PL Options History — April 2010

In April 2010, PL traded between $22.38 and $25.43. ATM implied volatility averaged 33.3%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 6.8% (HV 20d: 40.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2010-04-14: Highest Volume — 1,077 contracts
  • 2010-04-14: Largest IV spike — 35.6% change
  • 2010-04-29: Highest IV Rank — 21.0%
  • 2010-04-29: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.86$22.38$25.43$22.38$24.07
Max Pain$21.43$20.00$22.50$20.00$22.50
ATM IV33.3%19.6%43.3%25.2%43.2%
Expected Move10.9%7.2%12.4%7.2%12.4%
HV 20d40.1%28.7%50.1%28.7%47.7%
HV 60d36.9%34.0%39.8%34.3%38.1%
IV Rank11.1%0.0%21.0%0.6%20.9%
IV Percentile11.3%0.0%27.0%0.4%26.6%
Term Structure0.0%-3.6%9.1%9.1%-3.6%
VWIV39.0%26.8%46.8%26.8%43.7%
Skew 25d5.9%-7.7%12.8%12.8%6.5%
Skew 10d11.3%-10.4%20.2%20.2%15.5%
Call IV 25d31.9%19.1%39.2%23.0%39.1%
Put IV 25d37.7%19.9%45.9%35.9%45.6%
Bid-Ask Spread %29.6116.1364.4116.8950.42
Gamma HHI0.470.370.630.430.37
Net GEX73.7K36.3K151.1K151.1K64.6K
Net DEX-9.9M-17.3M-4.3M-12.8M-4.6M
Net VEX-20.2K-24.7K-16.3K-24.7K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.006.440.240.00
Total Volume254.667121,07754912
Total OI10,010.4766,10313,33113,2647,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$22.38$20.0025.2%7.2%28.7%0.6%26.8%12.8%9.1%151.1K-12.8M-24.7K0.2416.89N/AN/A4441058,1845,080
2010-04-05$23.25$20.0023.3%10.4%29.5%0.0%36.3%8.0%-1.2%57.3K-14.8M-19.5K0.2823.74N/AN/A134377,9965,072
2010-04-06$23.48$20.0029.4%10.3%29.5%5.4%35.4%9.4%0.3%68.7K-15.0M-19.0K0.0025.48N/AN/A7107,8835,069
2010-04-07$23.29$20.0023.8%10.6%30.1%0.4%36.3%8.1%-1.0%51.4K-14.2M-19.3K5.4520.40N/AN/A764147,6775,069
2010-04-08$23.77$20.0025.2%9.9%30.3%1.7%35.8%-7.7%1.4%91.2K-14.4M-20.1K0.3422.78N/AN/A93327,6775,069
2010-04-09$23.40$20.0026.5%11.1%31.5%2.8%38.6%7.8%-2.8%45.7K-14.3M-18.9K0.2922.03N/AN/A34107,7105,134
2010-04-12$23.43$20.0019.6%10.9%31.4%0.0%40.8%5.7%-2.2%51.9K-14.5M-18.7K0.9116.13N/AN/A76697,6925,144
2010-04-13$23.22$20.0020.9%10.9%31.9%1.1%41.0%5.1%-1.6%42.8K-14.2M-19.3K1.6622.33N/AN/A58967,7245,193
2010-04-14$25.43$20.0028.3%10.8%43.8%7.5%37.6%5.8%-0.8%75.0K-17.3M-16.3K0.4944.09N/AN/A7253527,7575,196
2010-04-15$24.79$22.5036.9%10.6%45.6%15.3%37.5%5.0%-1.1%36.3K-15.6M-19.2K0.5430.96N/AN/A2261227,8005,531
2010-04-16$23.89$22.5037.8%10.8%47.5%16.1%40.5%4.8%-0.6%79.6K-14.2M-19.7K1.6926.74N/AN/A2113577,8155,495
2010-04-19$23.85$22.5037.2%10.7%44.7%15.5%37.3%5.3%0.9%83.4K-4.5M-20.7K6.4430.56N/AN/A271743,5182,585
2010-04-20$24.15$22.5039.2%11.3%44.3%17.4%44.3%6.1%-0.8%76.6K-4.7M-20.6K1.1024.05N/AN/A2412663,5322,716
2010-04-21$23.99$22.5037.1%10.6%44.6%15.5%40.2%5.8%0.5%86.4K-4.7M-21.2K0.4826.57N/AN/A50243,7092,926
2010-04-22$24.02$22.5038.1%10.9%44.4%16.3%33.9%5.5%1.2%89.4K-4.7M-20.6K0.3326.44N/AN/A79263,7132,938
2010-04-23$24.56$22.5040.6%11.6%44.5%18.6%45.4%5.9%-1.5%83.2K-5.3M-20.7K0.7934.32N/AN/A28223,7522,962
2010-04-26$24.51$22.5038.5%11.0%44.7%16.7%39.7%5.7%-0.6%84.9K-5.5M-20.0K0.1931.04N/AN/A64123,7672,984
2010-04-27$23.26$22.5042.4%12.2%49.7%20.2%38.7%7.4%8.0%93.0K-4.3M-21.2K3.8564.41N/AN/A933583,7922,990
2010-04-28$23.85$22.5042.4%12.2%50.1%20.2%46.8%6.1%-1.7%66.7K-4.3M-22.0K3.6425.75N/AN/A14513,7913,284
2010-04-29$24.40$22.5043.3%12.4%47.5%21.0%43.0%4.1%-1.3%68.4K-4.9M-20.9K0.4436.78N/AN/A45203,8013,315
2010-04-30$24.07$22.5043.2%12.4%47.7%20.9%43.7%6.5%-3.6%64.6K-4.6M-21.7K0.0050.42N/AN/A1203,8443,334