PL Options History — May 2010

In May 2010, PL traded between $19.72 and $24.29. ATM implied volatility averaged 51.5%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 5.4% (HV 20d: 56.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.83.

Notable Days

  • 2010-05-06: Highest Volume — 767 contracts
  • 2010-05-07: Largest IV spike — 28.6% change
  • 2010-05-20: Highest IV Rank — 56.7%
  • 2010-05-20: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.94$19.72$24.29$24.29$21.52
Max Pain$21.13$20.00$22.50$22.50$20.00
ATM IV51.5%43.3%65.2%43.7%44.2%
Expected Move14.4%12.4%17.9%12.5%12.7%
HV 20d56.9%46.0%65.2%46.0%65.2%
HV 60d43.7%36.3%49.5%36.3%49.5%
IV Rank37.8%22.7%56.7%22.7%38.6%
IV Percentile43.2%27.4%74.6%29.0%29.8%
Term Structure0.2%-3.6%4.7%-3.2%4.0%
VWIV49.3%30.9%62.6%49.5%43.3%
Skew 25d10.7%2.0%21.7%6.8%5.8%
Skew 10d23.3%9.9%35.2%16.3%16.0%
Call IV 25d45.1%34.8%56.7%38.9%43.2%
Put IV 25d55.8%45.7%68.2%45.7%49.1%
Bid-Ask Spread %38.1020.5397.9420.5342.89
Gamma HHI0.380.320.540.360.38
Net GEX45.4K-75.2K77.3K66.1K47.6K
Net DEX-1.9M-4.8M898.3K-4.8M-1.9M
Net VEX-20.9K-23.8K-18.7K-21.3K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.1530.571.090.17
Total Volume217.5467677168
Total OI7,345.456,2888,0607,1856,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$24.29$22.5043.7%12.5%46.0%22.7%49.5%6.8%-3.2%66.1K-4.8M-21.3K1.0920.53N/AN/A34373,8513,334
2010-05-04$23.09$22.5051.8%14.8%49.5%32.6%30.9%6.5%-3.6%65.2K-3.5M-22.3K21.0025.69N/AN/A3633,8823,368
2010-05-05$22.81$22.5050.4%14.5%49.6%31.2%51.4%14.3%-0.8%60.7K-2.8M-23.0K0.4363.66N/AN/A214933,8853,405
2010-05-06$21.98$22.5050.7%14.5%50.5%31.5%50.2%21.7%-3.0%51.0K-1.8M-23.6K0.9297.94N/AN/A4003674,0073,486
2010-05-07$21.22$22.5065.2%16.6%51.6%46.2%53.8%10.0%-2.6%46.0K-1.2M-23.8K0.4128.04N/AN/A123514,2093,507
2010-05-10$23.46$22.5051.8%13.7%63.7%32.6%42.7%8.4%3.6%77.3K-3.9M-22.0K0.6437.17N/AN/A2981924,1503,491
2010-05-11$23.46$22.5052.8%13.4%63.6%33.6%49.0%16.1%0.9%72.0K-3.9M-21.7K0.3520.77N/AN/A217774,0863,511
2010-05-12$23.65$20.0052.5%13.3%54.1%33.3%47.5%8.8%-0.8%73.8K-4.2M-21.4K0.1521.73N/AN/A129204,0563,468
2010-05-13$22.85$20.0047.9%13.7%54.7%28.6%48.3%10.3%0.4%70.3K-3.2M-21.2K30.5729.21N/AN/A72144,0823,458
2010-05-14$22.10$22.5047.9%13.7%54.4%33.7%55.3%11.5%-0.3%50.5K-1.8M-21.6K0.2327.57N/AN/A145334,0853,580
2010-05-17$22.26$20.0048.6%13.9%54.5%34.4%0.0%11.3%0.7%61.7K-1.9M-20.9K1.3223.92N/AN/A75994,2043,613
2010-05-18$21.88$20.0047.3%13.6%54.4%36.6%0.0%11.3%2.1%68.1K-1.5M-20.9K5.2328.72N/AN/A392044,2533,712
2010-05-19$21.53$20.0050.0%14.3%54.6%40.0%0.0%9.0%1.1%45.9K-878.2K-21.4K1.3025.63N/AN/A901174,2273,833
2010-05-20$19.72$20.0062.6%17.9%61.8%56.7%62.6%13.9%-2.6%-9.0K879.8K-19.5K3.3247.13N/AN/A311034,2733,771
2010-05-21$20.30$20.0059.1%17.0%62.3%52.2%51.6%10.1%-0.9%-75.2K898.3K-19.1K1.2844.60N/AN/A1121434,2733,783
2010-05-24$20.09$22.5055.8%16.0%62.2%47.8%58.5%16.1%-0.6%25.9K-479.6K-19.1K0.6047.41N/AN/A90543,3292,959
2010-05-25$20.16$20.0051.5%14.8%60.3%42.1%50.9%2.0%4.7%28.4K-164.7K-18.7K3.3155.14N/AN/A29963,4052,997
2010-05-26$20.46$20.0053.6%15.4%59.7%44.8%48.1%12.7%1.3%34.0K-847.9K-19.0K3.6031.10N/AN/A10363,4032,968
2010-05-27$21.95$20.0043.3%12.4%65.1%37.2%43.8%7.5%2.9%48.1K-2.0M-18.8K0.6243.16N/AN/A146913,3993,004
2010-05-28$21.52$20.0044.2%12.7%65.2%38.6%43.3%5.8%4.0%47.6K-1.9M-19.7K0.1742.89N/AN/A58103,5233,079