PL Options History — April 2007

In April 2007, PL traded between $44.19 and $47.65. ATM implied volatility averaged 22.7%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.7% (HV 20d: 14.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-04-25: Highest Volume — 2,051 contracts
  • 2007-04-23: Largest IV spike — 41.2% change
  • 2007-04-30: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.59$44.19$47.65$44.33$46.90
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.7%15.1%42.2%16.8%42.2%
Expected Move6.6%4.3%12.1%4.8%12.1%
HV 20d14.0%12.1%16.0%14.7%16.0%
HV 60d20.8%20.2%22.4%22.4%21.2%
Term Structure-1.7%-11.1%4.0%1.9%-11.1%
VWIV29.2%11.7%40.8%19.0%40.8%
Bid-Ask Spread %43.4413.7979.5416.2944.54
Gamma HHI0.610.480.940.480.65
Net GEX187.4K77.1K501.5K86.8K456.4K
Net DEX-1.8M-7.5M-300.2K-404.3K-5.4M
Net VEX-11.2K-44.4K-2.8K-3.4K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.002.780.001.97
Total Volume404.902,0510852
Total OI1,671.757765,8577765,857

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$44.33$45.0016.8%4.8%14.7%0.0%0.0%0.0%1.9%86.8K-404.3K-3.4K0.0016.29N/AN/A0070472
2007-04-03$45.02$45.0016.7%4.8%14.3%0.0%0.0%0.0%2.7%101.2K-639.1K-4.0K0.0014.98N/AN/A0070472
2007-04-04$44.53$45.0015.5%4.4%14.1%0.0%0.0%0.0%4.0%94.0K-430.1K-3.5K0.0017.67N/AN/A0070472
2007-04-05$44.57$45.0015.1%4.3%14.1%0.0%0.0%0.0%4.0%99.3K-459.0K-3.5K0.0015.36N/AN/A0070472
2007-04-09$44.52$45.0016.8%5.8%14.1%0.0%0.0%0.0%-1.4%98.3K-420.8K-3.4K0.0033.51N/AN/A0070472
2007-04-10$44.32$45.0016.5%5.7%14.1%0.0%0.0%0.0%-0.7%95.3K-357.3K-3.0K0.0033.46N/AN/A0070472
2007-04-11$44.19$45.0016.8%5.6%12.4%0.0%0.0%0.0%-1.1%93.2K-300.2K-2.8K0.0035.37N/AN/A0070472
2007-04-12$44.54$45.0020.0%5.7%12.6%0.0%0.0%0.0%-1.5%103.5K-387.7K-3.0K0.0030.56N/AN/A10070472
2007-04-13$45.03$45.0019.9%5.7%12.6%0.0%0.0%0.0%-1.5%128.8K-609.6K-3.3K0.0013.79N/AN/A0071472
2007-04-16$45.60$45.0019.0%5.4%12.3%0.0%19.0%0.0%-0.9%135.9K-917.2K-3.5K2.4063.56N/AN/A102471472
2007-04-17$45.46$45.0020.7%5.9%12.4%0.0%0.0%0.0%-2.5%154.3K-855.5K-3.7K0.0077.89N/AN/A0071192
2007-04-18$45.65$45.0020.1%5.8%12.4%0.0%0.0%0.0%-2.3%127.2K-954.2K-3.5K0.0052.69N/AN/A13071192
2007-04-19$45.41$45.0019.1%5.5%12.1%0.0%0.0%0.0%-1.0%172.6K-865.6K-3.4K0.0014.78N/AN/A5072492
2007-04-20$46.63$45.0018.6%5.3%15.0%0.0%11.7%0.0%-0.5%77.1K-1.3M-4.2K0.0058.12N/AN/A745071992
2007-04-23$46.20$45.0026.3%7.5%15.5%0.0%26.2%0.0%-4.0%92.5K-872.2K-5.5K0.0579.54N/AN/A1,2947078854
2007-04-24$46.82$45.0033.3%9.5%15.8%0.0%33.0%0.0%-5.7%265.8K-3.0M-16.4K0.1866.81N/AN/A1,1042001,97894
2007-04-25$47.01$45.0031.3%9.0%15.0%0.0%30.2%0.0%-3.5%365.9K-4.4M-24.9K0.3272.20N/AN/A1,5515002,939254
2007-04-26$47.65$45.0033.5%9.6%15.1%0.0%37.7%0.0%-3.3%501.5K-7.5M-41.2K1.0761.99N/AN/A6256684,268572
2007-04-27$47.38$45.0035.9%10.3%15.2%0.0%35.3%0.0%-5.2%498.3K-6.6M-44.4K2.7865.75N/AN/A1133144,5811,037
2007-04-30$46.90$45.0042.2%12.1%16.0%0.0%40.8%0.0%-11.1%456.4K-5.4M-43.1K1.9744.54N/AN/A2875654,6141,243