PL Options History — July 2008

In July 2008, PL traded between $33.28 and $37.99. ATM implied volatility averaged 34.6%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.0% (HV 20d: 32.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.07.

Notable Days

  • 2008-07-22: Highest Volume — 452 contracts
  • 2008-07-02: Largest IV spike — 37.2% change
  • 2008-07-09: Highest IV Rank — 56.3%
  • 2008-07-15: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.03$33.28$37.99$37.96$35.96
Max Pain$36.36$35.00$40.00$40.00$35.00
ATM IV34.6%26.1%41.9%26.1%34.2%
Expected Move9.5%7.1%11.0%7.5%9.8%
HV 20d32.6%22.9%40.4%25.9%40.3%
HV 60d27.4%23.4%30.7%23.5%30.7%
IV Rank38.0%16.7%56.3%16.7%37.0%
IV Percentile62.9%6.3%93.7%6.3%61.1%
Term Structure-3.0%-9.2%4.5%-1.2%-0.2%
VWIV33.7%21.4%44.8%26.9%36.6%
Bid-Ask Spread %74.7348.01108.1148.0149.86
Gamma HHI0.610.270.980.610.30
Net GEX-282.0K-1.9M3.8K-218.8K-21.4K
Net DEX2.1M367.9K6.0M2.0M725.7K
Net VEX-8.7K-12.5K-5.5K-10.0K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0016.000.000.31
Total Volume128.50452510
Total OI2,934.8641,2883,9993,5362,111

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$37.96$40.0026.1%7.5%25.9%16.7%0.0%0.0%-1.2%-218.8K2.0M-10.0K0.0048.01N/AN/A5101,0272,509
2008-07-02$37.47$40.0035.8%10.2%25.9%40.9%0.0%0.0%-9.2%-240.3K2.2M-10.1K0.0051.09N/AN/A201,0502,509
2008-07-03$37.13$40.0035.4%10.1%25.4%40.0%0.0%0.0%-3.1%-237.3K2.1M-9.3K0.0063.37N/AN/A001,0522,509
2008-07-07$36.82$40.0038.6%9.4%22.9%48.1%0.0%0.0%-3.6%-262.5K2.0M-7.6K0.0075.90N/AN/A001,0522,509
2008-07-08$37.99$40.0038.9%7.1%26.3%48.6%0.0%0.0%-0.1%-208.2K2.3M-8.7K0.0285.65N/AN/A13031,0522,509
2008-07-09$36.86$40.0041.9%8.3%27.7%56.3%26.9%0.0%4.5%-244.8K1.7M-7.6K0.4883.91N/AN/A152731,1822,512
2008-07-10$37.23$35.0031.1%8.9%27.5%29.2%21.4%0.0%-0.6%-279.7K2.0M-8.6K1.2574.44N/AN/A24301,1842,571
2008-07-11$35.74$35.0031.8%9.1%29.4%31.0%0.0%0.0%-3.0%-301.2K3.8M-8.9K0.0095.58N/AN/A01361,1962,580
2008-07-14$34.49$35.0033.7%9.7%29.6%35.8%33.7%0.0%-5.4%-356.6K4.9M-7.3K0.5867.29N/AN/A95551,1962,600
2008-07-15$33.28$35.0038.4%11.0%28.8%47.5%0.0%0.0%-8.1%-341.9K5.8M-6.7K0.2685.53N/AN/A50131,2742,605
2008-07-16$34.36$35.0031.8%9.1%32.6%31.0%44.8%0.0%-0.3%-496.6K6.0M-6.3K4.0381.52N/AN/A301211,3242,524
2008-07-17$35.42$35.0034.3%9.8%35.5%37.3%44.7%0.0%-4.6%-1.1M3.3M-7.3K0.7684.08N/AN/A105801,3542,645
2008-07-18$35.19$35.0035.0%10.0%34.9%39.0%35.0%0.0%-8.5%-1.9M3.2M-6.5K7.7678.75N/AN/A503881,3042,695
2008-07-21$35.00$35.0032.3%9.3%34.8%32.4%0.0%0.0%-0.6%-9.3K603.9K-5.5K1.6768.98N/AN/A3050703585
2008-07-22$36.03$35.0034.5%9.9%37.0%37.6%0.0%0.0%-6.2%-5.8K494.6K-6.1K1.3957.85N/AN/A189263733604
2008-07-23$36.83$35.0029.5%8.4%38.2%25.2%25.0%0.0%4.4%3.8K367.9K-9.4K0.33108.11N/AN/A4615915822
2008-07-24$35.79$35.0034.9%10.0%38.7%38.8%0.0%0.0%-8.1%-18419.4K-8.9K0.8699.68N/AN/A7060909837
2008-07-25$35.40$35.0034.8%10.0%37.8%38.6%0.0%0.0%-6.1%-5.7K550.9K-9.7K0.5575.34N/AN/A2011937877
2008-07-28$35.03$35.0035.4%10.2%37.5%40.0%35.4%0.0%-1.0%-9.2K701.5K-9.6K16.0070.59N/AN/A20320917881
2008-07-29$36.41$35.0036.5%10.5%40.4%42.8%0.0%0.0%-2.3%-21.3K747.0K-12.2K1.0064.05N/AN/A30309271,172
2008-07-30$36.25$35.0036.5%10.5%40.4%42.7%36.6%0.0%-2.3%-19.1K639.4K-12.5K0.3174.51N/AN/A65209111,202
2008-07-31$35.96$35.0034.2%9.8%40.3%37.0%0.0%0.0%-0.2%-21.4K725.7K-12.0K0.0049.86N/AN/A008891,222