PL Options History — October 2008

In October 2008, PL traded between $8.35 and $28.88. ATM implied volatility averaged 142.9%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 35.6%. IV traded below realized volatility by 121.4% (HV 20d: 264.3%). Max pain ranged from $15.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 11.32.

Notable Days

  • 2008-10-30: Highest Volume — 3,484 contracts
  • 2008-10-30: Largest IV spike — 57.8% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-30: Largest Expected Move — 57.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.35$8.35$28.88$28.86$8.35
Max Pain$25.33$15.00$35.00$35.00$15.00
ATM IV142.9%86.8%237.7%87.4%166.8%
Expected Move35.6%19.8%57.9%25.0%47.8%
HV 20d264.3%165.9%322.1%166.1%294.6%
HV 60d167.1%101.1%197.7%101.2%197.7%
IV Rank67.5%46.0%100.0%65.6%67.4%
IV Percentile97.8%95.2%100.0%98.4%97.6%
Term Structure-11.1%-47.2%37.9%-30.1%37.9%
VWIV135.5%55.6%190.8%93.3%190.8%
Skew 25d18.5%-125.3%67.3%14.9%-125.3%
Skew 10d30.4%-142.8%122.9%21.2%-142.8%
Call IV 25d119.0%64.7%227.5%81.3%227.5%
Put IV 25d137.5%92.6%202.6%96.3%102.2%
Bid-Ask Spread %79.9057.38114.7377.8968.34
Gamma HHI0.230.130.400.300.40
Net GEX-10.5K-41.3K-465-39.3K-10.2K
Net DEX1.7M995.0K3.0M2.4M1.9M
Net VEX-3.7K-8.6K-1.0K-8.3K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.320.00145.000.751.17
Total Volume315.47803,484701,157
Total OI2,799.0432,4795,6662,5005,666

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$28.86$35.0087.4%25.0%166.1%65.6%0.0%14.9%-30.1%-39.3K2.4M-8.3K0.7577.89N/AN/A40301,0101,490
2008-10-02$28.88$35.0086.8%24.9%166.1%65.0%0.0%16.9%-16.6%-39.5K2.3M-8.5K10.3081.91N/AN/A101031,0201,490
2008-10-03$28.63$35.0087.3%25.0%165.9%65.5%93.3%28.6%-21.9%-41.3K2.4M-8.6K0.0080.96N/AN/A0561,0301,580
2008-10-06$24.41$35.0093.1%20.2%173.6%71.1%70.8%19.2%-17.1%-30.7K3.0M-5.2K13.0090.31N/AN/A1131,0301,590
2008-10-07$24.41$35.0092.6%20.2%173.6%70.7%0.0%22.1%-12.8%-30.1K2.9M-5.2K0.0061.51N/AN/A0731,0291,582
2008-10-08$18.40$35.00111.6%19.8%196.3%89.2%55.6%26.6%-4.5%-8.8K2.4M-2.4K145.0089.25N/AN/A11451,0291,450
2008-10-09$10.26$35.00172.8%39.2%276.3%100.0%0.0%-4.2%-47.2%-4651.4M-1.0K1.06114.73N/AN/A1401491,0281,473
2008-10-10$9.85$30.00237.7%29.2%275.5%100.0%98.5%-6.9%2.9%-1.6K1.3M-1.2K7.64107.67N/AN/A11841,1541,501
2008-10-13$13.19$30.00195.2%31.4%301.1%80.4%124.9%36.5%-8.5%-3.2K1.8M-1.4K0.8394.07N/AN/A99821,1571,439
2008-10-14$16.21$25.00189.9%35.6%313.2%78.0%157.8%36.2%-17.4%-5.1K1.9M-3.0K0.7963.28N/AN/A1701351,2461,482
2008-10-15$12.60$25.00187.3%46.7%322.1%76.8%185.1%67.3%-42.9%-3.3K1.6M-2.4K3.28100.63N/AN/A832721,3631,587
2008-10-16$11.61$25.00151.6%43.5%319.3%60.4%179.8%44.8%-27.8%-3.7K1.6M-2.4K1.6574.97N/AN/A55911,3691,778
2008-10-17$12.02$25.00153.8%44.1%297.7%61.4%153.5%64.1%-29.4%-3.9K1.6M-2.8K0.0078.94N/AN/A4001,4241,843
2008-10-20$12.37$25.00146.4%42.0%294.2%58.1%141.0%53.1%-16.0%-4.0K1.3M-3.1K0.0079.12N/AN/A4608661,636
2008-10-21$12.50$25.00138.5%39.7%293.8%54.4%131.4%48.7%-4.0%-3.8K1.3M-3.2K0.3657.38N/AN/A55209021,636
2008-10-22$11.46$22.50137.3%39.4%293.3%53.9%141.5%17.2%-0.3%-3.4K1.2M-3.1K0.3073.07N/AN/A118359571,636
2008-10-23$12.31$15.00136.5%39.1%295.8%53.5%0.0%13.8%-8.5%-2.4K1.2M-3.3K0.2473.00N/AN/A2151,0741,651
2008-10-24$12.03$15.00120.1%34.4%295.7%46.0%136.2%11.5%11.5%-2.5K1.2M-3.1K4.5372.60N/AN/A703171,0631,651
2008-10-27$11.12$15.00136.9%39.2%291.4%53.7%143.6%13.1%7.5%-1.1K1.1M-2.7K21.0075.46N/AN/A1211,0931,512
2008-10-28$12.06$15.00127.8%36.6%290.8%49.5%136.5%11.5%-4.2%-1.0K1.2M-2.7K2.8369.14N/AN/A6171,0941,513
2008-10-29$11.62$15.00127.9%36.7%290.0%49.5%0.0%-1.5%4.2%-1.1K1.2M-2.6K0.0080.03N/AN/A001,0971,530
2008-10-30$9.94$15.00201.8%57.9%292.1%83.5%163.9%17.3%-10.1%-1.3K995.0K-2.7K11.6773.35N/AN/A2753,2091,0971,530
2008-10-31$8.35$15.00166.8%47.8%294.6%67.4%190.8%-125.3%37.9%-10.2K1.9M-6.1K1.1768.34N/AN/A5336241,3344,332