PL Options History — January 2009

In January 2009, PL traded between $8.28 and $16.77. ATM implied volatility averaged 131.3%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 38.8%. IV traded above realized volatility by 16.1% (HV 20d: 115.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 5.70.

Notable Days

  • 2009-01-23: Highest Volume — 3,096 contracts
  • 2009-01-15: Largest IV spike — 20.7% change
  • 2009-01-30: Highest IV Rank — 74.6%
  • 2009-01-30: Largest Expected Move — 52.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.92$8.28$16.77$14.58$8.28
Max Pain$11.88$10.00$15.00$12.50$10.00
ATM IV131.3%94.3%182.4%94.3%182.4%
Expected Move38.8%27.0%52.3%27.0%52.3%
HV 20d115.2%89.3%140.0%94.7%139.7%
HV 60d154.9%142.5%211.5%211.5%146.9%
IV Rank51.1%34.1%74.6%34.1%74.6%
IV Percentile85.7%74.6%97.6%76.2%97.6%
Term Structure-10.3%-56.4%11.7%7.7%-56.4%
VWIV137.8%94.6%176.4%94.6%153.8%
Skew 25d29.6%2.6%68.4%17.8%34.8%
Skew 10d70.3%14.4%133.1%14.4%106.4%
Call IV 25d115.5%85.2%142.1%85.2%140.4%
Put IV 25d145.1%102.9%190.3%102.9%175.2%
Bid-Ask Spread %61.4637.2486.3281.3186.32
Gamma HHI0.340.140.660.330.30
Net GEX-4.8K-32.5K8.2K6.4K-5.2K
Net DEX24.3K-1.5M1.3M-903.7K805.6K
Net VEX-8.7K-10.5K-6.5K-8.8K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.700.0250.002.9515.91
Total Volume528.3413,096320372
Total OI5,467.43,7417,2434,7226,099

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$14.58$12.5094.3%27.0%94.7%34.1%94.6%17.8%7.7%6.4K-903.7K-8.8K2.9581.31N/AN/A812392,6682,054
2009-01-05$14.84$10.0096.7%30.0%89.3%35.2%156.6%21.4%11.7%6.6K-938.0K-9.5K4.6237.24N/AN/A522402,7282,283
2009-01-06$16.77$10.00102.4%30.4%91.4%37.8%103.4%28.7%8.3%8.2K-1.5M-10.3K0.4266.61N/AN/A230962,7092,473
2009-01-07$14.80$15.00122.0%32.6%105.5%46.8%115.2%2.6%2.8%8.2K-1.1M-10.0K2.2247.98N/AN/A922042,8762,442
2009-01-08$15.18$15.00115.0%32.0%102.0%43.6%106.0%12.8%3.4%7.9K-1.1M-10.5K0.5761.26N/AN/A58332,8992,620
2009-01-09$14.25$15.00104.3%33.7%106.6%38.7%145.7%24.8%-8.9%4.8K-804.8K-9.9K0.0848.35N/AN/A149122,9512,633
2009-01-12$13.00$12.50108.4%38.5%113.0%40.6%0.0%14.5%-12.8%-15.0K-265.8K-9.1K4.2054.67N/AN/A502103,0492,642
2009-01-13$13.07$12.50102.0%35.7%112.1%37.6%112.3%22.9%-6.0%-30.4K-92.6K-9.1K1.8053.26N/AN/A1693043,0102,822
2009-01-14$12.18$12.50108.3%36.1%113.5%40.5%0.0%24.1%-1.9%-32.3K498.0K-9.0K50.0053.74N/AN/A21003,1583,118
2009-01-15$12.08$12.50130.6%37.4%107.6%50.8%130.9%28.0%-2.1%-32.5K641.4K-8.8K0.0256.97N/AN/A597103,1603,201
2009-01-16$11.34$12.50135.7%38.9%109.2%53.1%137.0%20.3%-3.3%2.9K1.3M-7.9K1.0558.59N/AN/A20213,3493,301
2009-01-20$9.66$12.50147.4%42.3%116.3%58.5%147.7%24.5%-8.3%1.3K182.0K-6.5K0.2263.56N/AN/A81181,9901,751
2009-01-21$10.64$12.50140.9%40.4%119.4%55.5%127.9%34.4%-12.5%1.8K178.2K-7.2K0.1260.89N/AN/A318372,0451,767
2009-01-22$9.35$12.50148.1%42.5%126.3%58.8%148.3%25.7%-20.3%1.6K281.0K-6.6K4.8137.77N/AN/A854092,2131,804
2009-01-23$9.44$10.00165.0%47.3%126.2%66.6%166.4%48.3%-19.0%-243368.5K-6.8K5.0973.56N/AN/A5082,5882,2452,021
2009-01-26$9.05$10.00171.5%49.2%125.6%69.6%176.4%53.3%-32.1%-15.2K1.2M-9.5K14.6376.73N/AN/A1472,1512,7284,515
2009-01-27$9.88$10.00154.3%44.2%130.6%61.7%162.1%46.0%-15.8%-5.3K655.1K-8.8K1.8777.18N/AN/A1142132,7573,178
2009-01-28$10.84$10.00144.6%41.5%135.4%57.2%152.4%39.2%-18.8%-3.5K372.6K-9.6K0.2251.85N/AN/A122272,8283,171
2009-01-29$9.13$10.00152.2%43.6%140.0%60.7%144.3%68.4%-21.1%-5.2K678.7K-8.1K3.2481.38N/AN/A963112,8923,198
2009-01-30$8.28$10.00182.4%52.3%139.7%74.6%153.8%34.8%-56.4%-5.2K805.6K-7.1K15.9186.32N/AN/A223502,9513,148