PL Options History — March 2010

In March 2010, PL traded between $18.46 and $21.99. ATM implied volatility averaged 30.9%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.3% (HV 20d: 28.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 4.66.

Notable Days

  • 2010-03-31: Highest Volume — 1,519 contracts
  • 2010-03-04: Largest IV drop — 32.9% change
  • 2010-03-11: Highest IV Rank — 6.2%
  • 2010-03-02: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.11$18.46$21.99$18.46$21.99
Max Pain$17.83$17.50$20.00$17.50$20.00
ATM IV30.9%24.4%38.5%36.9%25.7%
Expected Move9.0%7.0%11.0%10.6%7.4%
HV 20d28.7%23.6%40.3%40.3%28.9%
HV 60d33.7%31.8%37.0%37.0%34.2%
IV Rank3.5%0.0%6.2%1.3%0.9%
IV Percentile1.9%0.0%4.8%0.4%0.4%
Term Structure5.9%1.3%8.5%4.4%8.3%
VWIV28.7%16.5%35.8%16.5%21.2%
Skew 25d7.5%-2.6%16.4%4.0%-2.6%
Skew 10d9.5%-3.3%21.0%2.6%1.0%
Call IV 25d25.1%20.8%33.2%33.2%24.8%
Put IV 25d32.6%22.2%38.5%37.1%22.2%
Bid-Ask Spread %16.828.7433.0931.6310.17
Gamma HHI0.810.510.910.910.51
Net GEX343.3K133.4K450.6K237.1K133.4K
Net DEX-7.7M-12.1M-3.3M-3.7M-10.9M
Net VEX-28.5K-31.4K-25.8K-26.2K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.660.0052.670.660.18
Total Volume385.26171,5193841,519
Total OI12,231.04310,90314,50810,90312,805

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$18.46$17.5036.9%10.6%40.3%1.3%0.0%4.0%4.4%237.1K-3.7M-26.2K0.6631.63N/AN/A2311537,9442,959
2010-03-02$18.50$17.5038.5%11.0%38.5%2.1%16.5%16.4%1.3%240.7K-3.4M-26.6K0.0020.66N/AN/A1808,1403,099
2010-03-03$18.51$17.5036.4%10.4%37.2%1.0%0.0%14.4%3.7%252.6K-3.3M-26.6K0.1119.51N/AN/A5368,1563,099
2010-03-04$18.90$17.5024.4%7.0%37.0%0.0%34.2%6.5%4.4%300.0K-4.1M-26.7K0.0133.09N/AN/A16318,1743,099
2010-03-05$19.50$17.5031.7%9.2%32.1%3.7%35.8%12.4%4.9%350.6K-6.0M-28.6K1.6114.58N/AN/A1452348,3363,098
2010-03-08$19.60$17.5027.9%9.3%31.9%2.1%32.5%13.1%4.9%376.2K-6.5M-28.5K7.8311.24N/AN/A241888,4033,154
2010-03-09$19.66$17.5029.7%8.8%29.0%3.1%30.8%13.1%6.7%397.0K-6.8M-28.2K1.3214.21N/AN/A1101458,4233,188
2010-03-10$19.79$17.5030.6%9.5%28.7%3.6%33.0%13.1%3.9%389.0K-7.1M-28.8K0.3012.85N/AN/A123378,4953,322
2010-03-11$20.08$17.5033.4%9.6%28.6%6.2%26.4%12.1%3.6%410.4K-8.0M-28.9K1.1819.03N/AN/A3373988,6033,330
2010-03-12$20.06$17.5029.8%8.6%26.0%3.8%27.2%11.8%7.6%442.0K-8.0M-31.4K0.0119.04N/AN/A21038,8313,728
2010-03-15$20.33$17.5031.6%9.1%25.8%5.0%0.0%13.6%5.7%450.6K-9.0M-30.2K0.4919.05N/AN/A131648,8823,731
2010-03-16$20.51$17.5030.1%8.6%24.3%4.0%28.2%-0.6%6.6%422.3K-9.7M-29.0K0.2116.61N/AN/A97208,7893,795
2010-03-17$20.70$17.5030.4%8.7%24.3%4.1%28.3%2.9%7.5%394.8K-10.9M-27.6K0.2919.40N/AN/A280808,7863,804
2010-03-18$21.39$17.5028.2%8.1%23.8%2.6%29.2%2.6%5.8%296.1K-12.1M-27.0K0.0715.01N/AN/A273208,7723,832
2010-03-19$20.59$17.5030.3%8.7%28.8%4.1%25.4%2.4%8.5%406.0K-10.3M-26.6K1.8322.20N/AN/A941728,6523,852
2010-03-22$20.40$17.5030.5%8.7%28.9%4.2%30.5%5.9%6.9%400.6K-8.2M-26.5K25.978.74N/AN/A338578,1743,607
2010-03-23$20.54$17.5032.3%9.3%25.5%5.4%29.3%7.5%6.3%373.6K-7.9M-30.9K1.1711.32N/AN/A29348,1944,451
2010-03-24$20.43$17.5030.6%8.8%24.3%4.4%26.9%6.8%6.3%381.8K-7.9M-30.6K3.909.29N/AN/A773008,1774,417
2010-03-25$20.39$17.5030.3%8.7%24.2%4.2%0.0%7.5%7.5%388.5K-7.7M-31.1K2.5010.93N/AN/A258,1714,567
2010-03-26$20.56$17.5031.2%8.9%23.6%4.8%31.1%9.4%6.5%389.4K-8.4M-29.5K52.6710.34N/AN/A211,1068,1714,170
2010-03-29$20.78$20.0030.6%8.8%23.7%4.4%0.0%-0.0%7.4%180.3K-7.8M-30.9K4.8518.30N/AN/A20978,1766,332
2010-03-30$20.85$20.0030.2%8.7%23.6%4.4%29.9%0.6%7.3%283.7K-9.0M-28.4K0.0319.56N/AN/A921308,1965,230
2010-03-31$21.99$20.0025.7%7.4%28.9%0.9%21.2%-2.6%8.3%133.4K-10.9M-25.8K0.1810.17N/AN/A1,2912287,5765,229