PL Options History — February 2007

In February 2007, PL traded between $44.37 and $49.74. ATM implied volatility averaged 18.5%. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 6.8% (HV 20d: 25.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.23.

Notable Days

  • 2007-02-08: Highest Volume — 173 contracts
  • 2007-02-08: Largest IV drop — 23.0% change
  • 2007-02-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.46$44.37$49.74$49.70$44.41
Max Pain$45.42$45.00$50.00$50.00$45.00
ATM IV18.5%16.4%22.9%20.2%17.2%
Expected Move5.0%4.7%5.8%5.8%4.9%
HV 20d25.3%11.1%29.4%20.9%29.0%
Term Structure-0.4%-2.5%0.6%-2.5%0.0%
VWIV17.9%16.4%20.2%20.2%17.2%
Bid-Ask Spread %33.1910.88101.1115.0719.87
Gamma HHI0.600.450.800.740.58
Net GEX75.6K18.9K101.3K41.7K72.1K
Net DEX-498.0K-1.2M312.3K-1.2M-474.3K
Net VEX-6.1K-8.2K-4.3K-8.2K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.640.000.00
Total Volume27.89501731010
Total OI876.8957171,065858724

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$49.70$50.0020.2%5.8%20.9%0.0%20.2%0.0%-2.5%41.7K-1.2M-8.2K0.0015.07N/AN/A010652206
2007-02-02$49.74$0.0019.9%5.1%20.9%0.0%0.0%0.0%-1.3%36.3K-1.2M-8.1K0.0051.71N/AN/A037652206
2007-02-05$49.61$0.0022.6%4.9%11.9%0.0%0.0%0.0%-0.2%18.9K-1.1M-8.1K0.0014.06N/AN/A40652243
2007-02-06$49.70$0.0022.9%5.2%11.1%0.0%0.0%0.0%-1.1%19.7K-1.1M-8.1K0.0012.40N/AN/A140652243
2007-02-07$49.69$0.0022.7%5.1%11.1%0.0%0.0%0.0%-0.9%19.9K-1.1M-8.1K0.0011.78N/AN/A00666243
2007-02-08$46.14$0.0017.5%5.0%28.6%0.0%0.0%0.0%-0.2%82.2K273.9K-6.0K0.1954.10N/AN/A14528666243
2007-02-09$45.95$0.0017.7%5.1%28.3%0.0%0.0%0.0%-0.2%88.3K137.2K-6.0K0.0054.00N/AN/A510718271
2007-02-12$45.26$0.0017.8%5.1%28.5%0.0%17.8%0.0%-0.4%88.2K312.3K-5.3K0.4512.70N/AN/A115758271
2007-02-13$45.73$45.0018.0%5.2%29.0%0.0%18.0%0.0%-0.6%101.3K89.8K-6.1K0.3353.80N/AN/A3010769266
2007-02-14$45.38$45.0017.9%5.1%29.0%0.0%17.9%0.0%-0.5%99.6K219.4K-5.4K0.0010.88N/AN/A30789276
2007-02-15$45.15$45.0017.1%4.9%29.0%0.0%0.0%0.0%0.6%98.9K230.9K-5.5K0.0043.45N/AN/A00792271
2007-02-16$45.24$45.0017.5%5.0%29.0%0.0%0.0%0.0%-0.2%100.7K170.4K-5.4K0.0044.28N/AN/A02792271
2007-02-20$45.35$45.0017.6%5.0%29.1%0.0%0.0%0.0%0.0%99.8K-921.9K-5.6K0.0015.66N/AN/A0070116
2007-02-21$45.12$45.0017.7%5.1%28.9%0.0%0.0%0.0%-0.6%99.3K-794.6K-5.2K0.0013.51N/AN/A01070116
2007-02-22$45.69$45.0017.5%5.0%29.3%0.0%0.0%0.0%0.2%100.6K-965.1K-5.9K0.0017.67N/AN/A10070126
2007-02-23$45.35$45.0016.5%4.7%29.1%0.0%0.0%0.0%0.5%99.4K-830.2K-5.5K1.6419.32N/AN/A142370126
2007-02-26$45.23$45.0016.4%4.7%29.0%0.0%16.4%0.0%-0.3%95.1K-756.2K-5.2K0.1065.27N/AN/A1001071544
2007-02-27$44.37$45.0016.5%4.7%29.4%0.0%0.0%0.0%0.3%73.5K-481.5K-4.3K0.00101.11N/AN/A3066854
2007-02-28$44.41$45.0017.2%4.9%29.0%0.0%17.2%0.0%0.0%72.1K-474.3K-4.5K0.0019.87N/AN/A10067054