PL Options History — April 2008

In April 2008, PL traded between $41.10 and $42.74. ATM implied volatility averaged 34.2%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.9% (HV 20d: 25.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2008-04-07: Highest Volume — 220 contracts
  • 2008-04-10: Largest IV spike — 62.3% change
  • 2008-04-29: Highest IV Rank — 62.5%
  • 2008-04-29: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.04$41.10$42.74$41.93$42.62
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV34.2%22.6%42.8%32.2%39.7%
Expected Move10.2%7.3%12.3%9.2%11.4%
HV 20d25.3%18.1%31.3%31.3%18.1%
HV 60d29.8%27.1%31.6%31.5%27.1%
IV Rank43.2%17.1%62.5%38.7%55.6%
IV Percentile65.0%13.5%93.3%54.8%90.1%
Term Structure-2.9%-13.2%7.9%7.9%-9.4%
VWIV34.8%30.4%41.6%32.3%39.6%
Bid-Ask Spread %59.1444.6988.5744.6964.22
Gamma HHI0.430.380.480.480.41
Net GEX-14.9K-47.8K24.3K-47.8K24.3K
Net DEX-462.8K-1.4M284.6K284.6K-1.0M
Net VEX-18.0K-19.9K-14.4K-18.1K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.500.630.09
Total Volume59.667022065117
Total OI3,698.193,2824,0583,4123,523

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$41.93$40.0032.2%9.2%31.3%38.7%32.3%0.0%7.9%-47.8K284.6K-18.1K0.6344.69N/AN/A40259402,472
2008-04-02$41.89$40.0032.0%9.2%31.3%38.2%30.7%0.0%5.6%-42.2K-1.4K-17.2K0.5086.89N/AN/A105529802,457
2008-04-03$41.48$40.0025.6%7.3%30.9%24.0%30.4%0.0%7.6%-43.8K6.7K-18.4K0.4488.57N/AN/A80351,0652,509
2008-04-07$42.08$40.0026.1%10.1%30.4%25.0%35.0%0.0%-2.0%-25.5K-506.5K-18.7K0.0048.27N/AN/A22001,2152,544
2008-04-08$41.77$40.0024.8%9.8%30.7%22.2%34.8%0.0%-1.7%-1.3K-665.9K-19.4K1.0047.62N/AN/A40401,4352,544
2008-04-09$41.58$40.0022.6%9.9%30.9%17.1%33.4%0.0%-0.9%-5.3K-515.7K-19.9K0.3347.20N/AN/A30101,4252,533
2008-04-10$41.87$40.0036.6%10.5%27.0%48.7%0.0%0.0%-2.9%-4.9K-519.6K-19.5K0.0048.30N/AN/A001,4252,543
2008-04-11$41.37$40.0034.5%9.9%27.2%44.0%0.0%0.0%-0.7%-9.0K-405.7K-19.7K0.0050.49N/AN/A0401,4252,543
2008-04-14$41.10$40.0034.4%9.9%27.4%43.7%0.0%0.0%-1.0%-22.3K-121.1K-19.4K0.0054.49N/AN/A801,4252,573
2008-04-15$41.46$40.0035.4%10.1%24.6%45.8%0.0%0.0%-2.0%-22.7K-220.9K-19.4K0.0051.16N/AN/A0101,4252,573
2008-04-16$42.46$40.0038.1%10.9%24.9%52.0%0.0%0.0%-4.6%-24.1K-912.6K-17.5K0.0058.00N/AN/A001,4252,583
2008-04-17$42.74$40.0030.2%8.7%21.7%34.2%0.0%0.0%1.3%-11.6K-1.1M-17.5K0.0061.32N/AN/A5001,4252,583
2008-04-18$42.52$40.0035.7%10.2%21.8%46.6%35.5%0.0%-3.6%-9.9K-1.4M-16.7K0.0060.00N/AN/A1001,4752,583
2008-04-21$42.47$40.0039.7%11.4%21.5%55.6%34.8%0.0%-7.2%-15.5K-332.0K-17.5K0.8958.22N/AN/A101901,0322,250
2008-04-22$41.86$40.0037.8%10.8%22.0%51.3%0.0%0.0%-5.4%-25.6K-151.8K-16.7K0.0059.63N/AN/A6501,0322,250
2008-04-23$41.70$40.0038.1%10.9%21.7%52.0%0.0%0.0%-7.3%-25.3K-154.0K-17.7K2.5062.75N/AN/A10251,1332,305
2008-04-24$42.71$40.0038.9%11.2%21.9%53.9%41.6%0.0%-10.3%-301-543.3K-18.7K0.0064.13N/AN/A0201,1432,330
2008-04-25$42.08$40.0037.4%10.7%22.3%50.4%0.0%0.0%-6.2%-6.8K-326.8K-17.7K0.0064.43N/AN/A3001,1432,350
2008-04-28$42.56$40.0035.4%10.2%21.4%46.0%0.0%0.0%-5.1%-676-449.8K-17.4K0.0060.00N/AN/A001,1732,350
2008-04-29$42.64$40.0042.8%12.3%21.4%62.5%0.0%0.0%-13.2%6.8K-683.6K-17.2K0.0061.55N/AN/A001,1732,350
2008-04-30$42.62$40.0039.7%11.4%18.1%55.6%39.6%0.0%-9.4%24.3K-1.0M-14.4K0.0964.22N/AN/A107101,1732,350