PL Options History — November 2007

In November 2007, PL traded between $39.82 and $45.02. ATM implied volatility averaged 35.5%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.7% (HV 20d: 33.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2007-11-07: Highest Volume — 390 contracts
  • 2007-11-15: Largest IV drop — 51.0% change
  • 2007-11-14: Highest IV Rank — 100.0%
  • 2007-11-02: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.11$39.82$45.02$40.77$41.38
Max Pain$42.62$40.00$45.00$40.00$45.00
ATM IV35.5%24.0%59.3%39.8%32.9%
Expected Move8.8%6.4%11.8%11.4%9.4%
HV 20d33.8%22.0%40.3%22.5%36.0%
HV 60d26.5%25.7%27.5%26.1%27.3%
IV Rank52.0%28.6%100.0%62.9%45.6%
IV Percentile81.8%48.1%100.0%97.6%81.3%
Term Structure-1.1%-8.8%3.0%-6.5%-1.1%
VWIV32.3%22.4%47.2%40.5%33.4%
Skew 25d1.3%-0.8%3.2%2.4%1.6%
Skew 10d2.0%-7.9%13.6%2.5%3.1%
Call IV 25d28.7%22.3%32.6%28.8%31.6%
Put IV 25d30.1%22.8%34.8%31.1%33.2%
Bid-Ask Spread %46.6723.6675.0423.6632.40
Gamma HHI0.470.280.750.460.31
Net GEX79.5K8.8K243.4K41.4K20.2K
Net DEX1.4M-66.2K2.1M1.8M1.9M
Net VEX-6.9K-8.7K-4.0K-4.6K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.003.750.310.00
Total Volume67.7620390850
Total OI1,889.9051,6632,2491,6631,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$40.77$40.0039.8%11.4%22.5%62.9%40.5%2.4%-6.5%41.4K1.8M-4.6K0.3123.66N/AN/A6520944719
2007-11-02$40.42$40.0041.1%11.8%22.0%65.6%47.2%2.6%-8.8%38.4K1.8M-4.3K0.0028.95N/AN/A301,009729
2007-11-05$39.82$40.0044.6%9.5%22.4%73.3%37.7%1.9%-3.6%40.8K1.8M-4.0K0.0045.90N/AN/A0631,012729
2007-11-06$40.08$40.0046.3%9.5%22.2%76.8%0.0%3.1%-3.4%41.3K1.9M-4.2K3.7546.54N/AN/A4151,012764
2007-11-07$42.81$40.0024.0%6.4%33.4%28.6%22.4%0.5%-0.6%133.8K1.4M-4.6K0.6769.57N/AN/A2331571,016764
2007-11-08$43.69$40.0030.3%6.7%34.2%42.3%23.4%0.1%-0.4%172.6K880.6K-7.3K1.3857.48N/AN/A39541,138859
2007-11-09$44.35$40.0029.9%6.8%34.6%41.4%0.0%-0.8%-0.3%217.2K451.2K-7.9K0.0059.57N/AN/A2101,161865
2007-11-12$45.02$40.0038.4%7.2%35.0%59.9%0.0%0.3%0.6%234.6K-66.2K-8.1K0.4261.74N/AN/A36151,181865
2007-11-13$44.90$40.0039.4%7.2%34.9%61.9%25.1%1.1%3.0%243.4K36.4K-8.4K0.3039.91N/AN/A50151,196870
2007-11-14$44.16$40.0059.3%7.7%35.5%100.0%26.7%0.1%1.4%171.5K333.2K-8.5K1.1344.38N/AN/A84951,199885
2007-11-15$43.57$45.0029.0%8.3%35.9%37.6%33.2%0.5%1.7%133.4K906.0K-8.7K1.7165.11N/AN/A42721,210970
2007-11-16$42.76$45.0028.0%8.0%36.2%35.4%33.0%-0.1%2.2%28.9K1.8M-7.6K0.9544.48N/AN/A21201,2381,011
2007-11-19$41.80$45.0033.2%9.5%37.0%46.1%0.0%0.6%-2.2%22.5K1.7M-7.1K0.0046.61N/AN/A025752924
2007-11-20$41.80$45.0032.3%9.2%36.5%44.3%0.0%2.7%-1.1%22.0K1.8M-6.9K2.9747.18N/AN/A35104752939
2007-11-21$40.72$45.0031.2%8.9%37.2%42.0%0.0%0.8%-0.8%13.5K2.0M-7.0K0.0075.04N/AN/A00777989
2007-11-23$40.89$45.0031.9%9.1%36.9%43.5%0.0%1.8%-0.2%12.6K2.0M-7.0K0.6449.59N/AN/A8152777989
2007-11-26$40.05$45.0033.6%9.6%37.5%47.1%0.0%2.2%-1.1%8.8K2.1M-7.5K0.0050.93N/AN/A008481,041
2007-11-27$40.98$45.0033.2%9.5%38.6%46.2%0.0%3.2%-0.8%16.5K2.0M-7.7K0.0037.17N/AN/A008481,041
2007-11-28$42.28$45.0032.8%9.4%40.3%45.5%32.7%1.8%-1.1%28.7K1.7M-8.2K0.0026.45N/AN/A108481,041
2007-11-29$42.04$45.0033.6%9.6%40.0%46.9%33.4%1.9%-1.1%27.3K1.7M-8.0K0.0027.48N/AN/A108471,041
2007-11-30$41.38$45.0032.9%9.4%36.0%45.6%0.0%1.6%-1.1%20.2K1.9M-7.7K0.0032.40N/AN/A008471,041