8K -737.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.07 2.18 0.15 0.75 Total Volume 33,391.261 7,945 123,950 39,064 13,867 Total OI 434,639.609 387,852 466,623 387,852 442,973
Daily Data (23 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 2021-03-01 $12.53 $10.00 46.9% 14.4% 45.6% 0.0% 55.1% -5.2% -18.3% 3.5M -104.4M -738.8K 0.15 64.62 N/A N/A 34,047 5,017 287,413 100,439 2021-03-02 $12.91 $11.00 43.5% 13.0% 43.5% 0.0% 46.9% -2.3% 0.9% 4.5M -125.5M -767.0K 0.09 58.35 N/A N/A 34,229 3,185 296,688 103,572 2021-03-03 $13.78 $12.00 54.3% 16.9% 46.0% 0.0% 61.0% -3.9% 2.5% 4.6M -178.8M -810.1K 0.07 13.17 N/A N/A 115,468 8,482 299,399 104,696 2021-03-04 $13.43 $10.00 50.5% 13.4% 47.3% 0.0% 50.2% -1.4% -6.8% 5.8M -158.2M -805.9K 0.10 20.22 N/A N/A 60,983 5,980 323,370 107,367 2021-03-05 $13.51 $11.00 52.5% 13.5% 47.0% 0.0% 49.8% -4.8% -5.6% 8.9M -135.0M -839.9K 0.12 11.12 N/A N/A 45,202 5,433 298,243 108,496 2021-03-08 $14.40 $11.00 51.0% 14.5% 48.7% 0.0% 52.0% -2.5% 0.2% 5.1M -194.4M -940.6K 0.48 17.95 N/A N/A 37,587 17,961 309,956 101,172 2021-03-09 $13.86 $12.00 48.1% 13.3% 51.3% 0.0% 48.4% 0.3% 0.4% 4.8M -151.4M -893.1K 0.24 18.21 N/A N/A 29,389 7,083 312,382 114,480 2021-03-10 $13.89 $12.00 44.3% 12.9% 51.2% 0.0% 52.8% -3.2% 0.6% 4.9M -152.2M -902.2K 1.19 7.08 N/A N/A 14,363 17,079 316,827 116,903 2021-03-11 $13.64 $12.00 43.7% 12.7% 51.4% 0.0% 45.6% -1.4% 2.7% 4.5M -133.1M -879.5K 0.15 6.29 N/A N/A 11,603 1,757 319,259 132,423 2021-03-12 $14.07 $12.00 42.8% 12.5% 41.9% 0.0% 46.5% 3.1% 3.2% 5.9M -166.5M -905.4K 0.09 9.76 N/A N/A 14,412 1,243 320,476 132,967 2021-03-15 $14.14 $12.00 43.9% 12.6% 41.6% 0.0% 46.8% -2.1% -1.0% 4.9M -163.3M -889.6K 0.15 7.94 N/A N/A 16,915 2,536 310,200 127,852 2021-03-16 $14.07 $12.00 40.4% 11.6% 41.8% 0.0% 47.7% -4.3% -0.0% 5.3M -158.3M -861.2K 2.17 21.57 N/A N/A 8,739 19,003 314,015 129,247 2021-03-17 $14.11 $12.00 38.9% 11.2% 41.8% 0.0% 40.5% -1.1% -0.5% 5.0M -156.4M -866.2K 0.33 39.41 N/A N/A 10,041 3,308 313,500 146,515 2021-03-18 $13.99 $12.00 39.8% 11.3% 41.9% 0.0% 40.6% -2.2% 0.7% 4.9M -146.5M -861.7K 1.63 18.83 N/A N/A 9,586 15,603 315,352 149,043 2021-03-19 $14.12 $12.00 39.7% 10.9% 41.8% 0.0% 39.7% -1.2% 1.2% 4.7M -160.1M -864.8K 0.22 32.77 N/A N/A 11,217 2,476 316,206 150,417 2021-03-22 $14.31 $12.00 43.9% 11.8% 41.7% 0.0% 43.3% -4.4% -2.4% 3.8M -147.8M -897.9K 0.11 46.33 N/A N/A 58,058 6,218 275,184 133,691 2021-03-23 $13.64 $12.00 38.0% 11.1% 46.1% 14.2% 42.4% -6.5% 1.4% 3.9M -118.0M -875.6K 0.26 44.29 N/A N/A 21,373 5,633 295,932 138,129 2021-03-24 $13.26 $12.00 39.8% 10.8% 47.3% 16.9% 40.4% -3.4% 0.8% 3.0M -85.6M -819.3K 0.43 49.89 N/A N/A 14,670 6,251 301,264 142,117 2021-03-25 $13.59 $12.00 44.8% 11.2% 47.0% 24.2% 41.5% 0.7% -2.7% 3.5M -107.6M -841.8K 0.17 55.77 N/A N/A 12,558 2,146 305,232 146,209 2021-03-26 $13.12 $12.00 39.2% 11.3% 49.2% 16.0% 41.0% 4.0% 6.1% 2.7M -72.9M -783.0K 0.40 44.56 N/A N/A 19,254 7,605 306,390 146,952 2021-03-29 $13.14 $12.00 43.3% 11.8% 48.7% 22.1% 43.1% 6.9% -2.9% 2.4M -74.3M -792.0K 2.18 21.52 N/A N/A 7,070 15,424 293,466 149,956 2021-03-30 $13.19 $12.00 38.6% 10.7% 47.6% 15.0% 39.7% -1.2% -17.3% 2.7M -81.2M -797.6K 0.30 25.74 N/A N/A 6,123 1,822 296,099 144,242 2021-03-31 $13.34 $12.00 34.5% 10.5% 41.4% 9.0% 36.7% 4.3% -7.5% 2.9M -81.3M -737.1K 0.75 30.14 N/A N/A 7,928 5,939 297,873 145,100
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