PL Options History — February 2009

In February 2009, PL traded between $3.78 and $9.32. ATM implied volatility averaged 149.4%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 41.5%. IV traded below realized volatility by 11.8% (HV 20d: 161.2%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.88.

Notable Days

  • 2009-02-24: Highest Volume — 1,243 contracts
  • 2009-02-11: Largest IV drop — 39.4% change
  • 2009-02-10: Highest IV Rank — 77.4%
  • 2009-02-25: Largest Expected Move — 53.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.27$3.78$9.32$8.00$3.78
Max Pain$9.87$7.50$12.50$10.00$7.50
ATM IV149.4%114.3%188.5%172.3%166.2%
Expected Move41.5%32.4%53.1%49.4%47.7%
HV 20d161.2%125.2%204.4%138.7%204.4%
HV 60d145.9%135.7%158.6%141.6%158.6%
IV Rank59.4%43.3%77.4%70.0%67.2%
IV Percentile87.6%69.4%98.0%96.8%94.8%
Term Structure-4.8%-39.2%16.9%-39.2%-2.2%
VWIV135.3%86.1%182.7%126.9%166.2%
Skew 25d14.6%-51.1%65.3%65.3%-51.1%
Skew 10d32.9%-53.5%118.6%118.6%-53.5%
Call IV 25d136.3%110.5%173.0%122.0%162.2%
Put IV 25d150.9%111.1%216.6%187.3%111.1%
Bid-Ask Spread %76.0630.02102.8286.2874.32
Gamma HHI0.480.270.810.310.44
Net GEX-6.1K-10.2K-2.8K-6.7K-3.4K
Net DEX1.3M835.5K1.7M1.1M1.3M
Net VEX-4.7K-7.5K-2.9K-6.0K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.880.0032.941.030.80
Total Volume280.10531,24312845
Total OI6,959.2115,7257,9816,0067,523

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$8.00$10.00172.3%49.4%138.7%70.0%126.9%65.3%-39.2%-6.7K1.1M-6.0K1.0386.28N/AN/A63652,9513,055
2009-02-03$7.76$10.00162.3%46.5%137.6%65.4%90.6%52.6%-28.1%-7.0K1.1M-5.9K0.0530.02N/AN/A3722,9873,110
2009-02-04$7.64$10.00158.8%45.5%125.2%63.7%153.2%47.1%-20.2%-7.0K1.1M-5.8K0.3385.67N/AN/A273903,0053,110
2009-02-05$8.13$10.00151.2%43.4%125.8%60.3%150.2%25.4%-15.0%-10.2K1.1M-6.2K0.0080.28N/AN/A0153,2473,200
2009-02-06$8.36$12.50148.0%38.8%126.0%58.8%132.8%49.6%0.5%-9.8K1.2M-6.2K0.0645.30N/AN/A10963,1993,215
2009-02-09$9.32$12.50148.0%36.3%134.4%58.8%154.8%25.4%-5.6%-7.8K856.8K-7.5K0.1145.31N/AN/A300333,3053,221
2009-02-10$7.20$10.00188.5%39.4%157.1%77.4%138.2%55.9%16.9%-5.2K1.1M-5.2K6.9551.08N/AN/A392713,4493,218
2009-02-11$7.25$10.00114.3%32.4%157.1%43.3%118.5%17.7%0.5%-9.1K1.6M-4.6K6.3164.31N/AN/A1308203,4523,465
2009-02-12$6.88$10.00124.0%35.5%156.6%47.8%114.7%16.4%-3.9%-8.8K1.6M-5.3K0.5371.15N/AN/A95503,5133,873
2009-02-13$6.07$10.00128.2%36.7%160.1%49.7%119.7%8.5%-4.2%-3.2K1.5M-4.4K8.6777.44N/AN/A706073,5883,843
2009-02-17$5.09$10.00142.4%40.8%167.6%56.2%0.0%5.2%5.0%-4.0K1.5M-4.0K1.0284.88N/AN/A51523,5844,317
2009-02-18$5.56$10.00129.1%37.0%167.2%50.1%0.0%19.0%16.6%-4.0K1.7M-3.9K0.0089.24N/AN/A4003,6354,331
2009-02-19$4.85$10.00140.7%40.3%164.7%55.4%86.1%-37.2%-8.2%-3.3K1.4M-3.9K4.0099.46N/AN/A5203,6504,331
2009-02-20$5.00$10.00130.2%37.3%162.8%50.6%137.1%9.7%15.1%-3.9K1.6M-3.4K0.0092.34N/AN/A033,6454,302
2009-02-23$4.05$10.00132.3%37.9%173.9%51.6%143.2%16.2%6.0%-2.8K835.5K-2.9K32.94102.82N/AN/A185932,5323,193
2009-02-24$5.16$10.00158.8%45.5%201.1%63.7%128.5%-15.5%2.8%-6.8K1.4M-3.3K2.4574.44N/AN/A3608832,5463,783
2009-02-25$4.35$7.50185.3%53.1%202.3%75.9%182.7%-19.8%-26.1%-6.2K1.3M-3.7K0.3094.95N/AN/A61182,8034,594
2009-02-26$4.67$7.50157.2%45.1%200.5%63.0%156.8%-12.7%-1.4%-6.5K1.4M-3.9K0.4895.91N/AN/A66322,8584,592
2009-02-27$3.78$7.50166.2%47.7%204.4%67.2%166.2%-51.1%-2.2%-3.4K1.3M-2.9K0.8074.32N/AN/A25202,9134,610