PL Options History — March 2007

In March 2007, PL traded between $43.04 and $44.92. ATM implied volatility averaged 16.3%. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.1% (HV 20d: 19.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2007-03-21: Highest Volume — 30 contracts
  • 2007-03-06: Largest IV spike — 54.6% change
  • 2007-03-14: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.88$43.04$44.92$44.44$44.04
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV16.3%11.7%23.2%17.5%16.6%
Expected Move4.9%4.3%5.4%5.0%4.8%
HV 20d19.5%15.0%29.5%29.0%15.8%
HV 60d23.5%22.4%24.6%24.6%22.4%
Term Structure1.4%-0.7%4.8%-0.3%2.1%
VWIV17.0%15.5%18.7%18.7%15.5%
Bid-Ask Spread %34.8811.7396.9520.6915.17
Gamma HHI0.510.480.570.570.48
Net GEX69.4K50.2K94.5K74.6K77.1K
Net DEX-330.6K-659.3K-111.1K-487.6K-313.0K
Net VEX-3.3K-4.5K-2.5K-4.5K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.400.001.40
Total Volume7.40903000
Total OI730.909695776728776

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$44.44$45.0017.5%5.0%29.0%0.0%0.0%0.0%-0.3%74.6K-487.6K-4.5K0.0020.69N/AN/A0067454
2007-03-02$44.21$45.0016.8%4.8%28.0%0.0%0.0%0.0%-0.3%72.1K-420.0K-4.1K0.0022.01N/AN/A0067454
2007-03-05$43.46$45.0011.7%4.9%28.2%0.0%0.0%0.0%0.5%61.2K-235.6K-3.3K0.0046.13N/AN/A0067454
2007-03-06$44.24$45.0018.1%4.9%29.5%0.0%0.0%0.0%0.9%72.7K-436.4K-4.0K0.0043.15N/AN/A0067454
2007-03-07$43.67$45.0011.8%4.9%29.4%0.0%0.0%0.0%1.3%65.1K-279.1K-3.6K0.0084.42N/AN/A01067454
2007-03-08$43.78$45.0015.3%5.0%29.5%0.0%0.0%0.0%0.4%63.5K-282.5K-3.5K0.0021.18N/AN/A0067454
2007-03-09$43.75$45.0012.4%4.6%15.2%0.0%0.0%0.0%1.6%65.3K-254.9K-3.2K0.0047.15N/AN/A0067454
2007-03-12$43.94$45.0013.3%4.9%15.3%0.0%0.0%0.0%0.9%67.0K-277.6K-3.4K0.0029.81N/AN/A0067454
2007-03-13$43.14$45.0018.8%4.9%15.7%0.0%0.0%0.0%0.8%54.5K-129.7K-2.6K0.0049.43N/AN/A0067454
2007-03-14$43.09$45.0023.2%5.4%15.0%0.0%18.7%0.0%-0.7%52.9K-135.6K-2.6K0.0024.67N/AN/A0767454
2007-03-15$43.52$45.0017.3%5.0%15.6%0.0%0.0%0.0%0.7%61.9K-225.9K-3.0K0.0046.96N/AN/A0067448
2007-03-16$43.04$45.0017.2%4.9%15.9%0.0%0.0%0.0%0.6%50.2K-111.1K-2.5K0.0052.28N/AN/A0067448
2007-03-19$43.29$45.0018.5%5.3%16.1%0.0%0.0%0.0%1.1%54.2K-195.5K-2.6K0.0037.67N/AN/A0065738
2007-03-20$43.45$45.0017.4%5.0%16.1%0.0%0.0%0.0%0.5%58.5K-219.0K-2.6K0.0046.95N/AN/A10065738
2007-03-21$43.98$45.0017.0%4.9%16.9%0.0%0.0%0.0%3.0%71.0K-350.3K-3.2K0.0011.73N/AN/A30066738
2007-03-22$44.22$45.0016.7%4.8%16.3%0.0%16.7%0.0%1.7%76.5K-437.5K-3.4K0.0013.43N/AN/A0769438
2007-03-23$44.47$45.0015.2%4.4%16.3%0.0%0.0%0.0%3.1%84.6K-497.1K-3.5K0.0015.71N/AN/A5069438
2007-03-26$44.92$45.0015.5%4.4%16.7%0.0%15.5%0.0%4.8%94.5K-659.3K-4.0K0.5096.95N/AN/A201069438
2007-03-27$44.43$45.0015.2%4.3%15.7%0.0%0.0%0.0%4.7%92.3K-548.9K-3.7K1.0016.07N/AN/A101071148
2007-03-28$44.18$45.0017.7%5.1%15.9%0.0%0.0%0.0%1.4%80.7K-443.3K-3.5K0.0012.01N/AN/A20071358
2007-03-29$44.00$45.0016.4%4.7%15.9%0.0%0.0%0.0%2.6%77.4K-333.2K-3.0K1.4013.86N/AN/A101470158
2007-03-30$44.04$45.0016.6%4.8%15.8%0.0%0.0%0.0%2.1%77.1K-313.0K-3.1K0.0015.17N/AN/A0070472