PL Options History — December 2008

In December 2008, PL traded between $7.86 and $14.35. ATM implied volatility averaged 127.3%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 36.5%. IV traded below realized volatility by 20.1% (HV 20d: 147.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-12-19: Highest Volume — 991 contracts
  • 2008-12-03: Largest IV drop — 27.0% change
  • 2008-12-02: Highest IV Rank — 63.5%
  • 2008-12-02: Largest Expected Move — 45.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.81$7.86$14.35$7.86$14.35
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV127.3%88.4%158.2%155.9%88.4%
Expected Move36.5%25.4%45.4%44.7%25.4%
HV 20d147.4%94.6%186.9%184.1%94.6%
HV 60d218.2%211.5%226.1%222.3%211.5%
IV Rank49.3%31.4%63.5%62.4%31.4%
IV Percentile85.6%74.6%96.4%96.4%74.6%
Term Structure9.3%-2.7%28.3%8.6%17.6%
VWIV113.4%74.6%157.8%157.8%91.9%
Skew 25d26.7%-1.2%62.8%18.6%4.5%
Skew 10d61.4%5.1%106.8%53.4%5.1%
Call IV 25d112.9%87.8%141.8%141.8%87.8%
Put IV 25d139.5%92.3%160.4%160.4%92.3%
Bid-Ask Spread %62.8114.2990.5863.3214.29
Gamma HHI0.310.210.490.220.33
Net GEX-4.4K-11.6K5.5K-6.3K5.5K
Net DEX665.1K-1.8M1.7M1.6M-905.2K
Net VEX-5.5K-8.9K-3.4K-3.4K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0013.3313.330.01
Total Volume234.86439912075
Total OI5,560.1823,4747,1125,6564,710

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$7.86$12.50155.9%44.7%184.1%62.4%157.8%18.6%8.6%-6.3K1.6M-3.4K0.0063.32N/AN/A0202,5113,145
2008-12-02$8.74$12.50158.2%45.4%186.9%63.5%0.0%58.9%0.4%-8.1K1.4M-4.5K13.3390.58N/AN/A3402,5113,145
2008-12-03$8.92$12.50115.5%33.1%173.3%43.8%0.0%62.8%28.3%-8.8K1.5M-4.4K0.0086.83N/AN/A032,5143,175
2008-12-04$8.40$12.50144.5%41.4%173.6%57.2%0.0%17.7%6.6%-6.8K1.7M-3.4K0.0065.66N/AN/A3102,5143,178
2008-12-05$9.34$12.50125.0%37.3%168.4%48.2%108.0%38.2%20.0%-11.6K1.5M-4.4K0.7680.42N/AN/A1611232,5343,178
2008-12-08$9.93$12.50136.8%38.5%164.0%53.6%119.3%41.5%12.1%-11.5K1.4M-4.7K0.3359.85N/AN/A195652,6703,175
2008-12-09$9.42$12.50133.3%39.2%164.5%52.0%149.8%35.4%13.3%-9.6K1.3M-4.6K0.1483.70N/AN/A85122,7783,188
2008-12-10$9.60$12.50131.2%36.7%162.8%51.0%77.2%20.2%20.4%-9.7K1.5M-4.4K0.0033.22N/AN/A0282,7633,188
2008-12-11$9.42$12.50142.7%40.9%161.8%56.4%0.0%38.9%5.6%-9.4K1.4M-4.3K0.0077.14N/AN/A1902,7633,189
2008-12-12$9.96$12.50134.3%38.5%161.1%52.5%0.0%39.3%9.8%-10.1K1.6M-4.1K0.0054.38N/AN/A70102,7823,189
2008-12-15$9.43$12.50135.9%39.0%159.2%53.2%0.0%35.2%2.7%-1.0K1.5M-3.7K1.1752.78N/AN/A65763,4643,189
2008-12-16$10.53$12.50119.2%34.2%163.3%45.5%74.6%23.1%19.1%2.7K1.4M-3.9K2.8270.54N/AN/A11313,5193,238
2008-12-17$11.06$12.50136.1%39.0%162.3%53.3%0.0%43.3%4.9%-1.1K1.2M-4.2K0.1566.68N/AN/A199303,3943,252
2008-12-18$12.27$12.50117.7%33.7%145.9%44.9%120.7%19.1%9.7%-11.4K-133.5K-5.5K0.3667.68N/AN/A4631663,4153,282
2008-12-19$13.12$12.50122.6%35.2%125.2%47.1%123.3%31.3%10.6%-3.8K-1.8M-5.6K0.9545.64N/AN/A5084833,7003,412
2008-12-22$12.59$12.50122.4%35.1%125.5%47.0%120.2%13.2%2.2%1.1K-108.5K-5.4K1.1174.88N/AN/A4404902,0531,421
2008-12-23$12.09$12.50121.4%34.8%120.0%46.5%0.0%6.0%-2.7%718-253.2K-7.9K0.4574.05N/AN/A49222,4661,901
2008-12-24$12.45$12.50122.0%35.0%117.4%46.8%110.0%15.3%-1.9%643-224.5K-8.2K0.0074.82N/AN/A1002,5011,922
2008-12-26$12.60$12.50116.3%33.3%114.6%44.2%115.7%16.0%1.6%290-258.0K-8.2K1.2257.03N/AN/A60732,5011,922
2008-12-29$12.14$12.50122.1%35.0%115.7%46.9%120.8%-1.2%-0.5%49-185.2K-8.0K1.2548.74N/AN/A8102,5091,971
2008-12-30$13.58$12.50100.0%28.7%98.5%36.7%97.5%9.4%16.5%848-548.5K-8.5K0.7839.68N/AN/A2321802,5111,981
2008-12-31$14.35$12.5088.4%25.4%94.6%31.4%91.9%4.5%17.6%5.5K-905.2K-8.9K0.0114.29N/AN/A7412,6572,053