LUMN Options History — November 2021 In November 2021, LUMN traded between $12.06 and $14.34. ATM implied volatility averaged 36.0%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 9.0% (HV 20d: 45.0%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.43.
Notable Days 2021-11-24 : Highest Volume — 128,104 contracts2021-11-11 : Largest IV spike — 47.4% change2021-11-11 : Highest IV Rank — 40.6%2021-11-03 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $13.51 $12.06 $14.34 $12.06 $12.43 Max Pain $13.00 $12.00 $14.00 $12.00 $14.00 ATM IV 36.0% 30.2% 54.2% 40.5% 35.6% Expected Move 10.0% 8.7% 14.1% 13.1% 11.0% HV 20d 45.0% 21.0% 55.0% 21.0% 55.0% HV 60d 37.3% 31.7% 39.6% 31.7% 39.6% IV Rank 14.6% 6.4% 40.6% 21.0% 14.1% IV Percentile 39.1% 7.1% 93.7% 69.0% 40.1% Term Structure -0.6% -5.7% 3.0% -1.6% 3.0% VWIV 36.1% 30.5% 50.5% 46.4% 40.8% Skew 25d 2.5% -7.0% 31.6% 31.6% 5.9% Skew 10d 18.2% -13.1% 136.6% 42.1% 5.8% Call IV 25d 35.0% 29.2% 46.6% 40.8% 37.6% Put IV 25d 37.5% 31.8% 72.4% 72.4% 43.5% Bid-Ask Spread % 52.26 12.18 86.61 33.17 12.18 Gamma HHI 0.22 0.12 0.33 0.13 0.17 Net GEX 2.4M 456.7K 4.1M 470.8K 456.7K Net DEX -50.7M -111.2M 19.2M 19.2M 4.5M Net VEX -649.4K -864.4K -539.5K -545.2K -769.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.02 1.91 0.57 0.38 Total Volume 34,128.714 13,825 128,104 16,461 24,546 Total OI 395,575 338,593 424,430 372,073 391,335
Daily Data (21 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 2021-11-01 $12.06 $12.00 40.5% 13.1% 21.0% 21.0% 46.4% 31.6% -1.6% 470.8K 19.2M -545.2K 0.57 33.17 N/A N/A 10,500 5,961 222,018 150,055 2021-11-02 $12.22 $12.00 43.5% 13.4% 21.8% 25.4% 48.5% 3.1% -5.7% 990.3K 6.8M -547.5K 1.91 56.45 N/A N/A 7,564 14,424 228,156 152,153 2021-11-03 $12.16 $12.00 44.2% 14.1% 21.5% 26.4% 50.5% -7.0% 1.8% 849.8K 13.3M -539.5K 0.74 86.61 N/A N/A 12,530 9,263 230,599 161,446 2021-11-04 $13.69 $13.00 35.0% 9.6% 47.9% 13.3% 34.1% -0.3% -4.9% 2.2M -88.2M -598.0K 0.19 67.61 N/A N/A 55,963 10,367 233,473 164,716 2021-11-05 $14.13 $13.00 34.7% 9.7% 48.2% 12.8% 34.5% 0.9% -3.0% 3.7M -111.2M -595.7K 0.52 61.57 N/A N/A 38,581 20,140 234,575 166,504 2021-11-08 $14.00 $13.00 33.8% 9.6% 47.6% 11.4% 34.0% 2.4% -1.0% 2.6M -69.1M -623.9K 0.55 64.07 N/A N/A 17,443 9,561 221,987 160,135 2021-11-09 $14.02 $13.00 46.2% 9.6% 47.2% 29.2% 32.5% -4.7% -3.4% 3.1M -72.5M -621.5K 0.37 69.15 N/A N/A 16,095 5,895 229,033 163,739 2021-11-10 $13.99 $13.00 36.8% 9.2% 47.3% 15.7% 33.5% 3.5% 1.3% 3.1M -75.2M -626.9K 0.25 62.03 N/A N/A 18,527 4,650 231,939 164,975 2021-11-11 $14.34 $13.00 54.2% 9.4% 47.7% 40.6% 32.6% -0.4% -0.6% 4.1M -102.4M -603.2K 0.87 51.69 N/A N/A 12,269 10,678 237,741 165,438 2021-11-12 $14.25 $13.00 30.2% 9.1% 47.8% 6.4% 32.6% 4.2% 1.9% 3.9M -93.8M -614.0K 0.47 51.51 N/A N/A 10,566 4,940 238,205 171,616 2021-11-15 $14.06 $13.00 31.0% 8.9% 48.3% 7.5% 31.5% 0.9% -1.0% 3.4M -73.0M -614.7K 0.37 67.79 N/A N/A 13,093 4,825 233,471 167,973 2021-11-16 $14.05 $13.00 30.8% 8.8% 48.4% 7.3% 33.4% -0.3% 2.9% 3.3M -73.9M -626.6K 0.49 39.46 N/A N/A 9,249 4,576 237,010 169,393 2021-11-17 $13.75 $13.00 31.9% 9.1% 48.5% 8.8% 32.7% 2.5% 0.6% 2.6M -50.8M -615.1K 0.26 74.07 N/A N/A 21,431 5,647 238,439 169,880 2021-11-18 $13.60 $13.00 32.3% 9.2% 48.5% 9.3% 35.0% 1.0% -0.6% 2.3M -47.4M -621.3K 0.20 50.86 N/A N/A 23,185 4,722 245,815 171,032 2021-11-19 $13.32 $13.00 31.3% 8.9% 49.3% 8.0% 32.8% 1.5% 0.6% 755.9K -24.5M -604.1K 0.27 39.14 N/A N/A 16,656 4,540 253,088 171,342 2021-11-22 $13.67 $13.00 31.1% 8.7% 49.0% 7.7% 30.9% 1.7% -0.3% 1.4M -31.7M -613.2K 0.07 70.08 N/A N/A 52,050 3,563 198,348 140,245 2021-11-23 $13.85 $13.00 31.1% 8.9% 49.0% 7.6% 30.7% 0.9% -0.5% 2.8M -65.7M -767.4K 0.06 17.62 N/A N/A 49,102 2,726 241,610 140,865 2021-11-24 $13.90 $13.00 32.4% 8.9% 47.6% 9.5% 30.5% 0.2% -0.5% 4.0M -87.3M -825.0K 0.02 20.46 N/A N/A 125,025 3,079 271,309 141,067 2021-11-26 $13.21 $14.00 35.2% 10.4% 51.9% 13.5% 44.6% 2.0% -2.8% 2.2M -27.1M -864.4K 0.24 42.83 N/A N/A 20,731 5,066 259,888 142,228 2021-11-29 $12.98 $14.00 34.0% 9.6% 52.5% 11.8% 36.5% 3.3% 1.9% 1.5M -15.1M -801.8K 0.25 59.12 N/A N/A 21,609 5,365 254,508 139,726 2021-11-30 $12.43 $14.00 35.6% 11.0% 55.0% 14.1% 40.8% 5.9% 3.0% 456.7K 4.5M -769.3K 0.38 12.18 N/A N/A 17,740 6,806 256,275 135,060
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