PL Options History — August 2009

In August 2009, PL traded between $15.45 and $21.55. ATM implied volatility averaged 57.6%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 7.2% (HV 20d: 50.4%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-08-11: Highest Volume — 24,691 contracts
  • 2009-08-05: Largest IV drop — 23.0% change
  • 2009-08-04: Highest IV Rank — 23.8%
  • 2009-08-04: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.41$15.45$21.55$15.45$21.55
Max Pain$14.76$12.50$17.50$12.50$17.50
ATM IV57.6%49.4%71.8%70.7%50.6%
Expected Move16.7%14.2%20.6%20.3%14.5%
HV 20d50.4%39.3%58.9%58.9%50.7%
HV 60d67.5%57.2%98.8%98.8%57.2%
IV Rank17.3%13.5%23.8%23.3%14.1%
IV Percentile12.4%5.6%19.4%18.7%5.6%
Term Structure1.6%-6.3%7.5%-5.2%3.6%
VWIV60.2%46.4%88.8%73.1%52.9%
Skew 25d10.3%5.5%17.4%12.3%6.2%
Skew 10d16.8%-6.1%29.6%23.2%3.8%
Call IV 25d53.8%43.8%67.3%57.1%52.6%
Put IV 25d64.1%54.4%79.1%69.5%58.7%
Bid-Ask Spread %33.7121.0572.3621.0572.36
Gamma HHI0.330.210.480.460.21
Net GEX77.6K56.3K131.5K131.5K61.1K
Net DEX-10.1M-13.1M-7.3M-9.1M-11.4M
Net VEX-22.0K-26.3K-18.8K-19.1K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.029.200.620.28
Total Volume1,868.2389824,6912,838124
Total OI11,498.61910,12113,17610,37011,831

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$15.45$12.5070.7%20.3%58.9%23.3%73.1%12.3%-5.2%131.5K-9.1M-19.1K0.6221.05N/AN/A1,7511,0878,5211,849
2009-08-04$15.86$12.5071.8%20.6%53.5%23.8%88.8%11.7%-6.3%117.1K-9.9M-21.0K0.1324.93N/AN/A7471009,0782,710
2009-08-05$17.04$12.5055.3%15.8%56.3%16.2%65.1%16.8%-0.6%107.1K-11.8M-19.1K1.5322.12N/AN/A1,2581,9269,0852,679
2009-08-06$17.05$12.5053.3%15.3%54.3%15.3%56.2%17.4%1.5%90.9K-11.7M-20.4K1.9825.86N/AN/A1943859,1183,387
2009-08-07$17.58$15.0055.5%16.0%52.2%16.3%57.3%11.5%4.4%76.6K-12.4M-20.5K0.2756.63N/AN/A299819,1843,606
2009-08-10$17.92$15.0056.1%16.6%39.3%16.6%57.8%11.9%1.5%63.2K-13.1M-19.8K0.3725.84N/AN/A3121159,2913,643
2009-08-11$16.97$15.0054.4%16.7%46.3%15.8%65.0%7.3%2.2%88.8K-11.6M-21.5K0.0225.91N/AN/A24,2544379,4283,748
2009-08-12$17.59$15.0053.8%17.1%46.5%15.5%63.8%7.7%3.1%61.8K-7.8M-20.3K0.3252.20N/AN/A5741846,5863,808
2009-08-13$18.18$15.0058.7%16.8%46.1%17.8%46.4%14.4%0.3%64.9K-8.8M-18.8K0.7534.66N/AN/A102776,8793,808
2009-08-14$17.76$15.0058.8%16.9%46.7%17.8%62.8%9.7%1.2%66.5K-8.1M-20.7K0.6030.56N/AN/A5793486,8593,845
2009-08-17$17.20$15.0060.3%17.3%49.5%18.5%66.8%13.0%1.1%76.2K-7.3M-23.9K0.7834.61N/AN/A55437,3744,110
2009-08-18$17.68$15.0061.3%17.6%48.4%19.0%0.0%10.7%0.6%71.5K-8.2M-23.6K0.3128.06N/AN/A174547,3844,140
2009-08-19$17.44$15.0060.2%17.3%49.4%18.5%59.5%11.5%-0.9%82.4K-7.6M-23.8K4.5927.04N/AN/A291337,4104,164
2009-08-20$18.15$15.0061.4%17.6%49.2%19.0%59.0%9.8%2.4%63.0K-8.8M-22.7K0.6632.06N/AN/A2901907,3674,201
2009-08-21$19.31$15.0054.5%15.6%52.1%15.8%46.8%8.3%7.5%64.9K-10.2M-22.6K9.2027.23N/AN/A555067,4424,341
2009-08-24$19.81$15.0055.9%16.0%52.1%16.5%63.8%8.0%2.6%56.3K-9.3M-22.5K0.0533.26N/AN/A780426,5423,579
2009-08-25$20.93$15.0056.8%16.3%52.6%16.9%56.3%9.4%2.8%73.8K-11.2M-23.1K1.1829.51N/AN/A3934627,2063,600
2009-08-26$20.69$15.0056.3%16.1%52.4%16.7%57.4%6.8%2.0%72.8K-11.0M-24.2K1.6032.80N/AN/A631017,3143,700
2009-08-27$21.13$15.0055.0%15.8%52.2%16.1%51.8%6.5%4.1%73.2K-11.4M-24.3K1.0041.41N/AN/A2172167,3653,791
2009-08-28$21.38$17.5049.4%14.2%50.9%13.5%52.8%5.5%6.3%65.8K-11.7M-24.4K1.6529.80N/AN/A1873097,4914,007
2009-08-31$21.55$17.5050.6%14.5%50.7%14.1%52.9%6.2%3.6%61.1K-11.4M-26.3K0.2872.36N/AN/A97277,5374,294