PL Options History — January 2007

In January 2007, PL traded between $47.95 and $50.35. ATM implied volatility averaged 18.2%. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.7% (HV 20d: 21.9%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 7.69.

Notable Days

  • 2007-01-18: Highest Volume — 520 contracts
  • 2007-01-05: Largest IV spike — 55.9% change
  • 2007-01-12: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.18$47.95$50.35$47.95$48.93
Max Pain$48.75$40.00$50.00$40.00$50.00
ATM IV18.2%10.8%21.2%12.3%19.5%
Expected Move5.3%3.1%6.1%3.5%5.6%
HV 20d21.9%20.8%23.2%23.2%20.8%
Term Structure-1.1%-3.6%7.2%6.5%-1.7%
VWIV19.1%11.4%21.2%18.0%19.4%
Bid-Ask Spread %79.6714.02106.09106.0914.02
Gamma HHI0.730.380.870.600.71
Net GEX36.3K8.8K67.8K45.2K39.4K
Net DEX-2.7M-4.3M-532.6K-3.7M-827.2K
Net VEX-4.7K-8.4K-936-1.1K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.690.00106.000.000.05
Total Volume73.90520022
Total OI979.48201,559939839

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$47.95$40.0012.3%3.5%0.0%0.0%0.0%0.0%6.5%45.2K-3.7M-1.1K0.00106.09N/AN/A0084891
2007-01-04$48.00$40.0010.8%3.1%0.0%0.0%0.0%0.0%7.2%39.5K-3.7M-1.0K0.00104.47N/AN/A15084891
2007-01-05$50.35$0.0016.8%5.3%0.0%0.0%0.0%0.0%-1.4%30.2K-4.2M-9360.0077.54N/AN/A0086391
2007-01-08$49.76$0.0017.4%5.2%0.0%0.0%18.0%0.0%-0.4%32.9K-4.1M-9420.1378.17N/AN/A8186391
2007-01-09$49.61$50.0016.5%5.3%0.0%0.0%18.4%0.0%-1.0%36.5K-4.1M-1.0K0.0085.05N/AN/A1087192
2007-01-10$49.67$0.0018.2%5.2%0.0%0.0%0.0%0.0%-0.8%35.3K-4.1M-9900.0083.04N/AN/A0587092
2007-01-11$49.95$0.0018.3%5.3%0.0%0.0%18.3%0.0%-1.0%37.9K-4.1M-1.0K0.2586.10N/AN/A401087097
2007-01-12$50.00$50.0021.2%6.1%0.0%0.0%21.2%0.0%-3.5%45.9K-4.2M-1.5K106.0093.77N/AN/A1106910107
2007-01-16$49.97$50.0020.5%5.9%0.0%0.0%20.5%0.0%-2.9%13.8K-3.9M-2.1K0.2885.54N/AN/A358100909213
2007-01-17$49.68$50.0020.6%5.9%0.0%0.0%20.6%0.0%-3.0%8.8K-3.6M-5.0K0.0084.91N/AN/A100981313
2007-01-18$49.70$50.0018.5%5.3%0.0%0.0%18.5%0.0%-1.2%16.8K-3.6M-5.0K0.0090.11N/AN/A5200991313
2007-01-19$49.65$50.0015.1%4.3%0.0%0.0%11.4%0.0%-1.5%67.8K-4.3M-8.4K0.0092.27N/AN/A2001,246313
2007-01-22$49.12$50.0019.8%5.7%0.0%0.0%19.8%0.0%-2.1%32.3K-896.0K-8.3K0.0088.64N/AN/A130598222
2007-01-23$48.54$50.0019.3%5.5%0.0%0.0%19.3%0.0%-1.3%38.3K-677.2K-8.1K0.00101.49N/AN/A012606222
2007-01-24$48.86$50.0019.8%5.7%0.0%0.0%0.0%0.0%-2.3%38.1K-804.8K-8.2K0.0096.62N/AN/A00606216
2007-01-25$48.19$50.0019.9%5.7%23.2%0.0%19.9%0.0%-2.4%43.7K-532.6K-8.0K0.0087.64N/AN/A0199606216
2007-01-26$48.30$50.0018.8%5.4%22.4%0.0%0.0%0.0%-1.6%42.7K-538.8K-7.9K0.0094.74N/AN/A50606216
2007-01-29$48.49$50.0021.1%6.1%21.8%0.0%21.1%0.0%-3.6%42.3K-626.2K-7.8K0.4227.55N/AN/A125611216
2007-01-30$48.96$50.0020.6%5.9%21.4%0.0%20.5%0.0%-3.0%37.9K-795.3K-8.0K0.5015.72N/AN/A105623211
2007-01-31$48.93$50.0019.5%5.6%20.8%0.0%19.4%0.0%-1.7%39.4K-827.2K-8.1K0.0514.02N/AN/A211633206