PL Options History — June 2008

In June 2008, PL traded between $38.05 and $42.43. ATM implied volatility averaged 28.8%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.1% (HV 20d: 24.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.53.

Notable Days

  • 2008-06-06: Highest Volume — 200 contracts
  • 2008-06-06: Largest IV spike — 20.4% change
  • 2008-06-10: Highest IV Rank — 39.3%
  • 2008-06-16: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.84$38.05$42.43$41.75$38.05
Max Pain$40.71$40.00$45.00$40.00$40.00
ATM IV28.8%23.2%32.4%30.8%27.8%
Expected Move8.1%6.6%9.2%8.8%8.0%
HV 20d24.7%21.6%27.4%24.5%26.2%
HV 60d24.4%23.5%26.3%25.4%23.5%
IV Rank26.7%16.1%39.3%35.5%21.1%
IV Percentile22.3%4.4%53.2%37.7%11.9%
Term Structure-0.9%-4.6%8.5%-3.0%-4.6%
VWIV26.9%19.9%33.0%21.1%33.0%
Bid-Ask Spread %64.0445.2383.5264.0562.79
Gamma HHI0.410.340.560.430.56
Net GEX-87.7K-187.1K-15.4K-46.4K-187.1K
Net DEX150.3K-756.7K1.8M-158.9K1.8M
Net VEX-10.8K-12.5K-8.3K-12.5K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.530.0029.000.1029.00
Total Volume48.2860200110
Total OI3,573.9523,4063,6883,4063,546

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$41.75$40.0030.8%8.8%24.5%35.5%21.1%0.0%-3.0%-46.4K-158.9K-12.5K0.1064.05N/AN/A1011,0362,370
2008-06-03$42.00$45.0030.4%8.7%24.6%34.6%0.0%0.0%-3.5%-35.7K-346.7K-12.1K0.0066.32N/AN/A001,0462,371
2008-06-04$42.06$45.0029.0%8.3%24.5%31.5%0.0%0.0%-2.8%-34.6K-400.4K-11.8K0.0048.03N/AN/A001,0462,371
2008-06-05$42.43$45.0023.2%6.6%24.5%18.5%0.0%0.0%8.5%-15.4K-756.7K-10.6K0.0045.23N/AN/A9501,0462,371
2008-06-06$40.93$40.0027.9%7.3%27.4%29.1%25.2%0.0%1.2%-60.1K-252.0K-10.9K0.0083.52N/AN/A02001,1202,371
2008-06-09$40.63$40.0030.9%7.9%21.6%35.8%19.9%0.0%-1.3%-107.1K388.8K-12.0K0.0458.25N/AN/A2611,1202,506
2008-06-10$40.88$40.0032.4%8.4%21.8%39.3%0.0%0.0%-2.5%-96.0K327.7K-12.2K0.0058.38N/AN/A001,1432,505
2008-06-11$40.02$40.0031.2%8.6%21.9%36.4%30.0%0.0%-4.4%-117.3K692.0K-12.4K0.0060.91N/AN/A0251,1432,505
2008-06-12$40.70$40.0027.9%8.0%22.7%23.7%27.9%0.0%-0.5%-101.2K265.7K-11.7K1.0062.69N/AN/A60601,1432,515
2008-06-13$41.46$40.0029.7%8.5%23.7%28.0%0.0%0.0%-2.5%-92.5K3.6K-11.1K2.0062.21N/AN/A10201,1332,525
2008-06-16$42.32$40.0031.9%9.2%24.7%33.4%30.7%0.0%-4.1%-42.1K-532.2K-10.6K0.4261.63N/AN/A59251,1432,545
2008-06-17$41.58$40.0025.8%7.4%25.6%16.1%26.0%0.0%-0.0%-45.7K-422.6K-9.3K2.0052.27N/AN/A40801,1042,550
2008-06-18$41.53$40.0027.0%7.7%25.5%19.1%0.0%0.0%-0.6%-61.0K-243.0K-9.6K0.3366.20N/AN/A30101,1142,569
2008-06-19$41.90$40.0028.9%8.3%25.7%23.7%0.0%0.0%-1.6%-75.2K-466.8K-8.3K0.0074.45N/AN/A001,1102,569
2008-06-20$41.15$40.0029.8%8.5%25.7%26.0%29.8%0.0%-2.4%-65.8K-155.1K-9.8K0.0077.69N/AN/A0101,1102,569
2008-06-23$40.52$40.0026.7%7.6%25.3%18.3%25.7%0.0%-0.5%-82.4K77.6K-9.0K3.6476.08N/AN/A11409802,539
2008-06-24$39.93$40.0027.8%8.0%25.1%20.9%0.0%0.0%4.0%-126.3K648.0K-9.8K0.3356.20N/AN/A61209902,549
2008-06-25$40.33$40.0029.3%8.4%24.8%24.7%0.0%0.0%-0.0%-111.7K217.9K-10.3K0.0079.51N/AN/A001,0312,529
2008-06-26$39.16$40.0027.9%8.0%26.7%21.3%0.0%0.0%0.7%-153.2K757.9K-10.6K0.0075.56N/AN/A001,0312,529
2008-06-27$38.40$40.0028.7%8.2%26.1%23.4%33.0%0.0%0.4%-185.5K1.7M-11.5K29.0052.98N/AN/A41161,0312,529
2008-06-30$38.05$40.0027.8%8.0%26.2%21.1%0.0%0.0%-4.6%-187.1K1.8M-10.6K0.0062.79N/AN/A001,0272,519