PL Options History — May 2007

In May 2007, PL traded between $47.18 and $50.83. ATM implied volatility averaged 27.0%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.9% (HV 20d: 21.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-05-09: Highest Volume — 4,231 contracts
  • 2007-05-08: Largest IV spike — 37.2% change
  • 2007-05-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.51$47.18$50.83$47.18$50.03
Max Pain$49.32$45.00$50.00$50.00$50.00
ATM IV27.0%18.5%57.0%57.0%20.3%
Expected Move7.3%5.3%16.3%16.3%5.8%
HV 20d21.1%14.6%24.3%16.0%22.7%
HV 60d18.6%15.0%21.4%21.3%17.6%
Term Structure-3.4%-23.4%5.0%-23.4%-1.5%
VWIV28.1%16.1%52.0%50.6%18.6%
Bid-Ask Spread %48.2727.0579.8279.8259.94
Gamma HHI0.750.510.900.650.81
Net GEX770.0K381.2K1.4M457.7K732.6K
Net DEX-9.4M-17.4M-5.5M-5.7M-8.1M
Net VEX-39.4K-51.4K-29.2K-45.3K-29.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.008.641.740.00
Total Volume594.77314,2316301
Total OI6,399.54,0988,6106,1654,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$47.18$50.0057.0%16.3%16.0%0.0%50.6%0.0%-23.4%457.7K-5.7M-45.3K1.7479.82N/AN/A2304004,7321,433
2007-05-02$47.64$45.0042.5%12.2%15.5%0.0%47.3%0.0%-9.4%449.1K-6.6M-46.8K1.4736.52N/AN/A4596754,8451,745
2007-05-03$47.89$45.0042.3%12.1%14.7%0.0%52.0%0.0%-9.0%465.5K-6.8M-50.2K8.6440.32N/AN/A1411,2185,0642,162
2007-05-04$48.03$45.0037.9%9.3%14.6%0.0%36.7%0.0%-5.3%403.9K-7.3M-51.4K0.6727.05N/AN/A3752535,1112,906
2007-05-07$47.79$50.0032.0%5.9%14.9%0.0%28.2%0.0%5.0%407.3K-6.6M-50.2K2.1378.80N/AN/A952025,4183,003
2007-05-08$47.62$50.0043.9%9.1%14.8%0.0%33.6%0.0%-4.0%381.2K-5.5M-49.9K0.5337.77N/AN/A163875,4663,135
2007-05-09$50.22$50.0027.7%6.7%22.8%0.0%23.6%0.0%-1.1%883.4K-13.3M-47.9K0.1838.10N/AN/A3,5876445,4673,143
2007-05-10$49.47$50.0024.4%7.0%24.0%0.0%24.4%0.0%-2.1%963.2K-11.6M-49.9K1.0930.65N/AN/A55605,4992,717
2007-05-11$49.92$50.0023.6%6.8%23.9%0.0%23.6%0.0%-1.7%1.1M-12.5M-49.1K0.3131.05N/AN/A64205,4912,687
2007-05-14$50.53$50.0020.5%5.9%23.9%0.0%20.5%0.0%-0.6%1.2M-14.7M-46.6K0.0679.77N/AN/A1,416805,4972,686
2007-05-15$50.83$50.0020.7%5.9%23.7%0.0%19.0%0.0%-3.0%1.4M-17.4M-47.9K0.0349.70N/AN/A1,734525,8852,676
2007-05-16$50.77$50.0021.4%6.1%23.8%0.0%21.4%0.0%-2.7%1.0M-11.8M-33.0K0.1927.39N/AN/A106204,1332,696
2007-05-17$50.17$50.0021.0%6.0%24.3%0.0%17.6%0.0%-2.5%1.2M-9.8M-31.6K0.0047.40N/AN/A13303,9562,681
2007-05-18$50.64$50.0019.6%5.6%23.1%0.0%19.5%0.0%-3.1%1.0M-11.2M-30.2K0.0853.97N/AN/A120103,9692,681
2007-05-21$50.59$50.0020.6%5.9%22.6%0.0%32.0%0.0%-2.0%639.0K-8.9M-29.7K0.2336.40N/AN/A219503,307791
2007-05-22$50.58$50.0019.4%5.6%22.4%0.0%21.9%0.0%-0.4%674.2K-9.2M-29.7K0.2545.86N/AN/A157403,402793
2007-05-23$49.77$50.0020.2%5.8%23.5%0.0%0.0%0.0%-1.8%671.4K-7.9M-30.2K0.0054.04N/AN/A7403,466793
2007-05-24$49.55$50.0020.3%5.8%23.3%0.0%0.0%0.0%-1.5%659.7K-7.4M-30.3K0.0052.68N/AN/A103,466793
2007-05-25$50.05$50.0018.5%5.3%23.3%0.0%16.1%0.0%-0.3%708.7K-8.2M-29.8K0.1153.54N/AN/A91103,467793
2007-05-29$50.00$50.0019.9%5.7%22.8%0.0%0.0%0.0%-0.8%714.0K-8.2M-29.6K0.0053.03N/AN/A2003,497783
2007-05-30$50.06$50.0020.7%5.9%22.8%0.0%18.6%0.0%-3.3%754.7K-8.1M-29.2K0.1548.05N/AN/A2033,495783
2007-05-31$50.03$50.0020.3%5.8%22.7%0.0%0.0%0.0%-1.5%732.6K-8.1M-29.2K0.0059.94N/AN/A103,495781