PL Options History — April 2009

In April 2009, PL traded between $5.51 and $8.57. ATM implied volatility averaged 127.3%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 36.3%. IV traded below realized volatility by 20.6% (HV 20d: 147.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2009-04-13: Highest Volume — 933 contracts
  • 2009-04-03: Largest IV drop — 20.4% change
  • 2009-04-01: Highest IV Rank — 62.9%
  • 2009-04-01: Largest Expected Move — 45.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.36$5.51$8.57$5.51$8.57
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV127.3%113.4%156.9%156.9%132.7%
Expected Move36.3%31.3%45.0%45.0%38.0%
HV 20d147.9%106.8%193.7%193.7%106.8%
HV 60d184.6%180.4%187.8%186.5%180.5%
IV Rank49.3%42.9%62.9%62.9%51.7%
IV Percentile63.4%52.4%86.9%86.9%68.3%
Term Structure-11.2%-29.8%4.3%-17.8%-21.6%
VWIV118.5%98.9%140.3%128.7%140.3%
Skew 25d29.2%6.7%114.1%28.9%21.4%
Skew 10d76.0%14.6%144.5%50.2%66.4%
Call IV 25d102.2%90.2%137.3%109.8%92.6%
Put IV 25d131.4%105.1%251.4%138.7%114.0%
Bid-Ask Spread %61.1938.9278.6541.7473.93
Gamma HHI0.420.240.740.740.32
Net GEX-2.9K-6.2K1.1K-3.9K466
Net DEX440.8K-1.7K909.3K909.3K36.1K
Net VEX-4.9K-5.7K-3.1K-3.1K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.0012.720.000.00
Total Volume191.5241093316107
Total OI6,378.3334,4698,2356,7515,391

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$5.51$7.50156.9%45.0%193.7%62.9%0.0%28.9%-17.8%-3.9K909.3K-3.1K0.0041.74N/AN/A1603,1523,599
2009-04-02$5.93$7.50148.7%42.6%178.7%59.1%128.7%30.9%-0.5%-6.2K908.8K-4.0K0.1258.57N/AN/A242303,1623,599
2009-04-03$6.38$7.50118.4%32.3%178.0%45.2%115.0%114.1%3.4%-4.4K829.5K-4.1K0.1875.33N/AN/A111203,3943,629
2009-04-06$6.26$7.50114.8%31.3%176.3%43.5%122.7%24.8%-2.1%-4.5K834.1K-3.8K0.0772.10N/AN/A293203,4683,634
2009-04-07$5.99$7.50130.1%35.9%169.2%50.6%118.1%23.3%0.1%-4.8K851.1K-3.9K0.0068.34N/AN/A01103,6633,644
2009-04-08$6.21$7.50130.3%38.1%142.7%50.7%101.5%36.8%-16.5%-4.4K708.1K-4.2K0.1878.65N/AN/A56103,6633,744
2009-04-09$7.10$7.50115.6%33.1%148.9%43.9%111.6%6.7%-6.0%443587.2K-5.0K0.5259.00N/AN/A50263,7173,744
2009-04-13$7.26$7.50113.4%32.5%147.9%42.9%112.9%25.6%-5.8%-1.1K539.2K-5.2K12.7269.95N/AN/A688653,7163,719
2009-04-14$7.19$7.50136.2%39.0%147.3%53.4%136.3%8.2%-16.3%1.1K367.3K-5.2K0.1138.92N/AN/A246283,7393,700
2009-04-15$8.19$7.50131.8%37.8%152.2%51.3%119.5%21.8%-12.3%-3.6K99.3K-5.5K0.2863.71N/AN/A92263,7684,467
2009-04-16$8.46$7.50131.6%37.7%147.3%51.2%123.1%22.8%-29.8%-3.2K36.6K-5.4K0.1862.25N/AN/A167303,5704,243
2009-04-17$8.29$7.50123.1%35.3%142.3%47.4%0.0%26.0%-13.2%-2.1K-1.7K-5.6K0.4154.24N/AN/A61253,6234,263
2009-04-20$7.07$7.50127.9%36.7%154.7%49.5%128.3%26.9%-14.6%-2.2K358.0K-4.6K3.4143.51N/AN/A762591,9922,477
2009-04-21$7.93$7.50123.3%35.4%142.3%47.4%132.1%30.0%-14.8%-2.8K335.6K-5.2K4.1463.54N/AN/A873602,0132,624
2009-04-22$7.72$7.50121.0%34.7%142.3%46.4%98.9%26.9%4.3%-3.8K327.7K-5.3K0.2355.17N/AN/A88202,0882,967
2009-04-23$8.03$7.50122.0%35.0%142.2%46.8%128.6%28.1%-11.3%-3.7K312.7K-5.5K0.0050.92N/AN/A5402,1242,982
2009-04-24$7.96$7.50117.0%33.5%139.9%44.5%101.5%25.0%-5.3%-3.3K330.4K-5.3K0.0667.31N/AN/A7852,1312,982
2009-04-27$7.91$7.50123.4%35.4%139.8%47.5%0.0%32.0%-18.2%-3.3K354.5K-5.0K0.0060.81N/AN/A0102,1452,982
2009-04-28$8.03$7.50126.0%36.1%107.0%48.7%105.9%28.7%-10.3%-3.4K309.6K-5.1K0.0265.27N/AN/A18232,1452,982
2009-04-29$8.50$7.50129.4%37.1%107.0%50.2%109.0%24.6%-27.4%-1.5K224.3K-5.2K0.0061.77N/AN/A10102,3182,982
2009-04-30$8.57$7.50132.7%38.0%106.8%51.7%140.3%21.4%-21.6%46636.1K-5.7K0.0073.93N/AN/A10702,4092,982