PL Options History — July 2007

In July 2007, PL traded between $43.02 and $48.35. ATM implied volatility averaged 31.2%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 13.0% (HV 20d: 18.2%). 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 0 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2007-07-02: Highest Volume — 260 contracts
  • 2007-07-26: Largest IV spike — 14.8% change
  • 2007-07-30: Highest IV Rank — 59.2%
  • 2007-07-30: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.23$43.02$48.35$48.35$43.02
Max Pain$49.52$45.00$50.00$50.00$45.00
ATM IV31.2%27.7%38.1%31.6%37.9%
Expected Move8.9%8.0%10.9%9.1%10.9%
HV 20d18.2%14.0%22.6%15.9%21.8%
HV 60d19.4%18.4%20.9%18.4%20.9%
IV Rank44.3%36.7%59.2%42.2%58.8%
IV Percentile87.1%80.3%96.5%86.5%95.8%
Term Structure-4.5%-9.1%-1.2%-3.7%-9.0%
VWIV33.0%28.4%38.7%31.1%38.2%
Bid-Ask Spread %32.8716.7291.6960.0920.57
Gamma HHI0.720.430.870.810.65
Net GEX508.4K11.3K1.2M1.0M58.4K
Net DEX-1.6M-7.1M1.9M-7.1M1.9M
Net VEX-23.1K-41.7K-9.2K-41.7K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0031.000.040.15
Total Volume90.19826026076
Total OI6,165.5242,9677,8397,7623,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$48.35$50.0031.6%9.1%15.9%0.0%31.1%0.0%-3.7%1.0M-7.1M-41.7K0.0460.09N/AN/A250106,7291,033
2007-07-03$48.10$50.0030.0%8.6%15.9%0.0%30.4%0.0%-2.9%1.1M-6.3M-39.8K0.0091.69N/AN/A3906,7961,033
2007-07-05$47.86$50.0030.3%8.7%15.5%42.2%30.3%0.0%-2.1%1.0M-5.8M-37.3K0.0040.25N/AN/A4706,7961,033
2007-07-06$48.20$50.0027.7%8.0%14.0%36.7%0.0%0.0%-2.6%1.2M-5.8M-37.3K0.0025.95N/AN/A19006,7961,033
2007-07-09$47.90$50.0029.9%8.1%14.0%41.5%28.4%0.0%-2.4%1.1M-4.7M-33.9K0.0225.13N/AN/A9126,8061,033
2007-07-10$46.78$50.0027.9%8.2%16.3%37.1%30.4%0.0%-4.1%663.7K-1.4M-26.0K0.2519.12N/AN/A195486,7981,033
2007-07-11$46.60$50.0028.3%8.4%16.3%38.0%34.3%0.0%-4.1%297.4K46.8K-22.1K0.1521.86N/AN/A82126,7381,038
2007-07-12$46.90$50.0029.6%8.5%15.7%40.7%32.4%0.0%-4.6%795.5K-2.8M-28.0K0.0023.09N/AN/A5206,7241,050
2007-07-13$46.22$50.0028.5%8.2%16.2%38.3%0.0%0.0%-3.2%195.4K358.4K-19.8K0.0022.19N/AN/A6606,6961,050
2007-07-16$47.41$50.0030.1%8.6%18.7%41.8%38.7%0.0%-5.8%909.5K-3.7M-27.5K0.0025.93N/AN/A12006,6321,050
2007-07-17$47.66$50.0030.3%8.7%18.9%42.3%30.1%0.0%-5.2%1.0M-4.0M-27.4K0.0019.94N/AN/A1806,5561,050
2007-07-18$47.13$50.0029.4%8.4%18.0%40.4%31.1%0.0%-5.1%827.1K-3.1M-25.1K0.0931.97N/AN/A115106,5661,050
2007-07-19$47.01$50.0029.6%8.5%17.6%40.8%35.3%0.0%-4.3%144.9K-169.7K-19.2K0.0037.00N/AN/A6506,5511,050
2007-07-20$45.81$50.0029.1%8.3%19.0%39.7%29.6%0.0%-3.4%11.3K836.9K-16.5K1.2154.29N/AN/A871056,5411,050
2007-07-23$46.07$50.0029.8%8.6%18.5%41.3%0.0%0.0%-1.2%93.5K529.3K-16.2K1.3316.72N/AN/A12162,236731
2007-07-24$44.59$50.0030.0%8.6%21.4%41.7%0.0%0.0%-1.8%66.5K1.2M-13.2K0.0026.54N/AN/A1602,231739
2007-07-25$44.71$50.0032.3%9.2%21.5%46.5%32.3%0.0%-4.2%69.6K1.2M-13.0K0.5026.21N/AN/A20102,230739
2007-07-26$43.76$50.0037.0%10.6%22.3%56.8%37.4%0.0%-8.2%68.5K1.6M-11.7K31.0034.94N/AN/A1312,250749
2007-07-27$43.24$50.0037.5%10.8%22.3%57.9%37.4%0.0%-9.1%52.9K1.8M-10.2K0.0047.14N/AN/A10002,250770
2007-07-30$43.45$45.0038.1%10.9%22.6%59.2%38.2%0.0%-8.1%66.8K1.7M-11.1K0.3319.72N/AN/A622,350770
2007-07-31$43.02$45.0037.9%10.9%21.8%58.8%0.0%0.0%-9.0%58.4K1.9M-9.2K0.1520.57N/AN/A66102,350770