PL Options History — January 2008

In January 2008, PL traded between $36.82 and $41.13. ATM implied volatility averaged 37.4%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 13.1% (HV 20d: 24.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-01-23: Highest Volume — 319 contracts
  • 2008-01-23: Largest IV spike — 36.8% change
  • 2008-01-23: Highest IV Rank — 85.2%
  • 2008-01-23: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.43$36.82$41.13$40.46$39.66
Max Pain$37.14$35.00$45.00$45.00$35.00
ATM IV37.4%31.4%52.3%32.8%43.0%
Expected Move10.6%9.0%15.0%9.4%12.3%
HV 20d24.3%19.6%32.4%22.1%32.4%
HV 60d28.8%27.1%31.5%27.2%30.2%
IV Rank54.1%41.3%85.2%45.4%65.8%
IV Percentile83.8%65.1%99.2%78.5%96.0%
Term Structure-3.8%-7.3%-0.5%-0.5%-5.0%
VWIV48.1%32.8%59.8%32.8%52.4%
Skew 25d3.4%1.2%5.8%3.4%3.2%
Skew 10d5.1%2.3%9.1%3.7%7.0%
Call IV 25d28.0%26.2%30.2%26.2%29.3%
Put IV 25d31.4%29.0%34.4%29.6%32.5%
Bid-Ask Spread %52.0629.9580.9874.4766.44
Gamma HHI0.310.280.380.310.30
Net GEX-1.5K-10.9K15.9K-7.0K15.9K
Net DEX183.9K-391.8K859.1K280.3K-391.8K
Net VEX-4.8K-7.7K-3.2K-4.2K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.001.021.39
Total Volume57.6190319101241
Total OI1,173.6675751,3431,2531,145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$40.46$45.0032.8%9.4%22.1%45.4%32.8%3.4%-0.5%-7.0K280.3K-4.2K1.0274.47N/AN/A5051780473
2008-01-03$40.32$40.0032.8%9.4%21.7%45.4%0.0%2.9%-0.8%939195.7K-4.3K0.0075.34N/AN/A00822474
2008-01-04$40.07$0.0031.5%9.2%21.7%42.8%0.0%2.3%-3.6%-2.8K254.7K-4.3K0.0029.95N/AN/A00822474
2008-01-07$40.15$0.0033.3%9.1%19.6%45.4%0.0%3.2%-2.8%-2.7K230.7K-4.2K0.0032.64N/AN/A028822474
2008-01-08$39.59$0.0034.0%9.2%20.0%46.8%0.0%1.2%-3.7%-9.0K407.3K-4.2K0.0037.59N/AN/A04822502
2008-01-09$40.42$0.0034.5%9.2%21.6%47.8%0.0%5.8%-3.9%-3.9K257.8K-4.3K0.0034.62N/AN/A010822506
2008-01-10$40.81$0.0031.9%9.1%20.1%42.4%0.0%5.3%-3.5%-2.1K187.2K-4.3K0.0051.76N/AN/A00822506
2008-01-11$40.42$0.0031.5%9.0%20.3%41.5%0.0%3.2%-3.0%-4.0K235.1K-4.1K1.0034.27N/AN/A2020822506
2008-01-14$41.13$0.0032.6%9.3%21.4%43.8%0.0%0.0%-3.9%-2.9K102.3K-3.9K0.6354.88N/AN/A1610802506
2008-01-15$40.58$0.0032.3%9.3%19.9%43.3%0.0%0.0%-3.7%-4.3K171.0K-3.8K2.0037.47N/AN/A1020807506
2008-01-16$40.75$0.0031.9%9.2%19.9%42.5%0.0%0.0%-3.2%-3.2K119.0K-3.9K0.0043.22N/AN/A00817506
2008-01-17$39.49$0.0032.2%9.2%22.3%43.0%0.0%0.0%-3.9%-7.9K476.0K-3.6K0.0056.53N/AN/A020817506
2008-01-18$37.82$0.0031.4%9.0%26.8%41.3%0.0%0.0%-3.0%-10.9K859.1K-3.2K0.0052.28N/AN/A03817526
2008-01-22$37.80$0.0038.2%11.0%26.6%55.6%0.0%0.0%-2.4%-8.9K467.8K-3.2K0.1256.91N/AN/A8510261314
2008-01-23$36.82$0.0052.3%15.0%25.6%85.2%0.0%0.0%-6.6%-3.9K385.4K-3.9K0.5954.99N/AN/A200119321324
2008-01-24$38.05$0.0041.9%12.0%28.2%63.3%59.8%0.0%-2.1%5.2K-13.6K-6.5K0.0058.71N/AN/A050519420
2008-01-25$37.44$35.0049.5%14.2%28.4%79.4%48.9%0.0%-5.8%42467.9K-6.7K0.4850.90N/AN/A6431519470
2008-01-28$38.31$35.0044.8%12.8%29.9%69.4%48.9%0.0%-5.0%3.3K-21.4K-6.9K0.0052.07N/AN/A030579501
2008-01-29$39.18$35.0046.1%13.2%31.3%72.2%46.1%0.0%-6.1%6.4K-186.6K-7.4K0.0057.15N/AN/A550579511
2008-01-30$38.77$35.0047.0%13.5%31.4%74.1%0.0%0.0%-7.3%9.6K-221.2K-7.4K0.2680.98N/AN/A5013614511
2008-01-31$39.66$35.0043.0%12.3%32.4%65.8%52.4%0.0%-5.0%15.9K-391.8K-7.7K1.3966.44N/AN/A101140644501