PL Options History — May 2008

In May 2008, PL traded between $40.81 and $43.69. ATM implied volatility averaged 31.2%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.8% (HV 20d: 23.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 2.93.

Notable Days

  • 2008-05-08: Highest Volume — 370 contracts
  • 2008-05-13: Largest IV spike — 42.9% change
  • 2008-05-05: Highest IV Rank — 58.4%
  • 2008-05-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.06$40.81$43.69$43.50$41.98
Max Pain$40.75$40.00$45.00$40.00$40.00
ATM IV31.2%25.7%40.9%35.6%30.1%
Expected Move8.7%7.8%10.6%10.2%8.6%
HV 20d23.4%18.4%26.2%19.4%25.8%
HV 60d26.8%25.5%27.8%27.3%25.5%
IV Rank36.5%24.1%58.4%46.4%34.1%
IV Percentile41.2%14.7%91.7%74.2%34.1%
Term Structure-2.6%-7.9%-0.5%-7.9%-2.7%
VWIV30.0%28.1%32.0%32.0%28.1%
Bid-Ask Spread %51.8634.5168.9262.3868.92
Gamma HHI0.410.340.460.420.43
Net GEX-29.6K-87.3K58.2K30.7K-31.8K
Net DEX-480.5K-1.5M125.2K-1.0M-339.6K
Net VEX-13.5K-15.8K-11.6K-15.8K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0023.506.431.05
Total Volume55037010420
Total OI3,574.23,3463,8693,5053,396

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$43.50$40.0035.6%10.2%19.4%46.4%0.0%0.0%-7.9%30.7K-1.0M-15.8K6.4362.38N/AN/A14901,1622,343
2008-05-02$43.65$40.0036.9%10.6%18.9%49.3%0.0%0.0%-7.1%43.7K-1.4M-14.9K0.0037.53N/AN/A001,1632,413
2008-05-05$43.29$45.0040.9%8.9%18.7%58.4%0.0%0.0%-2.9%37.5K-1.2M-14.3K0.0054.19N/AN/A001,1632,413
2008-05-06$43.67$45.0036.3%7.9%18.6%48.0%0.0%0.0%-0.6%53.4K-1.3M-13.7K0.0053.71N/AN/A1001,1632,413
2008-05-07$43.69$45.0038.6%9.1%18.4%53.2%32.0%0.0%-3.6%58.2K-1.5M-13.4K23.5056.50N/AN/A102351,1732,413
2008-05-08$41.61$40.0029.3%8.6%25.8%32.3%28.1%0.0%-4.1%-82.8K67.6K-13.5K0.4860.32N/AN/A2501201,1732,497
2008-05-09$41.56$40.0026.8%8.7%25.4%26.5%0.0%0.0%-1.1%-87.3K78.4K-15.5K0.0055.82N/AN/A5101,2562,573
2008-05-12$42.25$40.0025.7%9.1%25.9%24.1%0.0%0.0%-2.2%-55.6K-369.1K-14.1K0.0059.68N/AN/A2001,2862,573
2008-05-13$41.74$40.0036.7%8.3%26.2%48.8%0.0%0.0%-1.6%-59.3K-338.7K-13.6K0.6752.88N/AN/A30201,2962,573
2008-05-14$41.60$40.0026.0%8.2%24.7%24.9%0.0%0.0%-1.1%-58.5K-284.1K-13.5K0.0056.00N/AN/A01411,2722,554
2008-05-15$41.85$40.0031.2%8.9%24.6%36.4%0.0%0.0%-1.9%-47.3K-333.1K-13.9K0.0060.26N/AN/A001,2722,534
2008-05-16$41.75$40.0030.0%8.6%24.6%33.9%0.0%0.0%-1.9%-41.3K-413.0K-13.4K0.0060.40N/AN/A021,2722,534
2008-05-19$41.57$40.0029.4%8.4%24.6%32.5%0.0%0.0%-1.1%-36.8K-393.0K-12.4K0.0058.76N/AN/A1009772,369
2008-05-20$41.55$40.0029.0%8.3%24.1%31.6%0.0%0.0%-3.5%-49.1K42.9K-14.1K0.0060.39N/AN/A009872,369
2008-05-21$40.81$40.0027.1%7.8%24.9%27.3%0.0%0.0%-3.4%-67.1K58.2K-12.3K0.0635.49N/AN/A1719872,369
2008-05-22$41.60$40.0028.4%8.2%24.3%30.3%0.0%0.0%-0.5%-45.6K-311.1K-12.1K0.0036.48N/AN/A2009972,370
2008-05-23$40.87$40.0027.2%7.8%24.5%27.6%0.0%0.0%-0.6%-45.9K-325.9K-11.6K1.0537.15N/AN/A19201,0172,370
2008-05-27$41.45$40.0029.9%8.6%24.7%33.6%0.0%0.0%-2.0%-43.7K-410.1K-11.8K0.0034.51N/AN/A001,0362,360
2008-05-28$41.22$40.0029.0%8.3%24.8%31.6%0.0%0.0%-2.4%-64.1K125.2K-13.5K0.0035.83N/AN/A001,0362,360
2008-05-30$41.98$40.0030.1%8.6%25.8%34.1%0.0%0.0%-2.7%-31.8K-339.6K-13.0K0.0068.92N/AN/A0201,0362,360