PL Options History — March 2009

In March 2009, PL traded between $2.92 and $6.32. ATM implied volatility averaged 165.0%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 46.2%. IV traded below realized volatility by 53.1% (HV 20d: 218.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 4.04.

Notable Days

  • 2009-03-13: Highest Volume — 2,336 contracts
  • 2009-03-27: Largest IV spike — 38.9% change
  • 2009-03-05: Highest IV Rank — 93.8%
  • 2009-03-05: Largest Expected Move — 64.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.58$2.92$6.32$3.42$5.25
Max Pain$8.86$7.50$10.00$7.50$7.50
ATM IV165.0%118.2%224.1%175.2%142.7%
Expected Move46.2%33.9%64.3%50.2%40.9%
HV 20d218.2%183.7%239.6%204.5%196.3%
HV 60d173.6%157.6%186.2%157.6%186.2%
IV Rank66.6%45.1%93.8%71.3%56.4%
IV Percentile87.9%59.9%99.6%96.4%77.4%
Term Structure-18.5%-55.1%21.6%2.3%-11.1%
VWIV145.2%105.8%173.7%146.8%108.8%
Skew 25d37.6%-30.0%97.9%13.8%42.9%
Skew 10d70.2%-35.4%172.6%6.8%57.5%
Call IV 25d138.5%84.9%191.7%185.8%95.7%
Put IV 25d176.1%131.1%211.9%199.6%138.6%
Bid-Ask Spread %61.0912.1993.5381.8533.99
Gamma HHI0.540.420.860.460.42
Net GEX-9.1K-47.1K-1.8K-3.4K-6.9K
Net DEX1.3M998.8K2.4M1.2M998.8K
Net VEX-3.1K-4.9K-688-2.0K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.040.0034.002.340.00
Total Volume411.545262,3361,43633
Total OI8,225.8646,47510,3417,3866,721

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$3.42$7.50175.2%50.2%204.5%71.3%0.0%13.8%2.3%-3.4K1.2M-2.0K2.3481.85N/AN/A4301,0062,9274,459
2009-03-03$3.12$7.50209.8%60.1%205.1%87.1%146.8%18.4%-55.1%-2.3K1.4M-6883.9774.82N/AN/A311233,3054,893
2009-03-04$3.50$7.50196.1%56.2%213.0%80.9%0.0%97.9%-45.6%-2.4K1.3M-2.3K0.3867.57N/AN/A112433,3354,752
2009-03-05$2.92$7.50224.1%64.3%218.6%93.8%173.7%10.1%-49.0%-2.2K1.2M-1.4K6.0979.46N/AN/A1701,0353,4254,740
2009-03-06$3.20$10.00174.3%48.4%220.8%70.9%0.0%-28.1%-39.3%-1.8K1.3M-1.4K0.4628.52N/AN/A26123,3064,843
2009-03-09$3.04$10.00193.6%50.2%219.0%79.7%169.4%-1.6%-36.8%-2.5K1.3M-1.6K0.3028.42N/AN/A2063,3305,051
2009-03-10$3.66$10.00192.6%40.1%227.9%79.3%0.0%50.9%21.6%-2.2K1.6M-1.7K34.0026.32N/AN/A1343,3305,057
2009-03-11$4.79$10.00169.7%46.4%239.6%68.7%159.8%50.5%-34.3%-7.7K1.3M-3.6K0.5390.37N/AN/A117623,3034,901
2009-03-12$4.79$10.00160.3%46.0%239.5%64.4%145.2%43.7%-38.5%-7.5K1.3M-3.6K0.5490.46N/AN/A65353,3714,940
2009-03-13$4.67$10.00150.1%43.0%239.2%59.7%0.0%47.8%-13.7%-7.7K1.3M-3.5K18.1593.53N/AN/A1222,2143,4114,975
2009-03-16$4.55$10.00144.3%41.4%236.0%57.1%124.9%56.1%-10.9%-22.4K1.8M-3.6K0.4653.56N/AN/A65303,5326,744
2009-03-17$4.65$10.00145.6%41.8%228.3%57.7%145.6%44.5%-22.8%-22.4K2.0M-3.4K0.6640.92N/AN/A82543,5586,761
2009-03-18$5.30$10.00132.1%37.9%231.1%51.5%0.0%39.2%21.5%-6.0K1.0M-3.4K0.0088.02N/AN/A15603,5326,769
2009-03-19$4.85$10.00155.4%44.6%228.0%62.2%130.2%54.5%-14.5%-47.1K1.7M-3.8K0.3189.09N/AN/A96303,5726,769
2009-03-20$4.60$10.00155.4%44.5%228.5%62.2%105.8%54.7%-32.8%-4.9K2.4M-3.2K17.9388.43N/AN/A821,4703,5936,739
2009-03-23$5.68$10.00169.5%48.6%226.9%68.7%141.9%93.6%-17.6%-8.3K1.2M-3.9K0.1468.48N/AN/A140202,6923,783
2009-03-24$5.53$7.50160.9%46.1%211.0%64.7%164.4%28.4%-12.8%-8.5K1.0M-4.0K0.2444.43N/AN/A4811152,8013,780
2009-03-25$5.79$7.50149.9%43.0%201.1%59.7%143.4%52.7%4.0%-7.9K1.1M-4.3K1.6850.52N/AN/A1192002,9383,865
2009-03-26$6.32$7.50118.2%33.9%201.8%45.1%173.6%48.6%0.3%-9.1K1.1M-4.9K0.5412.19N/AN/A56303,0273,985
2009-03-27$6.25$7.50164.3%47.1%183.7%66.3%127.6%38.0%-3.9%-9.6K1.0M-4.7K0.0055.76N/AN/A7003,0584,009
2009-03-30$4.97$7.50147.0%42.1%200.3%58.3%162.4%-30.0%-17.6%-6.8K1.0M-3.5K0.2057.21N/AN/A51103,0784,009
2009-03-31$5.25$7.50142.7%40.9%196.3%56.4%108.8%42.9%-11.1%-6.9K998.8K-3.3K0.0033.99N/AN/A3303,1223,599