PL Options History — September 2008

In September 2008, PL traded between $25.75 and $37.10. ATM implied volatility averaged 58.6%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 26.7% (HV 20d: 85.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2008-09-15: Highest Volume — 666 contracts
  • 2008-09-09: Largest IV spike — 67.8% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 35.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.80$25.75$37.10$37.08$28.51
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV58.6%20.0%122.7%24.0%87.1%
Expected Move16.9%6.9%35.2%6.9%25.0%
HV 20d85.4%27.6%165.9%49.9%165.9%
HV 60d62.4%38.9%101.5%38.9%101.5%
IV Rank53.4%0.0%100.0%3.8%65.3%
IV Percentile62.8%0.0%100.0%0.8%98.4%
Term Structure-15.8%-108.1%12.2%9.5%-32.7%
VWIV65.6%19.1%120.3%19.1%86.9%
Skew 25d7.0%-39.4%23.4%9.3%18.7%
Skew 10d15.3%-49.0%47.8%1.4%31.2%
Call IV 25d81.8%72.9%100.8%80.0%83.3%
Put IV 25d88.8%47.8%105.1%89.3%102.1%
Bid-Ask Spread %103.7964.65136.4695.6595.72
Gamma HHI0.360.250.520.380.30
Net GEX-40.1K-66.3K-11.4K-40.9K-37.5K
Net DEX1.3M-483.0K3.4M234.5K2.2M
Net VEX-10.5K-13.4K-4.6K-12.5K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.007.000.003.30
Total Volume79.3330666543
Total OI2,4752,3292,6692,4602,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$37.08$35.0024.0%6.9%49.9%3.8%19.1%0.0%9.5%-40.9K234.5K-12.5K0.0095.65N/AN/A501,0751,385
2008-09-03$37.10$35.0026.4%7.6%47.4%10.2%0.0%0.0%8.3%-36.3K230.5K-12.5K0.00102.02N/AN/A1001,0751,385
2008-09-04$36.12$35.0026.2%7.5%29.2%9.8%0.0%0.0%6.1%-48.2K382.7K-11.9K0.00105.38N/AN/A001,0801,385
2008-09-05$36.44$35.0028.7%8.5%28.3%16.7%28.6%0.0%2.7%-66.3K635.7K-11.8K2.0088.47N/AN/A10201,0801,385
2008-09-08$36.86$35.0020.0%7.0%27.6%0.0%0.0%0.0%12.2%-51.6K341.0K-11.4K0.0093.10N/AN/A001,0761,376
2008-09-09$35.44$35.0033.6%8.7%31.1%34.4%30.5%0.0%2.5%-61.5K689.0K-11.5K0.7189.44N/AN/A70501,0761,376
2008-09-10$36.25$35.0027.8%8.9%31.0%19.7%30.6%0.0%0.3%-53.6K497.6K-11.5K0.6078.59N/AN/A50301,1011,361
2008-09-11$36.05$35.0028.7%8.2%31.1%22.1%0.0%0.0%6.1%-61.1K756.0K-11.7K0.00126.81N/AN/A001,0821,381
2008-09-12$36.04$35.0028.7%8.2%30.3%22.1%27.0%0.0%6.5%-61.5K734.8K-11.6K0.00126.26N/AN/A0231,0821,381
2008-09-15$31.14$35.0045.7%13.1%60.1%65.1%48.0%0.0%-10.6%-36.9K2.4M-9.3K0.00105.35N/AN/A06661,0821,387
2008-09-16$28.68$35.0046.8%13.4%65.8%67.9%52.2%0.0%-3.9%-46.8K3.0M-7.7K0.27114.62N/AN/A115311,0821,511
2008-09-17$25.75$35.0077.5%22.2%74.4%100.0%89.4%9.3%-22.3%-24.8K3.4M-4.6K1.29118.99N/AN/A51661,1281,541
2008-09-18$28.01$35.0071.7%20.5%81.8%89.8%83.2%13.2%-32.1%-33.6K2.7M-7.1K7.0099.73N/AN/A10701,0931,437
2008-09-19$37.00$35.00104.1%29.9%131.3%100.0%120.3%0.0%-38.5%-11.4K-483.0K-13.4K1.00107.56N/AN/A551,1031,482
2008-09-22$30.37$35.0077.4%22.2%149.1%68.2%98.4%-1.4%-20.9%-30.5K1.6M-10.2K1.25128.43N/AN/A40509731,356
2008-09-23$31.12$35.0086.3%24.7%149.4%78.8%70.7%23.4%-16.8%-27.2K1.4M-10.8K1.11111.81N/AN/A45509681,381
2008-09-24$31.60$35.0093.8%26.9%149.6%87.7%91.8%12.8%-34.7%-28.4K1.3M-11.8K0.0064.65N/AN/A0359901,426
2008-09-25$31.89$35.0084.1%24.1%149.0%76.2%78.2%8.6%-26.4%-26.5K1.2M-11.5K0.5772.92N/AN/A70409901,461
2008-09-26$31.35$35.0090.2%25.9%148.8%83.5%95.5%17.9%-39.2%-40.4K1.7M-10.6K0.00117.53N/AN/A501,0001,481
2008-09-29$26.00$35.00122.7%35.2%161.8%100.0%0.0%-39.4%-108.1%-18.0K1.9M-9.0K0.00136.46N/AN/A011,0001,481
2008-09-30$28.51$35.0087.1%25.0%165.9%65.3%86.9%18.7%-32.7%-37.5K2.2M-8.6K3.3095.72N/AN/A10331,0001,480