LUMN Options History — September 2021

In September 2021, LUMN traded between $11.93 and $13.22. ATM implied volatility averaged 32.2%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.0% (HV 20d: 34.2%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2021-09-27: Highest Volume — 58,514 contracts
  • 2021-09-20: Largest IV spike — 14.7% change
  • 2021-09-20: Highest IV Rank — 14.8%
  • 2021-09-20: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.59$11.93$13.22$12.12$12.47
Max Pain$13.90$12.00$14.00$12.00$14.00
ATM IV32.2%29.6%36.1%31.8%35.4%
Expected Move9.2%8.5%10.3%8.7%10.0%
HV 20d34.2%29.5%39.5%34.5%36.5%
HV 60d34.3%32.0%36.9%32.0%36.9%
IV Rank9.2%5.5%14.8%8.7%13.8%
IV Percentile19.9%4.4%41.4%16.3%39.3%
Term Structure-0.0%-3.5%2.4%0.1%2.3%
VWIV34.4%31.3%41.5%31.7%36.5%
Skew 25d3.0%-0.5%5.8%2.6%1.5%
Skew 10d8.4%-15.0%21.7%5.8%15.1%
Call IV 25d33.1%29.7%38.0%32.5%38.0%
Put IV 25d36.1%33.0%39.5%35.1%39.5%
Bid-Ask Spread %27.713.4567.1915.8248.16
Gamma HHI0.250.140.770.170.15
Net GEX1.9M-1.8M12.1M-280.9K925.7K
Net DEX7.2M-33.2M50.5M30.9M13.2M
Net VEX-596.3K-631.4K-545.5K-599.6K-615.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.041.500.690.33
Total Volume15,195.9054,85158,51411,00816,897
Total OI416,353.048385,793434,746418,254424,550

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$12.12$12.0031.8%8.7%34.5%8.7%31.7%2.6%0.1%-280.9K30.9M-599.6K0.6915.82N/AN/A6,5154,493240,587177,667
2021-09-02$12.34$14.0031.0%9.0%34.8%7.5%34.4%3.0%0.1%317.4K23.3M-609.3K1.5047.78N/AN/A3,4675,198244,842189,339
2021-09-03$12.11$14.0030.5%8.8%35.6%6.8%34.7%4.3%-0.0%-1.3M34.0M-609.9K1.063.84N/AN/A3,6363,838245,737189,009
2021-09-07$11.93$14.0031.9%9.0%35.7%8.7%34.6%2.8%-0.9%-1.8M50.5M-568.0K0.9452.10N/AN/A5,1544,831239,120183,647
2021-09-08$12.15$14.0031.2%8.9%36.2%7.8%32.8%1.1%0.1%-1.2M30.3M-607.6K1.4318.38N/AN/A4,7756,817241,825184,352
2021-09-09$12.41$14.0030.4%8.9%34.2%6.6%33.4%3.3%0.2%1.3M16.6M-586.2K0.694.13N/AN/A6,2494,342244,783183,854
2021-09-10$11.99$14.0030.9%9.0%35.4%7.4%33.6%1.5%0.9%-108.4K42.6M-545.5K1.0035.74N/AN/A6,3946,406247,477183,332
2021-09-13$12.57$14.0032.8%9.5%39.3%10.1%33.4%5.0%-0.4%1.7M6.7M-594.1K0.1719.75N/AN/A24,7184,298239,210171,865
2021-09-14$12.53$14.0032.7%9.4%39.2%10.0%36.0%4.7%0.1%1.9M9.7M-567.1K0.353.45N/AN/A3,5971,254241,134172,272
2021-09-15$12.72$14.0032.1%9.2%39.5%9.1%32.7%4.3%0.7%3.8M-8.3M-590.8K0.1952.13N/AN/A10,1531,971254,170175,135
2021-09-16$12.81$14.0031.2%9.0%36.3%7.8%36.6%5.8%-1.7%4.7M-17.8M-584.7K0.5033.90N/AN/A9,2994,629254,391175,413
2021-09-17$12.99$14.0031.5%9.2%34.1%8.2%32.1%4.4%-1.4%12.1M-33.2M-603.1K0.233.47N/AN/A17,2104,035257,509176,375
2021-09-20$12.73$14.0036.1%10.3%31.9%14.8%37.5%2.8%-0.6%1.1M3.7M-599.5K0.3636.66N/AN/A7,7962,805229,752156,041
2021-09-21$12.64$14.0033.6%9.5%32.0%11.2%35.7%2.8%0.3%1.2M10.9M-589.1K0.2748.53N/AN/A7,8782,099234,933158,402
2021-09-22$12.64$14.0031.7%9.1%31.3%8.5%32.8%3.0%0.7%1.2M8.8M-579.7K0.1314.07N/AN/A11,2491,452236,780159,891
2021-09-23$12.78$14.0030.9%8.7%31.3%7.4%31.4%3.5%0.5%1.5M-1.3M-608.1K0.194.93N/AN/A7,2011,399239,763161,389
2021-09-24$12.98$14.0029.6%8.5%31.0%5.5%31.3%3.3%0.7%5.7M-11.6M-607.4K0.217.95N/AN/A10,7562,215240,178161,879
2021-09-27$13.15$14.0033.4%9.6%30.4%10.9%35.3%0.0%-3.5%1.6M-17.3M-607.8K0.0467.19N/AN/A56,5171,997238,585160,310
2021-09-28$13.10$14.0034.3%10.2%30.5%12.3%41.5%-0.5%-0.9%1.8M-16.5M-618.0K1.4258.07N/AN/A11,77516,774242,634161,276
2021-09-29$13.22$14.0033.3%9.8%29.5%10.8%35.1%2.8%2.4%3.6M-24.5M-631.4K0.095.79N/AN/A6,421604261,317162,689
2021-09-30$12.47$14.0035.4%10.0%36.5%13.8%36.5%1.5%2.3%925.7K13.2M-615.2K0.3348.16N/AN/A12,7264,171261,092163,458