PL Options History — September 2010

In September 2010, PL traded between $19.94 and $21.76. ATM implied volatility averaged 40.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.8% (HV 20d: 43.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2010-09-29: Highest Volume — 484 contracts
  • 2010-09-27: Largest IV spike — 17.0% change
  • 2010-09-14: Highest IV Rank — 39.8%
  • 2010-09-14: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.93$19.94$21.76$19.99$21.76
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV40.2%35.0%44.7%40.5%37.4%
Expected Move11.6%10.0%12.8%11.6%10.7%
HV 20d43.1%28.4%51.3%49.4%28.4%
HV 60d43.5%39.0%45.5%45.5%39.0%
IV Rank32.6%24.4%39.8%33.1%28.1%
IV Percentile26.6%11.9%45.2%24.6%18.7%
Term Structure3.1%-0.2%6.5%5.0%4.8%
VWIV39.1%26.1%43.9%40.8%39.4%
Skew 25d6.0%-2.5%13.0%-2.5%8.7%
Skew 10d11.6%-1.8%27.4%4.1%13.6%
Call IV 25d35.9%31.6%41.0%33.2%33.6%
Put IV 25d41.9%30.7%48.1%30.7%42.4%
Bid-Ask Spread %30.2516.75105.66105.6636.92
Gamma HHI0.390.350.420.350.41
Net GEX76.8K18.1K144.6K18.1K144.6K
Net DEX-1.7M-3.1M-12.6K-12.6K-3.1M
Net VEX-26.7K-28.4K-24.1K-25.7K-28.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0017.000.170.47
Total Volume113.0959484238126
Total OI8,824.7628,5929,2958,6099,295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$19.99$20.0040.5%11.6%49.4%33.1%40.8%-2.5%5.0%18.1K-12.6K-25.7K0.17105.66N/AN/A203355,8232,786
2010-09-02$19.94$20.0038.1%10.9%49.4%29.3%0.0%0.1%4.8%49.1K-622.2K-27.5K5.4527.75N/AN/A11605,9982,790
2010-09-03$20.61$20.0037.2%12.0%51.3%27.9%38.8%7.9%2.1%56.7K-1.0M-27.3K1.8925.43N/AN/A531006,0012,790
2010-09-07$19.97$20.0043.1%12.6%51.1%37.3%43.9%9.4%-0.2%44.6K-326.6K-24.3K17.0026.29N/AN/A2346,0062,778
2010-09-08$20.27$20.0044.3%12.6%50.5%39.1%39.4%8.0%1.4%52.9K-1.0M-27.4K0.0029.87N/AN/A3105,9812,812
2010-09-09$20.57$20.0044.1%12.6%43.9%38.8%0.0%8.8%1.1%53.8K-1.3M-27.8K0.0021.79N/AN/A6505,9572,812
2010-09-10$20.56$20.0042.1%12.1%43.8%35.6%41.8%4.7%2.7%49.1K-1.0M-26.2K0.0025.56N/AN/A13406,0012,812
2010-09-13$21.08$20.0044.2%12.7%44.7%38.9%0.0%11.0%-0.2%84.9K-2.0M-27.7K0.0020.52N/AN/A4006,0952,812
2010-09-14$21.13$20.0044.7%12.8%44.4%39.8%38.1%13.0%0.3%90.5K-2.2M-27.5K0.2224.01N/AN/A49116,0992,812
2010-09-15$21.38$20.0040.2%11.5%43.8%32.6%39.9%2.8%3.8%92.5K-2.6M-28.2K0.1725.18N/AN/A1836,1322,822
2010-09-16$21.09$20.0043.9%12.6%44.1%38.4%26.1%10.5%1.1%84.5K-2.2M-27.2K0.3526.03N/AN/A167596,1432,822
2010-09-17$20.84$20.0042.3%12.1%41.4%36.0%42.4%6.5%2.0%68.3K-1.8M-27.2K0.0027.06N/AN/A1006,1082,876
2010-09-20$21.35$20.0036.3%10.4%41.5%26.4%38.5%7.6%1.9%78.8K-2.1M-26.9K2.3229.74N/AN/A691605,8902,702
2010-09-21$21.48$20.0036.2%10.4%41.0%26.2%37.6%5.6%3.8%107.1K-2.6M-28.1K0.0021.67N/AN/A5905,9492,680
2010-09-22$21.11$20.0041.5%11.9%40.6%34.7%41.5%2.9%3.6%82.8K-1.9M-26.1K10.5719.14N/AN/A141485,9802,680
2010-09-23$20.69$20.0039.0%11.2%41.6%30.6%38.8%-0.8%6.5%51.3K-1.4M-25.0K0.0035.62N/AN/A0205,9782,785
2010-09-24$21.32$20.0035.0%10.0%41.5%24.4%39.8%3.8%5.9%85.6K-1.8M-25.7K1.2533.77N/AN/A75945,9782,806
2010-09-27$21.11$20.0040.9%11.7%39.6%33.8%35.4%3.9%4.5%80.4K-1.8M-24.1K0.0020.06N/AN/A3206,0532,767
2010-09-28$21.53$20.0037.3%10.7%36.2%28.0%41.8%5.2%5.8%109.9K-2.2M-25.1K0.2936.41N/AN/A726,0852,767
2010-09-29$21.72$20.0036.3%10.4%36.2%26.5%40.4%9.0%5.5%126.5K-2.7M-26.8K0.1216.75N/AN/A433516,0882,769
2010-09-30$21.76$20.0037.4%10.7%28.4%28.1%39.4%8.7%4.8%144.6K-3.1M-28.4K0.4736.92N/AN/A86406,5202,775