PL Options History — June 2007

In June 2007, PL traded between $47.62 and $49.49. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.6% (HV 20d: 16.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-06-19: Highest Volume — 2,885 contracts
  • 2007-06-14: Largest IV spike — 30.1% change
  • 2007-06-29: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.47$47.62$49.49$49.28$47.81
Max Pain$46.90$45.00$50.00$50.00$50.00
ATM IV24.2%14.9%34.0%19.7%34.0%
Expected Move7.3%4.9%9.8%5.6%9.8%
HV 20d16.6%13.2%23.8%23.5%15.2%
HV 60d18.1%17.7%18.6%17.7%18.2%
Term Structure-1.6%-6.9%2.1%-0.7%-6.9%
VWIV25.0%13.6%36.2%16.0%31.2%
Bid-Ask Spread %40.8216.3573.3916.3540.60
Gamma HHI0.810.690.900.830.78
Net GEX926.0K436.6K1.2M711.9K932.1K
Net DEX-8.0M-13.1M-3.9M-6.7M-6.7M
Net VEX-36.3K-45.4K-24.6K-28.6K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.007.740.000.49
Total Volume350.14362,88530151
Total OI6,083.4294,2717,6774,2717,677

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$49.28$50.0019.7%5.6%23.5%0.0%0.0%0.0%-0.7%711.9K-6.7M-28.6K0.0016.35N/AN/A3003,490781
2007-06-04$49.30$45.0020.5%4.9%23.5%0.0%16.0%0.0%1.8%787.9K-6.5M-27.6K0.0071.18N/AN/A7303,520781
2007-06-05$49.12$45.0020.4%5.1%23.5%0.0%17.8%0.0%1.3%774.6K-6.4M-27.7K0.0068.22N/AN/A603,540771
2007-06-06$48.57$45.0016.1%4.9%23.8%0.0%0.0%0.0%2.1%697.0K-5.1M-26.2K0.0023.70N/AN/A8103,531771
2007-06-07$47.62$45.0015.5%6.5%15.1%0.0%23.2%0.0%-1.4%436.6K-3.9M-24.6K0.0060.56N/AN/A1,07803,517771
2007-06-08$47.92$45.0014.9%7.0%14.7%0.0%24.4%0.0%-2.0%643.6K-5.7M-30.5K0.0125.60N/AN/A60434,413771
2007-06-11$47.97$45.0018.5%6.9%14.2%0.0%24.2%0.0%-1.7%792.8K-6.7M-32.9K0.0027.37N/AN/A53704,957771
2007-06-12$47.67$45.0021.6%6.9%13.2%0.0%24.3%0.0%-1.6%946.3K-6.0M-33.5K0.2049.76N/AN/A49105,478771
2007-06-13$48.28$45.0018.1%6.6%14.0%0.0%23.9%0.0%0.2%976.4K-8.1M-36.3K0.1341.49N/AN/A75105,474751
2007-06-14$48.50$45.0023.6%6.8%14.2%0.0%13.6%0.0%-0.6%1.1M-8.8M-36.7K0.0035.87N/AN/A5505,538756
2007-06-15$48.84$45.0023.8%6.8%14.1%0.0%23.0%0.0%-0.0%1.1M-10.1M-37.7K0.1236.57N/AN/A161205,565756
2007-06-18$48.68$45.0024.1%6.9%13.6%0.0%23.9%0.0%-0.0%1.1M-10.3M-37.7K4.0040.51N/AN/A10405,245385
2007-06-19$49.49$45.0027.5%7.9%15.1%0.0%30.2%0.0%-1.1%1.0M-12.1M-38.6K0.0231.55N/AN/A2,835505,245408
2007-06-20$48.86$45.0025.6%7.3%15.6%0.0%26.1%0.0%0.4%1.2M-11.6M-43.2K0.5273.39N/AN/A135706,554422
2007-06-21$49.30$50.0029.6%8.5%15.1%0.0%29.9%0.0%-3.7%1.2M-13.1M-44.8K1.2434.16N/AN/A2302856,617438
2007-06-22$48.45$50.0029.3%8.4%16.2%0.0%29.3%0.0%-3.8%1.1M-9.9M-45.4K0.0027.07N/AN/A12706,624703
2007-06-25$48.20$50.0031.3%9.0%15.7%0.0%22.9%0.0%-5.4%1.0M-9.0M-42.6K0.1344.63N/AN/A75106,646703
2007-06-26$47.85$50.0031.6%9.0%15.8%0.0%0.0%0.0%-4.0%982.2K-8.0M-41.1K7.7438.06N/AN/A312406,646713
2007-06-27$48.01$50.0032.0%9.2%15.9%0.0%36.2%0.0%-4.5%958.9K-7.0M-43.1K0.3642.88N/AN/A138506,644943
2007-06-28$48.05$50.0030.5%8.8%15.9%0.0%30.5%0.0%-2.9%1.0M-7.2M-42.1K0.0027.65N/AN/A8406,682983
2007-06-29$47.81$50.0034.0%9.8%15.2%0.0%31.2%0.0%-6.9%932.1K-6.7M-41.1K0.4940.60N/AN/A101506,694983