PL Options History — August 2010

In August 2010, PL traded between $18.52 and $23.16. ATM implied volatility averaged 43.3%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.4% (HV 20d: 40.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.94.

Notable Days

  • 2010-08-18: Highest Volume — 344 contracts
  • 2010-08-11: Largest IV spike — 49.8% change
  • 2010-08-11: Highest IV Rank — 56.6%
  • 2010-08-02: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.49$18.52$23.16$23.16$18.68
Max Pain$20.45$20.00$22.50$22.50$20.00
ATM IV43.3%35.5%55.3%49.7%43.1%
Expected Move12.4%10.5%14.2%14.2%12.4%
HV 20d40.8%34.9%45.2%39.7%41.4%
HV 60d48.6%44.0%53.7%53.7%44.0%
IV Rank37.5%25.2%56.6%47.7%37.3%
IV Percentile33.8%11.9%72.6%49.2%33.3%
Term Structure1.6%-6.5%11.3%-6.5%11.3%
VWIV42.3%25.1%50.3%49.9%25.1%
Skew 25d6.6%-0.2%14.6%8.1%4.2%
Skew 10d9.1%-13.9%20.3%12.3%3.5%
Call IV 25d39.9%30.3%46.4%43.4%42.3%
Put IV 25d46.5%40.6%53.9%51.4%46.5%
Bid-Ask Spread %42.5224.4265.1832.6345.47
Gamma HHI0.370.330.450.450.34
Net GEX72.9K3.4K184.4K159.7K3.4K
Net DEX-1.3M-5.0M1.3M-5.0M1.3M
Net VEX-31.0K-40.4K-21.7K-40.4K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.940.0035.671.850.77
Total Volume102.682133447723
Total OI8,881.5458,5349,2778,7838,603

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$23.16$22.5049.7%14.2%39.7%47.7%49.9%8.1%-6.5%159.7K-5.0M-40.4K1.8532.63N/AN/A27506,1992,584
2010-08-03$22.32$22.5047.5%13.6%42.1%44.2%46.3%8.3%-2.3%142.5K-4.0M-39.2K1.8441.35N/AN/A571056,2092,574
2010-08-04$22.45$22.5038.5%11.0%36.6%30.0%38.5%13.1%1.4%159.1K-3.9M-38.6K0.0038.05N/AN/A6106,2542,543
2010-08-05$22.27$22.5036.8%10.5%34.9%27.2%36.8%13.2%3.9%157.0K-3.8M-38.7K0.6024.42N/AN/A42256,2772,543
2010-08-06$22.21$20.0035.5%11.2%34.9%25.2%38.9%3.5%3.0%152.1K-3.4M-37.7K0.8836.12N/AN/A42376,2852,553
2010-08-09$22.74$20.0035.8%11.5%35.4%25.6%40.3%4.6%1.4%184.4K-4.3M-38.2K0.3038.50N/AN/A37116,3242,543
2010-08-10$21.95$20.0037.0%10.8%37.7%27.5%0.0%9.5%2.6%158.7K-3.4M-36.2K1.3843.11N/AN/A8116,3502,553
2010-08-11$20.42$20.0055.3%14.1%45.2%56.6%50.3%14.6%-1.2%84.3K-1.6M-31.9K2.9242.06N/AN/A762226,3402,564
2010-08-12$20.32$20.0043.3%12.4%45.2%37.4%0.0%7.6%2.9%64.1K-975.1K-31.8K12.0059.70N/AN/A101206,3732,692
2010-08-13$20.36$20.0043.7%12.5%43.6%38.2%43.5%6.7%2.4%58.3K-943.8K-32.2K0.4251.58N/AN/A40176,3772,787
2010-08-16$20.15$20.0045.6%13.1%43.4%41.2%45.8%7.3%2.0%45.1K-645.5K-31.2K1.3534.70N/AN/A37506,4032,797
2010-08-17$20.65$20.0042.7%12.2%43.7%36.6%0.0%5.0%1.8%55.1K-1.1M-31.6K0.0038.24N/AN/A1306,4022,846
2010-08-18$20.60$20.0042.9%12.3%42.9%37.0%43.2%4.9%2.6%51.0K-1.1M-30.9K0.1835.83N/AN/A292526,3952,846
2010-08-19$19.74$20.0046.6%13.3%41.9%42.7%0.0%0.6%-6.2%31.9K-347.1K-29.5K0.1147.43N/AN/A204226,3952,882
2010-08-20$19.45$20.0041.8%12.0%41.8%35.2%42.9%4.2%3.4%20.0K347.7K-26.8K35.6735.20N/AN/A31076,3762,888
2010-08-23$19.22$20.0039.7%11.4%41.1%31.9%39.6%5.9%5.6%26.1K155.7K-26.6K0.0045.05N/AN/A6805,7952,739
2010-08-24$18.79$20.0043.5%12.5%41.3%37.8%0.0%4.1%2.8%10.1K1.1M-22.1K0.0065.18N/AN/A0525,8432,739
2010-08-25$18.89$20.0041.5%11.9%41.3%34.7%46.1%-0.2%-1.1%6.9K906.9K-24.6K0.0444.77N/AN/A7135,8432,791
2010-08-26$18.52$20.0048.3%13.9%39.0%45.5%48.1%3.3%-1.9%10.4K764.4K-24.6K0.3844.43N/AN/A130505,8922,791
2010-08-27$19.33$20.0045.5%13.0%42.9%41.0%25.1%4.3%-0.5%13.2K530.1K-25.0K0.0041.51N/AN/A4205,8202,781
2010-08-30$18.56$20.0047.5%13.6%42.1%44.2%0.0%11.6%7.9%10.2K613.1K-23.7K1.1050.02N/AN/A20225,8222,781
2010-08-31$18.68$20.0043.1%12.4%41.4%37.3%0.0%4.2%11.3%3.4K1.3M-21.7K0.7745.47N/AN/A13105,8222,781