PL Options History — December 2009

In December 2009, PL traded between $16.37 and $17.72. ATM implied volatility averaged 48.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 1.0% (HV 20d: 47.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-12-02: Highest Volume — 1,785 contracts
  • 2009-12-09: Largest IV spike — 15.0% change
  • 2009-12-09: Highest IV Rank — 8.2%
  • 2009-12-08: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.06$16.37$17.72$16.71$16.55
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV48.6%40.5%56.1%51.2%42.8%
Expected Move14.1%11.6%15.9%14.7%12.3%
HV 20d47.6%33.6%86.1%85.5%33.6%
HV 60d68.9%61.0%72.5%71.8%61.0%
IV Rank4.2%0.0%8.2%5.6%1.2%
IV Percentile3.2%0.0%13.9%2.0%1.6%
Term Structure3.6%0.3%7.7%4.5%4.6%
VWIV49.2%42.5%57.7%46.6%43.1%
Skew 25d6.3%-0.7%19.0%13.2%-0.7%
Skew 10d9.2%-10.2%33.5%12.5%-10.2%
Call IV 25d47.9%36.8%55.8%44.3%45.4%
Put IV 25d54.2%44.7%60.3%57.4%44.7%
Bid-Ask Spread %21.279.6641.5820.4417.04
Gamma HHI0.320.240.450.240.45
Net GEX87.2K55.7K126.9K65.1K80.8K
Net DEX192.2K-1.4M1.4M925.3K284.0K
Net VEX-30.3K-37.4K-24.2K-28.6K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.005.230.100.49
Total Volume425.136451,7851,39058
Total OI18,451.63616,73219,43716,73218,690

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$16.71$17.5051.2%14.7%85.5%5.6%46.6%13.2%4.5%65.1K925.3K-28.6K0.1020.44N/AN/A1,26812210,6886,044
2009-12-02$17.48$17.5049.0%14.0%86.1%4.3%48.4%19.0%4.3%98.0K-862.9K-34.4K4.9523.72N/AN/A3001,48511,6256,160
2009-12-03$17.13$17.5049.1%14.1%86.0%4.4%47.0%12.9%4.9%90.0K-35.6K-35.1K0.3425.44N/AN/A2117111,7436,496
2009-12-04$17.66$17.5049.9%15.8%42.7%4.8%0.0%10.7%0.3%105.1K-715.2K-35.4K0.0531.55N/AN/A2181111,8686,504
2009-12-07$17.72$17.5051.5%15.8%40.4%5.7%52.8%6.7%1.7%120.7K-1.4M-37.4K0.0721.53N/AN/A3102312,0416,515
2009-12-08$17.23$17.5048.8%15.9%37.5%4.2%57.7%4.5%2.0%102.0K-322.1K-34.9K0.0027.49N/AN/A56012,0826,514
2009-12-09$16.37$17.5056.1%15.7%41.4%8.2%56.1%4.5%0.3%76.5K1.4M-31.4K0.8527.11N/AN/A43336812,1356,514
2009-12-10$17.13$17.5053.4%15.3%44.7%6.7%55.7%5.2%1.8%87.1K245.1K-34.0K1.7116.87N/AN/A17529912,3626,767
2009-12-11$17.17$17.5052.6%15.1%44.5%6.3%50.5%5.2%2.7%96.6K-16.7K-34.1K0.0019.21N/AN/A277012,4866,717
2009-12-14$17.48$17.5051.8%14.9%45.0%5.9%51.5%5.2%3.1%126.9K-637.0K-32.7K1.2739.69N/AN/A526612,6656,717
2009-12-15$17.04$17.5051.7%14.8%45.1%5.8%50.0%4.6%4.6%102.7K310.4K-31.6K0.0641.58N/AN/A95612,6996,738
2009-12-16$17.15$17.5051.7%14.8%45.2%5.8%55.7%6.8%2.1%123.4K55.2K-31.7K0.6713.95N/AN/A271812,6636,720
2009-12-17$16.97$17.5051.6%14.8%44.7%5.7%52.1%6.3%2.3%110.2K568.3K-30.4K0.1938.22N/AN/A1001912,6756,737
2009-12-18$17.00$17.5052.7%15.1%44.1%6.4%52.1%4.7%0.6%114.2K797.6K-29.3K1.8513.75N/AN/A8014812,6526,728
2009-12-21$17.08$17.5046.5%13.3%42.7%3.0%46.7%2.9%4.9%61.9K363.6K-27.9K0.0815.93N/AN/A2762311,5186,107
2009-12-22$17.00$17.5046.4%13.3%41.9%2.9%45.9%6.6%3.9%61.4K578.3K-26.9K0.2015.97N/AN/A51310411,6936,124
2009-12-23$16.98$17.5042.1%12.1%41.7%0.5%43.6%3.6%7.4%61.9K309.3K-26.2K1.549.66N/AN/A15924511,8306,020
2009-12-24$16.77$17.5040.5%11.6%41.9%0.0%49.3%4.3%7.7%61.5K529.7K-25.5K5.2313.09N/AN/A2211511,8585,923
2009-12-28$16.97$17.5042.9%12.3%37.3%1.3%42.9%2.6%7.2%58.3K323.0K-24.7K0.2611.22N/AN/A772011,8725,998
2009-12-29$16.97$17.5043.5%12.5%37.1%1.6%43.5%1.3%4.1%59.1K314.0K-24.6K0.369.99N/AN/A1114011,9356,018
2009-12-30$16.67$17.5042.5%12.2%37.6%1.1%42.5%9.1%5.1%55.7K1.2M-24.2K0.1414.58N/AN/A1,18217012,0376,058
2009-12-31$16.55$17.5042.8%12.3%33.6%1.2%43.1%-0.7%4.6%80.8K284.0K-24.8K0.4917.04N/AN/A391912,9105,780