PL Options History — October 2009

In October 2009, PL traded between $19.25 and $22.64. ATM implied volatility averaged 61.0%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 7.5% (HV 20d: 68.6%). Max pain ranged from $12.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.66.

Notable Days

  • 2009-10-07: Highest Volume — 2,252 contracts
  • 2009-10-22: Largest IV spike — 8.4% change
  • 2009-10-28: Highest IV Rank — 13.6%
  • 2009-10-28: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.29$19.25$22.64$19.72$19.25
Max Pain$21.59$12.50$22.50$12.50$22.50
ATM IV61.0%56.7%66.0%65.3%64.5%
Expected Move17.8%16.8%18.9%18.7%18.5%
HV 20d68.6%58.9%75.8%68.4%64.2%
HV 60d60.2%58.3%63.0%61.8%62.6%
IV Rank10.6%8.4%13.6%12.3%12.8%
IV Percentile18.1%10.7%26.2%18.7%25.4%
Term Structure-3.1%-6.2%1.4%0.2%-6.0%
VWIV61.7%56.4%69.9%65.5%69.9%
Skew 25d7.5%0.2%14.8%0.2%3.5%
Skew 10d17.5%-18.2%39.3%-13.1%-18.2%
Call IV 25d58.6%51.0%67.6%67.2%67.6%
Put IV 25d66.1%62.7%71.1%67.4%71.1%
Bid-Ask Spread %35.1818.5164.9640.8264.96
Gamma HHI0.250.220.310.220.25
Net GEX82.5K64.7K125.3K73.9K64.7K
Net DEX-7.8M-12.6M-767.6K-7.5M-767.6K
Net VEX-52.1K-56.2K-45.4K-49.3K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.0726.6526.651.96
Total Volume510.682992,252636406
Total OI19,183.72716,13722,62820,26517,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$19.72$12.5065.3%18.7%68.4%12.3%65.5%0.2%0.2%73.9K-7.5M-49.3K26.6540.82N/AN/A2361312,3197,946
2009-10-02$19.58$12.5064.0%18.3%67.2%11.6%67.1%3.0%1.4%65.2K-6.2M-48.7K1.2638.89N/AN/A18223012,3318,283
2009-10-05$21.57$22.5061.3%17.7%75.8%10.3%63.9%10.9%-3.9%76.1K-10.3M-53.2K0.9236.41N/AN/A17316012,3368,344
2009-10-06$21.85$22.5058.9%17.3%75.8%9.1%58.5%7.2%-2.2%70.3K-11.0M-51.9K0.4623.27N/AN/A683112,2748,404
2009-10-07$21.91$22.5059.3%17.5%75.5%9.2%61.3%8.9%-2.3%76.1K-11.0M-51.9K2.7420.41N/AN/A6021,65012,3118,414
2009-10-08$21.79$22.5059.5%17.6%74.9%9.3%61.3%9.7%-2.0%78.0K-11.1M-54.0K1.0230.46N/AN/A12713012,7748,544
2009-10-09$21.96$22.5057.7%17.0%74.6%8.4%59.8%8.0%-0.2%75.9K-11.2M-53.8K7.0624.95N/AN/A3625412,6888,519
2009-10-12$22.06$22.5059.1%17.6%73.2%9.2%62.2%9.8%-1.0%76.1K-11.2M-52.5K0.1346.80N/AN/A3224312,7138,554
2009-10-13$21.21$22.5057.0%18.9%74.5%8.7%62.4%5.0%-5.9%94.9K-9.4M-50.5K2.4735.96N/AN/A22956612,8588,542
2009-10-14$22.44$22.5056.7%17.3%71.6%8.5%61.3%14.8%-2.9%100.1K-12.5M-53.4K3.1832.62N/AN/A25480812,9628,869
2009-10-15$22.48$22.5059.9%17.2%67.8%10.3%59.6%13.1%-3.1%104.4K-12.6M-54.7K0.5535.07N/AN/A55030013,0939,160
2009-10-16$22.13$22.5061.3%17.6%67.7%11.0%60.7%7.9%-3.7%125.3K-11.8M-55.0K0.6040.77N/AN/A30318213,4619,167
2009-10-19$22.64$22.5060.0%17.2%68.1%10.3%58.6%11.1%-3.1%88.4K-8.7M-56.2K1.7233.54N/AN/A2013469,7996,360
2009-10-20$21.86$22.5059.6%17.1%68.8%10.1%56.4%6.4%-2.3%82.4K-6.8M-53.8K0.3136.06N/AN/A170529,7336,404
2009-10-21$21.41$22.5058.5%16.8%67.5%9.5%61.4%8.5%-1.3%77.8K-6.4M-53.3K2.3928.26N/AN/A821969,7516,435
2009-10-22$22.09$22.5063.4%18.2%66.6%12.2%62.8%9.9%-6.2%85.5K-6.7M-54.5K0.2526.75N/AN/A5381379,8326,631
2009-10-23$21.42$22.5060.5%17.3%66.9%10.6%60.7%7.0%-4.7%91.1K-5.9M-55.5K0.7718.51N/AN/A977510,1946,713
2009-10-26$20.77$22.5061.8%17.7%59.3%11.3%61.1%3.4%-3.5%82.8K-4.3M-51.8K0.0736.53N/AN/A1941410,2276,754
2009-10-27$20.20$22.5064.8%18.6%60.0%12.9%59.8%4.5%-3.6%81.8K-3.0M-50.1K1.0339.44N/AN/A798110,2686,761
2009-10-28$19.38$22.5066.0%18.9%61.5%13.6%61.9%2.8%-5.7%68.4K-846.7K-46.3K2.5131.90N/AN/A17544010,2736,829
2009-10-29$20.65$22.5064.2%18.4%58.9%12.6%60.6%9.3%-4.9%76.0K-3.4M-50.9K0.4351.50N/AN/A813510,2096,913
2009-10-30$19.25$22.5064.5%18.5%64.2%12.8%69.9%3.5%-6.0%64.7K-767.6K-45.4K1.9664.96N/AN/A13726910,1906,900