PL Options History — August 2007

In August 2007, PL traded between $39.80 and $42.73. ATM implied volatility averaged 28.4%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.7% (HV 20d: 30.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-08-30: Highest Volume — 1,437 contracts
  • 2007-08-03: Largest IV drop — 37.9% change
  • 2007-08-01: Highest IV Rank — 62.4%
  • 2007-08-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.59$39.80$42.73$42.73$41.80
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV28.4%19.3%39.6%39.6%27.8%
Expected Move8.5%6.9%11.4%11.4%8.0%
HV 20d30.2%21.8%35.3%21.8%34.0%
HV 60d22.6%18.3%25.5%20.9%25.5%
IV Rank38.3%18.6%62.4%62.4%36.8%
IV Percentile75.3%40.8%96.6%96.6%69.5%
Term Structure0.7%-10.4%4.5%-10.4%4.5%
VWIV31.2%23.8%41.2%39.3%32.2%
Skew 25d-3.0%-7.6%1.4%-1.8%-1.5%
Skew 10d-8.2%-14.6%-0.1%-0.1%-3.7%
Call IV 25d31.4%26.5%33.2%31.3%29.3%
Put IV 25d28.4%24.4%30.5%29.5%27.8%
Bid-Ask Spread %51.0622.4796.3278.2444.16
Gamma HHI0.350.280.570.570.29
Net GEX26.6K-31.5K77.5K60.4K77.5K
Net DEX1.9M859.7K3.3M1.9M963.1K
Net VEX-10.8K-13.8K-4.7K-9.4K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.006.446.440.00
Total Volume131.73901,4373352
Total OI3,350.5652,7494,0573,1813,228

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$42.73$45.0039.6%11.4%21.8%62.4%39.3%0.0%-10.4%60.4K1.9M-9.4K6.4478.24N/AN/A452902,401780
2007-08-02$41.90$45.0038.7%11.1%22.4%60.5%41.2%0.0%-6.7%21.7K2.4M-10.6K0.2048.20N/AN/A80162,4461,070
2007-08-03$40.86$45.0024.0%6.9%22.7%28.7%23.9%0.0%1.5%-31.5K3.3M-4.7K0.5696.32N/AN/A36202,5111,086
2007-08-06$42.06$45.0025.9%7.8%26.2%32.7%0.0%0.0%-1.6%24.6K2.5M-9.2K0.0075.25N/AN/A002,5361,086
2007-08-07$41.27$45.0027.6%7.5%25.9%36.5%0.0%0.0%0.0%4.3K2.7M-8.6K0.0067.11N/AN/A502,5361,086
2007-08-08$41.22$45.0025.7%7.5%25.9%32.2%0.0%0.0%0.2%7.3K2.8M-7.2K0.0077.31N/AN/A22502,5411,086
2007-08-09$40.96$45.0026.4%7.8%25.5%33.8%0.0%0.0%-1.0%-1.1K2.8M-7.5K0.4822.47N/AN/A42202,6771,086
2007-08-10$41.14$45.0019.3%7.7%25.6%18.6%31.6%-1.8%0.2%11.4K2.6M-8.8K0.2432.44N/AN/A55132,6921,096
2007-08-13$42.16$45.0022.6%7.8%25.5%25.5%32.7%-6.2%0.1%23.1K2.2M-10.6K0.3444.61N/AN/A178612,6901,089
2007-08-14$39.99$45.0023.3%7.9%30.0%27.1%0.0%-1.5%1.4%1.9K2.8M-9.1K0.7341.09N/AN/A56412,8371,147
2007-08-15$39.80$45.0024.4%8.6%30.1%29.4%23.8%-2.0%0.9%4.9K2.7M-10.1K0.9162.33N/AN/A46422,8681,188
2007-08-16$40.46$45.0028.6%8.2%31.3%38.5%28.4%-7.6%4.5%13.2K2.0M-11.1K3.3347.72N/AN/A15502,9141,121
2007-08-17$42.08$45.0027.8%8.0%34.6%36.8%0.0%1.4%1.9%38.0K1.5M-12.2K2.6077.49N/AN/A10262,9261,131
2007-08-20$41.12$45.0030.3%8.7%35.0%42.3%0.0%-4.5%1.9%26.0K1.5M-12.0K0.0051.08N/AN/A101,7071,042
2007-08-21$41.67$45.0029.6%8.5%34.1%40.8%0.0%-2.9%2.6%32.9K1.3M-12.6K0.5030.27N/AN/A20101,7071,042
2007-08-22$42.58$45.0031.6%9.1%35.2%45.1%28.1%-3.9%2.0%49.5K956.7K-13.7K0.0040.32N/AN/A2001,7271,052
2007-08-23$42.40$45.0029.8%8.5%34.5%41.2%0.0%-3.2%2.6%44.8K1.1M-13.2K0.1245.62N/AN/A82101,7271,052
2007-08-24$42.69$45.0030.7%8.8%34.4%43.2%0.0%-3.6%1.3%53.8K921.7K-13.6K0.0029.14N/AN/A0151,7621,062
2007-08-27$42.72$45.0031.8%9.1%34.3%45.5%0.0%-2.6%1.1%55.8K859.7K-13.8K0.0034.44N/AN/A201,7621,062
2007-08-28$41.67$45.0029.6%8.5%35.2%40.7%32.2%-3.8%2.2%38.2K1.3M-12.6K1.3142.40N/AN/A16211,7621,062
2007-08-29$41.92$45.0030.1%8.6%35.3%41.8%0.0%-2.2%2.8%35.6K1.4M-12.3K0.0041.42N/AN/A2201,7461,083
2007-08-30$41.30$45.0029.2%8.4%35.0%39.8%0.0%-1.6%4.0%20.3K1.6M-11.4K0.0144.97N/AN/A1,422151,7681,083
2007-08-31$41.80$45.0027.8%8.0%34.0%36.8%0.0%-1.5%4.5%77.5K963.1K-13.8K0.0044.16N/AN/A202,1301,098