PL Options History — February 2008

In February 2008, PL traded between $37.33 and $40.91. ATM implied volatility averaged 39.7%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.8% (HV 20d: 32.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.46.

Notable Days

  • 2008-02-08: Highest Volume — 2,191 contracts
  • 2008-02-12: Largest IV drop — 44.3% change
  • 2008-02-11: Highest IV Rank — 100.0%
  • 2008-02-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.20$37.33$40.91$40.64$38.59
Max Pain$38.50$35.00$40.00$35.00$40.00
ATM IV39.7%33.0%59.5%45.7%34.6%
Expected Move10.9%9.5%13.1%13.1%9.9%
HV 20d32.8%28.4%36.1%33.6%31.0%
HV 60d28.1%27.1%30.6%30.5%28.4%
IV Rank58.6%44.5%100.0%71.3%47.9%
IV Percentile85.6%69.0%100.0%97.2%78.2%
Term Structure-1.3%-7.6%1.3%-7.6%1.3%
VWIV37.7%22.9%45.7%45.7%34.5%
Bid-Ask Spread %47.6326.5469.4161.5269.41
Gamma HHI0.550.300.750.310.68
Net GEX-62.5K-113.2K20.9K15.6K-113.2K
Net DEX1.2M-655.6K2.6M-541.5K2.2M
Net VEX-19.0K-25.0K-7.5K-8.2K-23.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0011.240.000.50
Total Volume150.702,19110160
Total OI2,702.41,2163,4041,2163,404

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$40.64$35.0045.7%13.1%33.6%71.3%45.7%0.0%-7.6%15.6K-541.5K-8.2K0.0061.52N/AN/A1010673543
2008-02-04$40.15$35.0049.7%11.6%33.8%79.8%0.0%0.0%-2.1%20.9K-655.6K-8.5K0.2532.01N/AN/A4010738543
2008-02-05$39.21$35.0047.0%11.7%34.8%74.1%40.6%0.0%-2.2%17.7K-371.6K-8.7K0.1226.54N/AN/A506768553
2008-02-06$38.98$35.0048.3%11.7%34.5%76.9%0.0%0.0%-2.0%14.9K-281.4K-8.2K0.0027.70N/AN/A00738559
2008-02-07$38.91$35.0045.2%11.7%33.6%70.3%43.2%0.0%-2.6%13.7K-185.7K-8.0K1.1633.88N/AN/A6778738559
2008-02-08$37.58$35.0041.8%10.9%35.2%63.2%38.5%0.0%-0.9%7.8K27.6K-7.5K11.2440.83N/AN/A1792,012716565
2008-02-11$37.33$40.0059.5%12.7%35.2%100.0%0.0%0.0%-3.2%-97.6K2.6M-24.8K0.0045.27N/AN/A007892,451
2008-02-12$38.19$40.0033.1%11.4%35.6%44.8%40.0%0.0%-1.0%-90.7K2.4M-25.0K0.1056.13N/AN/A1017892,451
2008-02-13$38.76$40.0033.2%10.4%36.0%44.9%36.4%0.0%0.8%-79.2K1.9M-24.8K9.5034.05N/AN/A10957892,450
2008-02-14$38.30$40.0038.0%10.9%36.1%55.1%0.0%0.0%-0.6%-92.3K2.1M-24.4K0.0034.66N/AN/A007992,531
2008-02-15$38.73$40.0035.4%10.1%34.8%49.5%0.0%0.0%0.7%-89.3K2.2M-24.8K0.0055.29N/AN/A007992,531
2008-02-19$38.55$40.0039.6%11.3%31.1%58.3%39.5%0.0%-2.3%-100.1K2.1M-24.0K5.0051.92N/AN/A10507572,477
2008-02-20$39.59$40.0036.1%10.3%32.4%51.0%22.9%0.0%-1.4%-99.9K1.8M-23.0K0.7553.70N/AN/A20157642,515
2008-02-21$39.09$40.0035.5%10.2%31.1%49.8%35.5%0.0%-1.3%-106.3K1.9M-23.3K0.2049.10N/AN/A1027642,530
2008-02-22$40.05$40.0035.3%10.1%30.2%49.3%0.0%0.0%-2.2%-99.6K1.7M-23.3K1.0063.37N/AN/A10107742,532
2008-02-25$40.62$40.0034.5%9.9%29.6%47.7%34.5%0.0%0.3%-93.7K1.4M-22.4K0.2056.97N/AN/A50107842,532
2008-02-26$40.31$40.0033.8%9.7%29.0%46.2%0.0%0.0%-0.4%-95.1K1.3M-22.4K6.9058.17N/AN/A10698332,542
2008-02-27$40.91$40.0034.2%9.8%28.4%47.0%0.0%0.0%-0.5%-86.9K1.1M-22.7K0.0050.93N/AN/A108432,541
2008-02-28$39.61$40.0033.0%9.5%30.7%44.5%0.0%0.0%0.6%-97.4K1.4M-22.2K2.5051.09N/AN/A8208432,541
2008-02-29$38.59$40.0034.6%9.9%31.0%47.9%0.0%0.0%1.3%-113.2K2.2M-23.0K0.5069.41N/AN/A40208432,561