PL Options History — June 2010

In June 2010, PL traded between $19.85 and $23.08. ATM implied volatility averaged 46.5%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 13.4% (HV 20d: 59.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2010-06-18: Highest Volume — 4,119 contracts
  • 2010-06-04: Largest IV spike — 35.6% change
  • 2010-06-04: Highest IV Rank — 60.8%
  • 2010-06-07: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.49$19.85$23.08$20.84$21.39
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV46.5%38.4%58.2%55.2%48.8%
Expected Move13.2%11.0%16.1%15.8%14.0%
HV 20d59.9%52.2%70.2%65.6%54.7%
HV 60d53.9%49.7%56.3%49.7%56.3%
IV Rank42.5%29.7%60.8%56.1%46.2%
IV Percentile35.9%16.3%63.9%55.6%42.1%
Term Structure3.7%-3.1%13.6%0.9%2.1%
VWIV47.5%39.3%59.1%47.3%51.3%
Skew 25d8.5%-2.1%17.7%11.0%-2.1%
Skew 10d14.3%-10.3%53.0%29.4%-10.3%
Call IV 25d43.1%30.9%52.7%48.4%49.5%
Put IV 25d51.6%41.0%63.3%59.4%47.4%
Bid-Ask Spread %29.0214.8044.2430.1929.07
Gamma HHI0.440.360.510.370.45
Net GEX109.9K41.6K219.8K42.8K184.0K
Net DEX-3.3M-8.5M-238.8K-1.2M-5.6M
Net VEX-26.4K-43.7K-15.9K-19.1K-42.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.009.000.485.33
Total Volume300.45594,11914519
Total OI8,337.6366,66611,3306,66611,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$20.84$20.0055.2%15.8%65.6%56.1%47.3%11.0%0.9%42.8K-1.2M-19.1K0.4830.19N/AN/A98473,5773,089
2010-06-02$21.83$20.0043.3%12.4%66.2%37.3%43.9%5.9%3.7%53.9K-2.1M-19.2K0.4232.22N/AN/A71303,5843,121
2010-06-03$21.91$20.0042.9%12.3%66.2%36.7%43.2%5.2%4.0%59.8K-2.3M-19.2K3.2531.84N/AN/A652113,6353,121
2010-06-04$20.31$20.0058.2%15.8%70.2%60.8%53.6%8.8%-1.6%45.9K-722.4K-18.2K0.0232.22N/AN/A9323,6623,064
2010-06-07$19.85$20.0056.2%16.1%69.6%57.6%57.5%10.6%-3.1%41.6K-238.8K-17.2K0.0030.02N/AN/A0343,6823,061
2010-06-08$20.62$20.0055.3%14.9%60.2%56.5%51.4%8.7%0.8%52.4K-705.7K-17.3K8.8629.54N/AN/A7623,6823,071
2010-06-09$20.07$20.0055.4%14.7%60.5%56.7%59.1%8.8%2.3%44.9K-348.1K-16.9K1.1244.24N/AN/A41463,6783,133
2010-06-10$21.05$20.0050.0%14.3%63.5%48.1%54.5%8.8%1.8%60.0K-1.2M-17.0K9.0036.15N/AN/A4363,6823,172
2010-06-11$21.31$20.0045.4%13.0%62.8%40.8%50.0%7.7%3.6%63.1K-1.6M-16.6K0.4534.94N/AN/A188843,6783,166
2010-06-14$21.29$20.0044.6%12.8%61.8%39.6%47.5%9.5%2.1%67.3K-1.8M-17.2K0.6630.43N/AN/A67443,8663,208
2010-06-15$21.95$20.0044.0%12.6%62.8%38.6%43.7%6.4%3.8%79.3K-2.7M-17.0K0.0024.26N/AN/A903,9243,196
2010-06-16$22.03$20.0042.9%12.3%62.6%36.8%43.0%7.8%3.8%74.3K-2.8M-16.6K0.0915.95N/AN/A5553,8823,196
2010-06-17$22.13$20.0042.5%12.2%62.3%36.3%42.2%7.2%4.7%75.8K-2.9M-16.0K4.7132.13N/AN/A17803,8963,196
2010-06-18$21.84$20.0039.8%11.4%53.0%31.9%39.7%4.6%5.3%79.1K-2.4M-15.9K0.0123.76N/AN/A4,097223,9043,243
2010-06-21$21.88$20.0038.4%11.0%52.3%29.7%39.3%8.9%5.5%193.1K-6.1M-41.3K0.0321.73N/AN/A16857,5262,968
2010-06-22$21.70$20.0038.5%11.0%52.2%29.9%43.5%16.4%4.7%195.5K-5.8M-42.0K0.4817.01N/AN/A63307,6892,968
2010-06-23$21.72$20.0039.0%11.2%52.2%30.7%0.0%11.3%5.3%199.0K-5.7M-41.8K0.6916.34N/AN/A54377,7522,973
2010-06-24$21.10$20.0045.9%13.1%53.3%41.6%46.0%0.7%6.7%180.9K-4.7M-40.1K2.3014.80N/AN/A501157,8062,992
2010-06-25$22.86$20.0047.4%13.6%55.1%44.0%0.0%17.7%13.6%206.8K-7.6M-42.9K1.6141.00N/AN/A46747,8273,103
2010-06-28$23.08$20.0045.2%13.0%54.5%40.5%43.6%7.1%3.9%219.8K-8.5M-43.7K1.9634.45N/AN/A47927,8553,177
2010-06-29$22.00$20.0044.5%12.8%56.1%39.4%49.0%15.3%6.8%197.6K-6.4M-42.7K0.8136.24N/AN/A1631327,8603,233
2010-06-30$21.39$20.0048.8%14.0%54.7%46.2%51.3%-2.1%2.1%184.0K-5.6M-42.0K5.3329.07N/AN/A3167,9773,353