PL Options History — May 2009

In May 2009, PL traded between $8.30 and $13.48. ATM implied volatility averaged 97.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded below realized volatility by 50.2% (HV 20d: 147.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2009-05-14: Highest Volume — 5,950 contracts
  • 2009-05-12: Largest IV spike — 29.5% change
  • 2009-05-01: Highest IV Rank — 48.5%
  • 2009-05-01: Largest Expected Move — 36.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$8.30$13.48$8.30$12.36
Max Pain$8.13$7.50$10.00$7.50$7.50
ATM IV97.0%81.0%125.6%125.6%83.3%
Expected Move27.4%23.7%36.0%36.0%23.9%
HV 20d147.2%106.6%175.1%106.6%164.0%
HV 60d174.5%156.3%184.0%180.6%156.3%
IV Rank35.4%28.0%48.5%48.5%29.1%
IV Percentile41.7%32.5%59.9%59.9%32.5%
Term Structure2.7%-16.3%38.7%-3.8%-4.0%
VWIV98.6%84.6%136.7%136.7%85.8%
Skew 25d20.2%9.6%29.8%28.7%20.2%
Skew 10d50.6%26.2%80.4%69.5%41.9%
Call IV 25d89.1%72.1%102.9%87.6%73.8%
Put IV 25d109.2%94.0%123.1%116.3%94.0%
Bid-Ask Spread %58.4236.3490.1876.6461.86
Gamma HHI0.280.230.330.320.29
Net GEX10.6K68226.9K68226.9K
Net DEX-2.5M-5.6M132.1K89.5K-5.6M
Net VEX-10.2K-14.2K-5.3K-5.3K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.032.320.250.07
Total Volume963.45665,95074749
Total OI9,068.55,45513,7025,45513,702

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$8.30$7.50125.6%36.0%106.6%48.5%136.7%28.7%-3.8%68289.5K-5.3K0.2576.64N/AN/A59152,4732,982
2009-05-04$9.96$7.50108.5%28.1%120.4%40.6%99.4%27.7%10.9%1.5K-354.8K-6.4K2.3268.10N/AN/A1653822,4892,997
2009-05-05$9.93$7.5097.6%28.4%119.8%35.6%112.8%24.6%5.9%1.8K-441.7K-6.8K0.7736.34N/AN/A1421092,5423,168
2009-05-06$10.96$7.50106.2%30.7%119.9%39.6%115.5%29.8%9.1%4.7K-903.1K-6.9K0.1250.72N/AN/A430512,5723,107
2009-05-07$11.53$7.5093.3%26.4%120.1%33.6%102.1%24.6%13.7%2.3K-1.2M-7.0K1.2050.14N/AN/A59712,5473,158
2009-05-08$13.48$10.0093.5%27.3%122.9%33.7%97.3%27.5%38.7%3.2K-1.8M-7.4K0.0670.93N/AN/A792502,5823,229
2009-05-11$12.16$10.0081.0%28.7%131.9%28.0%108.6%16.4%5.7%7.3K-1.7M-7.8K1.1154.04N/AN/A3173512,9663,264
2009-05-12$11.81$10.00104.8%26.1%132.8%38.9%87.9%12.5%21.0%7.2K-1.4M-8.6K0.0361.34N/AN/A896253,1693,570
2009-05-13$8.95$10.00118.3%26.7%164.8%45.1%98.9%12.7%8.4%783132.1K-6.7K0.2485.18N/AN/A6371502,9473,572
2009-05-14$9.23$10.0095.7%27.4%164.8%34.8%93.8%11.4%6.1%1.0K80.4K-7.2K0.3790.18N/AN/A4,3491,6013,0573,622
2009-05-15$10.99$7.50103.8%29.7%175.1%38.5%102.1%12.9%-13.6%16.7K-3.2M-11.7K1.4754.39N/AN/A7731,1356,3534,994
2009-05-18$12.06$7.5094.3%27.0%164.6%34.1%94.9%9.6%0.4%8.8K-3.9M-13.7K1.6468.02N/AN/A3044986,5114,831
2009-05-19$12.29$7.5094.8%27.2%161.3%34.3%89.4%15.4%-2.0%11.9K-4.3M-13.6K0.1865.94N/AN/A308566,6554,815
2009-05-20$11.81$7.5094.2%27.0%161.9%34.1%86.7%12.2%-10.9%13.8K-3.9M-14.0K0.1537.58N/AN/A2,3053496,8724,871
2009-05-21$12.06$7.5091.6%26.3%161.7%32.9%97.0%24.5%-5.8%18.9K-4.2M-14.2K0.3744.32N/AN/A2921077,1864,929
2009-05-22$12.02$7.5087.9%25.2%161.6%31.2%95.7%26.5%-3.3%19.2K-4.3M-14.1K0.0561.31N/AN/A6337,2864,975
2009-05-26$12.33$7.5088.1%25.2%161.3%31.2%89.0%21.1%-5.2%22.8K-4.5M-12.8K0.3048.40N/AN/A99307,3134,976
2009-05-27$11.58$7.5095.4%27.4%164.1%34.6%93.9%23.2%-16.3%18.9K-3.7M-12.7K0.3037.63N/AN/A3381007,3395,006
2009-05-28$12.24$7.5082.7%23.7%164.0%28.8%84.6%22.0%-2.1%23.9K-4.6M-13.5K0.1045.32N/AN/A1,012977,6625,081
2009-05-29$12.36$7.5083.3%23.9%164.0%29.1%85.8%20.2%-4.0%26.9K-5.6M-13.9K0.0761.86N/AN/A699508,5615,141