PL Options History — July 2009

In July 2009, PL traded between $10.57 and $14.95. ATM implied volatility averaged 71.4%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 6.6% (HV 20d: 64.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2009-07-07: Highest Volume — 4,145 contracts
  • 2009-07-13: Largest IV spike — 45.0% change
  • 2009-07-17: Highest IV Rank — 27.7%
  • 2009-07-10: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.76$10.57$14.95$11.89$14.95
Max Pain$11.93$10.00$12.50$10.00$12.50
ATM IV71.4%52.9%80.4%58.9%70.3%
Expected Move21.7%16.9%23.9%16.9%20.2%
HV 20d64.8%53.5%75.7%53.5%58.6%
HV 60d109.5%99.1%117.2%116.3%99.1%
IV Rank23.6%15.1%27.7%17.9%23.1%
IV Percentile23.6%18.7%29.8%22.6%18.7%
Term Structure-6.4%-15.0%7.6%7.6%-4.3%
VWIV75.8%59.0%81.6%59.0%81.6%
Skew 25d9.2%-26.8%26.1%26.1%12.6%
Skew 10d26.7%-9.6%55.1%28.6%33.4%
Call IV 25d63.2%49.3%85.5%51.2%56.9%
Put IV 25d72.4%46.9%78.5%77.4%69.5%
Bid-Ask Spread %39.6026.8667.0529.3730.99
Gamma HHI0.630.340.820.340.48
Net GEX177.6K68.6K268.8K68.6K135.7K
Net DEX-7.7M-12.7M-2.5M-2.9M-8.6M
Net VEX-23.2K-27.3K-13.8K-14.5K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.200.030.09
Total Volume1,104.591114,1451,7302,533
Total OI15,708.63610,51020,35411,68310,510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$11.89$10.0058.9%16.9%53.5%17.9%59.0%26.1%7.6%68.6K-2.9M-14.5K0.0329.37N/AN/A1,675557,9433,740
2009-07-02$11.01$10.0075.6%21.7%59.7%25.5%66.4%-6.7%-0.6%87.6K-2.5M-13.8K0.0228.66N/AN/A3,266809,4523,795
2009-07-06$11.11$12.5064.2%22.3%55.8%20.3%76.6%7.9%-1.7%121.8K-3.3M-18.9K0.0734.42N/AN/A1,99214412,2693,875
2009-07-07$10.57$12.5066.5%23.5%57.6%21.4%78.4%-10.3%-7.9%125.7K-3.1M-18.3K0.0129.25N/AN/A4,0846113,4853,946
2009-07-08$10.67$12.5078.5%23.3%57.6%26.9%0.0%-7.8%-9.6%155.9K-3.9M-21.6K0.0067.05N/AN/A01115,5154,004
2009-07-09$11.42$12.5076.5%22.3%63.7%25.9%77.7%-26.8%-8.4%189.2K-5.8M-26.1K0.0439.45N/AN/A2651115,9973,995
2009-07-10$11.19$12.5052.9%23.9%62.8%15.1%79.3%3.8%-10.1%151.8K-5.2M-22.9K0.2935.68N/AN/A14416,0224,005
2009-07-13$12.55$12.5076.6%23.2%75.7%26.0%81.1%11.9%-15.0%233.5K-9.0M-26.3K0.0551.25N/AN/A1,1956016,0184,001
2009-07-14$12.48$10.0067.0%22.0%75.3%21.6%77.4%11.7%-5.8%251.6K-9.3M-26.9K0.0135.84N/AN/A7671016,3144,040
2009-07-15$12.90$10.0061.5%22.8%70.9%19.1%77.9%12.2%-9.3%268.8K-10.8M-27.0K0.1533.87N/AN/A1672516,2674,050
2009-07-16$13.42$10.0079.0%22.6%71.3%27.1%79.5%8.6%-8.7%200.5K-12.7M-26.6K0.0545.47N/AN/A1,3386716,2864,065
2009-07-17$13.19$12.5080.4%23.0%71.6%27.7%78.2%15.0%-8.6%215.1K-12.1M-27.3K1.2040.66N/AN/A15318316,2904,008
2009-07-20$13.25$12.5076.9%22.1%71.5%26.1%79.4%15.6%-3.0%198.0K-8.7M-26.2K1.0647.11N/AN/A626611,8111,507
2009-07-21$13.02$12.5076.6%22.0%65.1%26.0%75.2%19.5%-4.5%204.4K-8.1M-26.0K0.1534.34N/AN/A751111,8381,572
2009-07-22$13.25$12.5079.0%22.7%64.0%27.1%74.8%15.0%-6.8%196.0K-8.8M-25.8K0.0126.86N/AN/A393211,8581,583
2009-07-23$13.83$12.5070.2%20.1%65.0%23.0%71.4%18.2%-5.7%202.4K-10.0M-26.1K0.0047.54N/AN/A197012,1121,585
2009-07-24$13.97$12.5069.2%19.8%64.7%22.6%77.2%15.5%-8.4%205.2K-10.5M-26.1K0.0152.08N/AN/A1,9921112,2311,585
2009-07-27$14.10$12.5070.2%20.1%64.7%23.0%79.4%11.4%-6.7%179.3K-9.2M-22.9K0.0338.50N/AN/A4711510,5881,596
2009-07-28$13.93$12.5070.0%20.1%65.2%23.0%72.0%17.6%-6.1%173.1K-8.7M-22.5K0.6135.15N/AN/A674110,3001,576
2009-07-29$13.74$12.5080.0%22.9%65.7%27.6%73.1%15.3%-10.1%181.9K-8.3M-22.3K0.0443.56N/AN/A25110,3571,617
2009-07-30$14.19$12.5071.0%20.3%65.4%23.4%75.6%16.8%-8.0%161.4K-9.1M-22.5K0.0144.19N/AN/A2,6803210,3651,617
2009-07-31$14.95$12.5070.3%20.2%58.6%23.1%81.6%12.6%-4.3%135.7K-8.6M-20.3K0.0930.99N/AN/A2,3332008,8611,649