PL Options History — June 2009

In June 2009, PL traded between $10.64 and $13.06. ATM implied volatility averaged 73.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded below realized volatility by 22.0% (HV 20d: 95.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.39.

Notable Days

  • 2009-06-03: Highest Volume — 2,035 contracts
  • 2009-06-26: Largest IV drop — 30.2% change
  • 2009-06-05: Highest IV Rank — 29.0%
  • 2009-06-22: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.95$10.64$13.06$13.06$11.44
Max Pain$9.55$7.50$10.00$7.50$10.00
ATM IV73.3%48.1%83.1%79.0%52.7%
Expected Move20.9%13.8%23.6%22.6%15.1%
HV 20d95.3%56.5%163.4%163.4%56.6%
HV 60d132.6%116.3%150.6%150.6%116.3%
IV Rank24.5%12.9%29.0%27.1%15.0%
IV Percentile28.0%22.2%32.1%31.3%22.6%
Term Structure3.2%-3.3%12.0%-0.6%4.2%
VWIV73.6%48.4%101.2%73.6%50.0%
Skew 25d13.5%3.0%23.0%20.1%7.4%
Skew 10d28.4%-0.3%67.6%40.6%8.4%
Call IV 25d68.1%51.8%79.1%69.0%56.8%
Put IV 25d81.6%64.3%90.0%89.0%64.3%
Bid-Ask Spread %39.1720.1470.5452.6020.14
Gamma HHI0.370.270.510.370.30
Net GEX60.1K37.3K97.9K50.4K50.7K
Net DEX-5.0M-7.6M-1.6M-7.4M-1.8M
Net VEX-12.1K-14.7K-9.3K-14.1K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.390.0041.400.230.01
Total Volume310.682102,035365753
Total OI13,046.8189,46414,63014,34110,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$13.06$7.5079.0%22.6%163.4%27.1%73.6%20.1%-0.6%50.4K-7.4M-14.1K0.2352.60N/AN/A297689,2005,141
2009-06-02$12.98$7.5078.8%22.6%152.3%27.0%74.6%22.5%2.9%56.5K-7.4M-14.7K2.4147.44N/AN/A1162809,3545,152
2009-06-03$12.11$7.5071.8%20.6%155.0%23.8%101.2%13.6%11.1%51.5K-6.4M-13.6K41.4042.48N/AN/A481,9879,4074,946
2009-06-04$12.21$7.5075.8%21.7%151.4%25.6%75.9%8.7%1.8%51.5K-6.2M-13.5K0.0344.24N/AN/A8639,4224,785
2009-06-05$12.89$10.0083.1%22.3%151.6%29.0%67.3%19.1%0.3%65.7K-7.4M-13.5K0.0042.80N/AN/A6909,4784,584
2009-06-08$12.60$10.0075.4%22.6%140.9%25.4%79.0%19.5%0.2%67.4K-7.0M-12.9K0.0070.54N/AN/A5109,4394,577
2009-06-09$12.70$10.0081.3%22.3%135.9%28.2%78.3%16.8%0.0%73.7K-7.1M-12.4K0.0035.80N/AN/A5609,4724,577
2009-06-10$12.66$10.0080.5%22.6%135.4%27.8%0.0%18.0%0.6%77.0K-6.9M-13.0K0.0040.39N/AN/A1009,4204,577
2009-06-11$13.00$10.0073.4%21.0%85.7%24.5%66.4%14.6%2.0%97.9K-7.6M-12.0K0.0038.72N/AN/A10109,4274,577
2009-06-12$12.62$10.0073.1%20.9%87.3%24.4%90.1%9.4%6.0%90.1K-6.9M-11.9K0.0041.91N/AN/A57509,4624,577
2009-06-15$12.35$10.0075.5%21.6%64.8%25.5%76.7%14.6%-0.2%97.9K-7.0M-13.3K0.1844.27N/AN/A1252210,0294,567
2009-06-16$11.49$10.0078.5%22.5%61.8%26.9%88.9%8.3%-3.3%71.0K-5.5M-12.7K1.2258.17N/AN/A556710,0074,587
2009-06-17$11.28$10.0075.7%21.7%61.5%25.6%81.3%8.2%4.0%37.3K-4.9M-11.4K0.0533.47N/AN/A7349,9974,609
2009-06-18$11.55$10.0075.3%21.6%60.7%25.4%75.0%10.4%1.3%48.9K-5.3M-10.9K0.0032.55N/AN/A45010,0164,611
2009-06-19$11.76$10.0069.5%19.9%60.6%22.7%69.4%23.0%6.1%46.1K-5.2M-11.0K0.1337.01N/AN/A1271610,0194,611
2009-06-22$10.88$10.0082.4%23.6%66.4%28.6%77.6%5.1%2.2%41.7K-1.7M-9.3K0.0246.84N/AN/A761176,3083,156
2009-06-23$10.64$10.0079.5%22.8%65.7%27.3%72.2%3.0%2.5%47.6K-1.6M-9.9K0.0034.92N/AN/A5907,0133,173
2009-06-24$10.86$10.0075.7%21.7%63.0%25.6%67.1%16.4%8.4%48.9K-1.8M-10.3K0.3827.32N/AN/A53207,0233,173
2009-06-25$11.17$10.0075.1%21.5%60.3%25.3%0.0%8.8%3.5%47.9K-1.9M-11.4K26.0022.29N/AN/A102607,0573,193
2009-06-26$11.33$10.0052.4%15.0%60.4%14.9%59.8%8.9%5.9%48.5K-1.9M-11.7K0.4623.77N/AN/A2611217,0673,453
2009-06-29$11.41$10.0048.1%13.8%56.5%12.9%48.4%19.9%12.0%54.5K-2.0M-11.1K2.0324.09N/AN/A791607,2433,574
2009-06-30$11.44$10.0052.7%15.1%56.6%15.0%50.0%7.4%4.2%50.7K-1.8M-12.0K0.0120.14N/AN/A742117,2383,732