PL Options History — March 2008

In March 2008, PL traded between $37.43 and $40.57. ATM implied volatility averaged 35.7%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.4% (HV 20d: 31.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-03-25: Highest Volume — 250 contracts
  • 2008-03-26: Largest IV drop — 13.6% change
  • 2008-03-24: Highest IV Rank — 54.4%
  • 2008-03-24: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.90$37.43$40.57$38.02$40.56
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV35.7%31.7%39.2%36.6%34.4%
Expected Move10.4%9.1%11.2%10.5%9.9%
HV 20d31.3%27.1%34.7%29.8%30.2%
HV 60d29.6%27.8%30.9%28.4%30.8%
IV Rank47.8%40.3%54.4%52.0%43.7%
IV Percentile78.2%55.6%89.3%84.9%71.8%
Term Structure0.1%-3.9%12.2%-0.1%2.3%
VWIV39.0%32.9%46.6%46.6%32.9%
Bid-Ask Spread %63.5846.3080.8069.0880.80
Gamma HHI0.670.540.850.700.54
Net GEX-107.7K-128.8K-66.3K-120.3K-66.3K
Net DEX2.1M823.7K3.1M2.6M823.7K
Net VEX-21.0K-23.1K-18.7K-23.1K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.002.810.000.32
Total Volume30.20250100
Total OI3,378.653,1033,4743,4043,412

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$38.02$40.0036.6%10.5%29.8%52.0%0.0%0.0%-0.1%-120.3K2.6M-23.1K0.0069.08N/AN/A1008432,561
2008-03-04$38.50$40.0033.5%9.6%30.1%45.6%46.6%0.0%2.1%-118.5K2.3M-22.3K1.0064.81N/AN/A558332,561
2008-03-05$37.92$40.0035.8%10.2%29.4%50.2%0.0%0.0%2.9%-126.3K2.7M-22.8K0.0075.80N/AN/A2008292,556
2008-03-06$37.43$40.0031.7%9.1%29.7%41.8%0.0%0.0%12.2%-125.8K2.8M-22.3K0.0070.91N/AN/A008292,556
2008-03-07$37.52$40.0035.9%10.3%29.7%49.9%0.0%0.0%-2.3%-127.9K2.9M-21.8K0.0056.98N/AN/A008292,556
2008-03-10$37.62$40.0032.3%11.0%27.1%42.3%0.0%0.0%-3.9%-126.6K2.7M-21.4K0.0058.29N/AN/A008292,556
2008-03-11$39.37$40.0034.2%10.6%31.3%45.3%34.7%0.0%-2.2%-117.4K2.0M-21.3K2.8160.05N/AN/A26738292,556
2008-03-12$39.03$40.0033.5%10.3%30.6%41.7%0.0%0.0%-1.2%-114.2K1.9M-21.4K0.0058.77N/AN/A008532,559
2008-03-13$39.07$40.0036.2%10.4%30.2%47.7%0.0%0.0%-1.6%-119.5K2.2M-21.7K0.0060.33N/AN/A008532,559
2008-03-14$37.92$40.0037.6%10.8%31.8%50.8%0.0%0.0%-1.0%-116.7K2.6M-21.3K0.0067.12N/AN/A0208532,559
2008-03-17$37.53$40.0038.1%10.9%31.7%52.0%0.0%0.0%-1.5%-116.0K3.1M-21.1K0.0068.61N/AN/A008532,579
2008-03-18$39.01$40.0038.4%11.0%34.7%52.5%42.9%0.0%-2.9%-121.3K2.4M-21.1K2.6567.23N/AN/A20538532,579
2008-03-19$38.83$40.0038.8%11.1%33.3%53.6%0.0%0.0%-2.6%-114.1K2.2M-20.7K0.0054.71N/AN/A0108732,601
2008-03-20$39.39$40.0037.8%10.8%33.5%51.3%0.0%0.0%-1.9%-128.8K2.1M-20.5K0.0054.83N/AN/A058732,601
2008-03-24$39.99$40.0039.2%11.2%32.7%54.4%0.0%0.0%-0.3%-87.7K1.3M-19.6K0.0046.85N/AN/A2407122,391
2008-03-25$40.57$40.0038.1%10.9%32.8%52.0%38.1%0.0%-1.6%-84.4K1.2M-19.3K0.5746.30N/AN/A159917332,391
2008-03-26$39.88$40.0032.9%9.4%33.2%40.3%32.9%0.0%3.9%-78.0K1.1M-19.7K0.3266.37N/AN/A63208872,452
2008-03-27$39.47$40.0034.8%10.0%32.9%44.7%0.0%0.0%0.8%-77.6K1.2M-20.5K0.0066.55N/AN/A009402,472
2008-03-28$40.35$40.0034.7%9.9%31.8%44.3%0.0%0.0%1.7%-67.3K892.6K-20.2K0.0077.30N/AN/A009402,472
2008-03-31$40.56$40.0034.4%9.9%30.2%43.7%0.0%0.0%2.3%-66.3K823.7K-18.7K0.0080.80N/AN/A009402,472