PL Options History — July 2010

In July 2010, PL traded between $20.31 and $22.49. ATM implied volatility averaged 48.9%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 1.3% (HV 20d: 47.6%). 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 5 of 21 days. Put/call ratio averaged 3.27.

Notable Days

  • 2010-07-22: Highest Volume — 619 contracts
  • 2010-07-12: Largest IV spike — 27.4% change
  • 2010-07-12: Highest IV Rank — 56.2%
  • 2010-07-06: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.40$20.31$22.49$20.95$22.49
Max Pain$22.26$20.00$22.50$20.00$22.50
ATM IV48.9%38.0%55.1%51.8%46.4%
Expected Move14.4%13.0%15.6%14.9%13.3%
HV 20d47.6%39.4%55.1%55.1%39.4%
HV 60d55.1%53.9%58.0%56.4%53.9%
IV Rank46.4%29.2%56.2%51.0%42.4%
IV Percentile45.9%15.5%63.1%52.4%39.3%
Term Structure-1.0%-5.8%3.7%3.7%-1.5%
VWIV49.6%44.8%59.6%59.6%46.6%
Skew 25d8.4%-2.2%17.5%10.2%6.6%
Skew 10d16.8%-7.4%37.0%28.7%3.8%
Call IV 25d45.6%36.0%50.3%44.4%43.1%
Put IV 25d54.1%47.0%58.4%54.6%49.7%
Bid-Ask Spread %31.9920.1853.7034.8234.08
Gamma HHI0.440.390.540.430.44
Net GEX132.9K64.3K227.4K162.2K135.3K
Net DEX-3.5M-6.3M-1.6M-4.1M-3.9M
Net VEX-38.3K-41.7K-33.9K-39.3K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.270.0046.206.960.20
Total Volume172.71416619382122
Total OI10,097.2867,73711,83111,3368,718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$20.95$20.0051.8%14.9%55.1%51.0%59.6%10.2%3.7%162.2K-4.1M-39.3K6.9634.82N/AN/A483347,9743,362
2010-07-02$20.59$20.0052.1%14.9%48.2%51.5%48.6%-2.2%2.6%150.1K-3.7M-39.7K0.8428.19N/AN/A1201017,9753,555
2010-07-06$20.99$22.5049.3%15.6%47.8%47.0%52.3%8.1%-0.4%155.1K-3.9M-38.3K0.9120.79N/AN/A77707,9003,642
2010-07-07$22.26$22.5038.0%14.2%50.3%29.2%53.3%10.4%2.7%227.4K-6.3M-41.7K1.7731.96N/AN/A31557,9703,688
2010-07-08$21.58$22.5044.5%14.1%50.6%39.4%49.5%6.0%-2.0%186.2K-4.9M-41.3K0.2220.73N/AN/A98227,9753,718
2010-07-09$21.53$22.5043.2%14.2%47.9%37.4%50.2%8.1%-1.4%187.2K-4.5M-40.3K0.1921.03N/AN/A384728,0343,739
2010-07-12$21.29$22.5055.1%14.3%47.9%56.2%0.0%7.6%-0.6%168.8K-4.2M-37.4K0.2321.48N/AN/A1337,9703,738
2010-07-13$21.58$22.5044.6%13.9%48.1%39.7%48.6%8.6%-1.2%201.2K-5.2M-39.7K1.3220.18N/AN/A38507,9773,738
2010-07-14$21.11$22.5055.0%15.3%47.4%56.1%0.0%9.6%0.5%157.6K-3.7M-37.5K0.0027.63N/AN/A4007,9923,788
2010-07-15$21.00$22.5052.2%15.0%47.4%51.6%0.0%7.3%-1.7%83.3K-4.0M-36.1K0.7427.67N/AN/A27208,0083,788
2010-07-16$20.31$22.5054.2%15.5%48.6%54.7%50.2%8.5%-3.7%138.0K-2.8M-34.3K0.3733.79N/AN/A67258,0283,803
2010-07-19$20.63$22.5054.0%15.5%48.9%54.6%47.9%9.9%0.2%64.3K-1.6M-33.9K0.1835.75N/AN/A139255,4142,323
2010-07-20$21.05$22.5053.3%15.3%49.6%53.4%44.8%17.5%-2.5%69.3K-1.7M-34.7K0.3253.70N/AN/A155505,4592,337
2010-07-21$20.56$22.5052.3%15.0%50.1%51.7%48.7%6.8%-0.5%68.7K-1.8M-34.9K46.2039.23N/AN/A52315,5412,385
2010-07-22$21.51$22.5045.5%13.0%52.9%40.9%45.1%16.8%-0.3%81.0K-2.2M-37.1K0.6543.76N/AN/A3752445,5452,571
2010-07-23$21.70$22.5046.5%13.3%51.9%42.6%46.4%8.0%-2.0%92.5K-2.6M-39.4K0.2934.02N/AN/A168485,8642,662
2010-07-26$22.03$22.5047.0%13.5%43.3%43.4%50.8%6.8%-2.9%109.0K-3.1M-40.0K2.0039.48N/AN/A40806,0282,672
2010-07-27$22.12$22.5047.6%13.6%43.1%44.3%47.9%6.8%-5.8%115.0K-3.5M-40.2K0.9428.36N/AN/A54516,0412,692
2010-07-28$21.68$22.5047.5%13.6%40.2%44.2%49.9%8.0%-3.6%112.3K-2.8M-38.4K3.4034.67N/AN/A15516,0912,642
2010-07-29$22.36$22.5046.4%13.3%40.4%42.4%52.8%7.9%-0.9%126.6K-3.6M-39.5K0.8440.47N/AN/A43366,0962,600
2010-07-30$22.49$22.5046.4%13.3%39.4%42.4%46.6%6.6%-1.5%135.3K-3.9M-40.7K0.2034.08N/AN/A102206,1342,584