PL Options History — November 2008

In November 2008, PL traded between $5.73 and $11.03. ATM implied volatility averaged 140.3%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 40.5%. IV traded below realized volatility by 56.1% (HV 20d: 196.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.37.

Notable Days

  • 2008-11-04: Highest Volume — 3,246 contracts
  • 2008-11-04: Largest IV drop — 42.0% change
  • 2008-11-03: Highest IV Rank — 92.5%
  • 2008-11-03: Largest Expected Move — 63.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.80$5.73$11.03$8.88$9.32
Max Pain$12.24$10.00$12.50$12.50$12.50
ATM IV140.3%117.1%221.4%221.4%126.4%
Expected Move40.5%35.6%63.5%63.5%36.2%
HV 20d196.4%153.3%306.9%295.3%184.6%
HV 60d209.8%198.2%220.4%198.2%220.4%
IV Rank55.2%44.6%92.5%92.5%48.8%
IV Percentile93.6%88.1%99.6%99.6%88.1%
Term Structure14.8%-0.6%51.8%51.8%16.6%
VWIV124.1%73.4%221.1%221.1%124.4%
Skew 25d39.3%1.7%95.3%42.3%58.0%
Skew 10d58.5%26.1%96.7%26.1%35.4%
Call IV 25d115.7%72.8%202.0%202.0%83.9%
Put IV 25d155.0%126.6%244.3%244.3%141.9%
Bid-Ask Spread %81.8128.7897.7774.8793.44
Gamma HHI0.320.220.570.480.34
Net GEX-8.5K-20.7K-2.3K-10.3K-9.1K
Net DEX1.8M1.3M2.4M1.8M1.3M
Net VEX-5.7K-9.0K-1.6K-7.6K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.006.670.280.00
Total Volume330.053183,24678160
Total OI6,414.3165,5737,0176,3945,617

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$8.88$12.50221.4%63.5%295.3%92.5%221.1%42.3%51.8%-10.3K1.8M-7.6K0.2874.87N/AN/A6091721,7804,614
2008-11-04$10.72$12.50128.4%36.8%306.9%49.8%126.6%36.8%-0.1%-20.7K2.4M-9.0K2.5028.78N/AN/A9282,3182,2914,726
2008-11-05$11.03$10.00134.8%38.7%294.1%52.7%129.5%41.3%-0.6%-9.1K1.6M-8.3K0.0688.51N/AN/A245152,5753,868
2008-11-06$9.32$10.00128.1%36.7%216.0%49.6%122.2%76.0%6.2%-7.2K1.7M-7.0K0.4297.77N/AN/A45192,6633,818
2008-11-07$10.52$12.50122.1%40.7%220.0%46.9%118.4%27.9%7.5%-8.0K1.8M-7.5K0.0166.81N/AN/A21222,6973,826
2008-11-10$10.13$12.50120.7%37.3%192.0%46.2%123.9%5.8%11.7%-9.4K1.8M-7.1K0.0076.68N/AN/A0182,5983,826
2008-11-11$9.44$12.50147.9%37.0%174.4%58.7%126.7%4.2%14.7%-8.3K1.9M-6.3K0.5468.02N/AN/A183982,5983,839
2008-11-12$8.98$12.50117.1%36.2%153.3%44.6%148.8%39.4%16.5%-7.7K1.9M-6.4K2.7774.09N/AN/A922552,7003,925
2008-11-13$9.64$12.50129.1%37.0%154.3%50.1%73.4%44.8%16.9%-11.2K2.0M-6.5K0.5870.91N/AN/A141822,7193,986
2008-11-14$8.85$12.50133.5%38.3%155.7%52.1%118.4%95.3%15.7%-8.0K1.6M-6.5K0.6994.29N/AN/A16112,7904,001
2008-11-17$8.66$12.50155.3%44.5%154.8%62.1%76.2%83.5%16.7%-9.4K1.9M-5.6K0.4588.10N/AN/A22102,7863,982
2008-11-18$8.23$12.50139.5%40.0%154.9%54.9%87.9%1.7%19.3%-7.8K2.3M-4.1K1.6791.91N/AN/A721202,7963,969
2008-11-19$6.81$12.50149.7%42.9%164.6%59.6%0.0%13.3%14.5%-6.5K1.9M-3.9K1.4691.66N/AN/A41602,8354,023
2008-11-20$5.73$12.50162.6%46.6%168.2%65.5%150.3%15.0%21.1%-2.3K1.9M-1.6K5.8592.82N/AN/A201172,8743,671
2008-11-21$6.41$12.50140.7%40.3%176.5%55.4%116.1%28.9%16.4%-4.1K1.9M-2.8K6.6788.20N/AN/A3202,8643,711
2008-11-24$7.46$12.50142.4%40.8%186.9%56.2%102.6%32.8%5.9%-6.3K1.7M-3.3K0.1293.42N/AN/A85102,3603,307
2008-11-25$8.17$12.50141.1%40.4%187.7%55.6%142.6%46.0%10.2%-7.5K1.8M-3.8K0.4784.10N/AN/A64302,4063,258
2008-11-26$8.94$12.50124.3%35.6%191.5%47.9%124.4%53.6%20.1%-8.2K1.4M-5.0K0.1589.94N/AN/A66102,4383,135
2008-11-28$9.32$12.50126.4%36.2%184.6%48.8%0.0%58.0%16.6%-9.1K1.3M-5.4K0.0093.44N/AN/A6002,4723,145