PL Options History — September 2009

In September 2009, PL traded between $19.54 and $23.97. ATM implied volatility averaged 56.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 1.4% (HV 20d: 57.7%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2009-09-22: Highest Volume — 6,335 contracts
  • 2009-09-10: Largest IV spike — 32.9% change
  • 2009-09-01: Highest IV Rank — 18.1%
  • 2009-09-28: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.35$19.54$23.97$19.90$21.42
Max Pain$13.33$12.50$20.00$17.50$12.50
ATM IV56.3%41.1%64.6%59.3%57.8%
Expected Move16.5%14.8%18.5%17.0%16.6%
HV 20d57.7%49.8%68.0%60.9%61.2%
HV 60d58.6%55.8%60.1%59.7%58.6%
IV Rank11.0%6.0%18.1%18.1%8.5%
IV Percentile9.7%1.6%17.5%12.3%11.5%
Term Structure-0.0%-2.9%6.8%2.0%1.9%
VWIV56.8%45.1%65.8%45.1%65.8%
Skew 25d7.4%0.6%12.4%9.0%11.7%
Skew 10d11.3%-10.5%20.5%1.5%20.4%
Call IV 25d55.2%49.9%61.2%53.3%56.6%
Put IV 25d62.5%55.2%69.3%62.3%68.3%
Bid-Ask Spread %38.0121.0468.0762.8631.50
Gamma HHI0.260.200.360.230.24
Net GEX66.9K16.9K118.7K64.6K86.5K
Net DEX-10.7M-15.5M-8.1M-9.7M-10.3M
Net VEX-34.9K-53.4K-26.6K-26.6K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0018.194.600.25
Total Volume887.09556,3351,104276
Total OI15,105.04811,92820,25711,92820,257

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$19.90$17.5059.3%17.0%60.9%18.1%45.1%9.0%2.0%64.6K-9.7M-26.6K4.6062.86N/AN/A1979077,6154,313
2009-09-02$19.76$17.5055.3%15.8%56.8%16.2%56.8%12.4%4.2%54.7K-8.6M-29.5K0.5168.07N/AN/A2871477,6994,922
2009-09-03$20.45$20.0051.7%14.8%57.5%14.5%51.4%5.3%6.8%59.0K-9.5M-29.4K0.5859.28N/AN/A52307,8835,069
2009-09-04$20.63$12.5053.0%16.5%57.0%15.1%57.3%6.1%1.3%55.7K-9.8M-29.2K4.7153.90N/AN/A17807,9175,050
2009-09-08$20.95$12.5056.6%17.2%56.9%16.8%59.2%7.2%-0.1%56.8K-10.3M-29.2K0.0042.49N/AN/A507,9295,130
2009-09-09$21.39$12.5041.1%16.0%52.0%6.3%55.9%9.0%-2.4%56.0K-10.9M-28.0K2.7123.42N/AN/A1042827,9325,130
2009-09-10$21.94$12.5054.6%15.6%51.5%12.8%56.1%10.4%1.1%49.9K-11.6M-28.3K0.0946.90N/AN/A413367,9445,325
2009-09-11$21.50$12.5055.4%15.9%52.0%12.8%55.5%8.6%-1.0%60.1K-11.5M-30.4K0.0327.66N/AN/A9638,2965,328
2009-09-14$22.37$12.5053.7%15.4%51.7%12.0%56.3%7.2%-1.6%61.9K-12.7M-27.8K0.2736.99N/AN/A217598,3225,315
2009-09-15$22.15$12.5052.9%15.2%49.8%6.0%52.4%5.7%0.3%64.6K-12.7M-29.8K1.0032.14N/AN/A82828,5185,359
2009-09-16$23.97$12.5053.2%15.2%54.9%6.1%53.4%9.4%-1.0%64.9K-15.5M-27.9K2.8022.39N/AN/A5111,4328,4655,407
2009-09-17$22.46$12.5057.4%16.5%61.2%8.3%58.2%7.0%-1.6%20.6K-11.7M-31.4K0.3722.39N/AN/A214798,6226,478
2009-09-18$22.05$12.5056.4%16.2%61.2%7.8%52.9%5.2%-1.6%16.9K-10.5M-32.0K0.2821.04N/AN/A132378,6806,533
2009-09-21$22.23$12.5058.5%16.8%58.0%8.9%56.8%6.4%-1.9%44.7K-10.8M-33.3K0.1922.73N/AN/A1,1202098,6475,579
2009-09-22$21.72$12.5058.6%16.8%58.5%8.9%58.6%6.7%-1.7%80.2K-10.6M-36.5K0.0623.38N/AN/A5,9833529,6975,754
2009-09-23$20.84$12.5061.8%17.7%57.5%10.5%60.5%4.3%-2.9%118.7K-10.9M-43.6K0.0530.65N/AN/A2651311,4205,940
2009-09-24$20.06$12.5061.0%17.5%59.0%10.1%60.1%0.6%-1.9%115.5K-9.5M-42.5K0.8935.20N/AN/A31528011,5975,949
2009-09-25$19.54$12.5060.8%17.4%59.0%10.0%63.1%2.8%-0.3%109.9K-8.1M-41.6K18.1939.48N/AN/A1312,38311,6886,147
2009-09-28$21.43$12.5064.6%18.5%68.0%11.9%61.4%10.3%-1.9%80.5K-9.9M-48.5K0.5167.16N/AN/A89345811,7707,440
2009-09-29$21.49$12.5058.9%16.9%68.0%9.0%56.6%10.0%1.7%83.6K-10.7M-53.4K0.3628.62N/AN/A33211812,2837,857
2009-09-30$21.42$12.5057.8%16.6%61.2%8.5%65.8%11.7%1.9%86.5K-10.3M-53.3K0.2531.50N/AN/A2205612,3427,915