PL Options History — October 2007

In October 2007, PL traded between $42.14 and $43.69. ATM implied volatility averaged 33.1%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 16.1% (HV 20d: 17.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.59.

Notable Days

  • 2007-10-04: Highest Volume — 840 contracts
  • 2007-10-11: Largest IV spike — 20.6% change
  • 2007-10-31: Highest IV Rank — 56.9%
  • 2007-10-31: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.09$42.14$43.69$42.93$42.87
Max Pain$44.57$40.00$45.00$45.00$40.00
ATM IV33.1%25.9%37.1%29.7%37.1%
Expected Move9.8%8.3%10.6%8.5%10.6%
HV 20d17.0%10.8%23.9%23.9%13.9%
HV 60d26.1%23.9%27.8%27.8%23.9%
IV Rank48.3%32.8%56.9%40.9%56.9%
IV Percentile83.9%56.7%94.7%74.3%94.7%
Term Structure-4.1%-7.4%5.1%2.1%-4.1%
VWIV34.2%29.0%36.0%29.8%35.0%
Skew 25d-0.5%-7.8%2.1%-1.7%1.7%
Skew 10d1.9%-5.1%6.5%3.1%6.5%
Call IV 25d28.1%24.2%31.5%30.1%28.5%
Put IV 25d27.6%19.4%30.8%28.4%30.2%
Bid-Ask Spread %34.1019.6767.3825.6126.53
Gamma HHI0.550.430.610.470.60
Net GEX100.6K76.0K135.7K84.6K99.9K
Net DEX1.1M605.4K1.4M1.4M1.3M
Net VEX-7.5K-9.7K-5.7K-8.0K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0020.000.000.00
Total Volume57.1308402710
Total OI2,5751,5593,1782,9211,653

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$42.93$45.0029.7%8.5%23.9%40.9%29.8%-1.7%2.1%84.6K1.4M-8.0K0.0025.61N/AN/A2701,982939
2007-10-02$43.06$45.0031.4%9.0%23.7%44.7%0.0%-4.0%0.4%90.5K1.3M-8.0K0.0052.71N/AN/A001,980939
2007-10-03$43.22$45.0031.3%9.0%22.2%44.4%0.0%0.7%0.7%96.7K1.1M-8.3K0.0024.85N/AN/A001,980939
2007-10-04$43.05$45.0029.0%8.3%21.7%39.4%29.0%-0.3%5.1%90.8K1.3M-7.6K0.0035.52N/AN/A84001,980939
2007-10-05$43.50$45.0027.2%9.7%20.9%35.6%0.0%-7.5%-5.8%110.3K607.5K-9.7K0.0026.51N/AN/A502,185939
2007-10-08$43.23$45.0028.6%10.1%21.2%38.6%35.1%-7.8%-7.0%106.9K695.7K-9.3K0.0024.62N/AN/A4102,185939
2007-10-09$43.64$45.0027.5%9.8%21.3%36.3%34.1%-5.0%-6.1%113.3K620.5K-9.1K0.0029.51N/AN/A10002,179939
2007-10-10$43.57$45.0025.9%9.8%21.0%32.8%0.0%-3.1%-5.9%117.0K659.5K-8.9K0.0030.92N/AN/A002,189939
2007-10-11$43.69$45.0031.3%9.0%20.9%44.3%0.0%-2.1%-4.4%135.7K605.4K-8.5K0.0067.38N/AN/A0202,189939
2007-10-12$43.64$45.0034.0%9.7%20.4%50.2%0.0%-2.5%-6.2%122.5K635.1K-8.7K0.0029.84N/AN/A0102,189949
2007-10-15$43.59$45.0034.9%10.0%19.5%52.2%34.8%1.5%-6.8%127.6K886.5K-7.6K5.0029.62N/AN/A2102,189959
2007-10-16$43.44$45.0035.1%10.1%13.9%52.7%0.0%2.1%-6.8%114.1K1.0M-7.4K0.0040.67N/AN/A002,189969
2007-10-17$43.35$45.0034.8%10.0%13.1%52.0%34.4%2.1%-6.4%109.6K1.1M-7.3K20.0037.63N/AN/A2402,189969
2007-10-18$43.28$45.0034.8%10.0%12.9%52.1%0.0%1.8%-7.1%104.6K1.1M-7.5K0.0041.51N/AN/A002,189989
2007-10-19$42.73$45.0035.2%10.1%12.2%52.8%0.0%1.8%-7.4%76.0K1.3M-6.9K0.0043.69N/AN/A002,189989
2007-10-22$42.97$45.0036.2%10.4%10.8%55.1%35.9%1.8%-3.6%85.7K1.1M-6.6K0.0249.15N/AN/A812867692
2007-10-23$43.62$45.0035.8%10.3%11.6%54.2%35.7%1.7%-3.8%92.7K839.3K-7.5K0.0037.62N/AN/A160914694
2007-10-24$42.90$45.0036.2%10.4%13.1%55.1%36.0%1.4%-3.6%86.7K1.1M-6.7K0.0036.83N/AN/A10916694
2007-10-25$42.20$45.0036.9%10.6%13.8%56.6%35.2%1.9%-5.0%85.0K1.4M-5.8K11.1719.67N/AN/A667917694
2007-10-26$42.14$45.0035.9%10.3%13.7%54.3%35.2%1.6%-3.7%84.9K1.4M-5.8K0.0021.62N/AN/A130923709
2007-10-29$42.24$45.0035.8%10.3%13.0%54.2%35.0%1.3%-4.3%88.3K1.4M-5.7K0.0025.92N/AN/A020933709
2007-10-30$42.27$40.0036.2%10.4%12.9%55.0%0.0%1.3%-4.5%90.1K1.4M-5.7K0.0026.31N/AN/A10933719
2007-10-31$42.87$40.0037.1%10.6%13.9%56.9%0.0%1.7%-4.1%99.9K1.3M-6.1K0.0026.53N/AN/A100934719