PL Options History — October 2010

In October 2010, PL traded between $21.93 and $24.25. ATM implied volatility averaged 38.5%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 12.5% (HV 20d: 26.0%). 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 3 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2010-10-26: Highest Volume — 696 contracts
  • 2010-10-14: Largest IV spike — 52.4% change
  • 2010-10-25: Highest IV Rank — 39.1%
  • 2010-10-25: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.90$21.93$24.25$21.97$23.97
Max Pain$22.02$20.00$22.50$20.00$22.50
ATM IV38.5%28.0%44.3%33.9%38.5%
Expected Move11.8%9.7%12.7%9.7%11.0%
HV 20d26.0%23.8%28.3%28.3%27.2%
HV 60d37.8%36.6%38.9%38.5%36.6%
IV Rank30.0%13.3%39.1%22.6%29.9%
IV Percentile26.5%4.0%54.0%11.5%26.6%
Term Structure-1.1%-3.5%7.5%7.5%-1.0%
VWIV40.9%26.5%45.2%26.5%43.0%
Skew 25d6.7%1.6%11.0%11.0%2.5%
Skew 10d11.7%-4.0%23.9%15.7%-4.0%
Call IV 25d37.8%30.9%42.4%30.9%36.4%
Put IV 25d44.5%38.9%48.8%41.9%38.9%
Bid-Ask Spread %27.7214.2154.1034.9137.41
Gamma HHI0.570.400.750.410.73
Net GEX255.7K153.5K349.7K153.5K331.3K
Net DEX-5.0M-7.5M-3.4M-3.4M-7.2M
Net VEX-28.5K-33.1K-25.0K-28.0K-32.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0010.000.261.02
Total Volume114.952569620681
Total OI8,488.3816,6359,7009,3978,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$21.97$20.0033.9%9.7%28.3%22.6%26.5%11.0%7.5%153.5K-3.4M-28.0K0.2634.91N/AN/A164426,5952,802
2010-10-04$21.93$20.0035.7%12.2%26.3%25.4%0.0%9.4%-1.0%162.1K-3.4M-27.8K0.0921.87N/AN/A1116,7582,844
2010-10-05$22.56$20.0038.4%12.3%24.4%29.7%38.9%7.3%-1.4%217.7K-4.7M-29.2K0.5223.76N/AN/A48256,7642,845
2010-10-06$22.49$20.0038.7%12.4%24.4%30.2%43.2%7.8%-2.4%210.0K-4.7M-29.1K5.6319.82N/AN/A191076,8122,845
2010-10-07$22.18$22.5036.0%11.9%25.0%26.0%0.0%6.8%0.0%193.9K-4.0M-28.3K10.0017.87N/AN/A2206,8252,791
2010-10-08$22.33$22.5033.6%12.0%25.0%22.2%0.0%6.8%-0.5%223.0K-4.4M-28.1K0.6721.26N/AN/A326,8252,780
2010-10-11$22.53$22.5036.8%12.1%23.8%27.2%45.2%6.0%-2.1%260.0K-4.8M-27.2K0.5520.83N/AN/A20116,8272,782
2010-10-12$22.64$22.5037.5%12.3%23.8%28.3%39.7%7.4%-2.3%281.5K-5.1M-27.1K0.3723.21N/AN/A27106,8452,793
2010-10-13$23.04$22.5028.0%12.0%24.2%13.3%38.6%9.5%-1.5%299.5K-6.0M-28.0K0.5328.64N/AN/A34186,8622,803
2010-10-14$22.30$22.5042.7%12.3%26.8%36.6%44.1%4.8%-3.2%293.0K-4.5M-26.7K1.5937.89N/AN/A22356,8592,807
2010-10-15$22.23$22.5041.9%12.0%26.3%35.4%43.9%6.0%-1.4%349.7K-3.9M-25.0K0.7739.41N/AN/A13106,8592,841
2010-10-18$22.83$22.5041.2%11.8%26.6%34.2%42.2%5.4%-0.4%222.2K-4.1M-26.6K0.1436.89N/AN/A91135,701934
2010-10-19$22.37$22.5042.7%12.3%27.8%36.6%45.2%1.6%-1.8%212.6K-3.9M-26.2K1.8843.23N/AN/A16305,792945
2010-10-20$22.85$22.5041.9%12.0%27.6%35.4%41.8%7.9%-1.0%233.3K-4.3M-26.1K2.2954.10N/AN/A24555,806965
2010-10-21$23.04$22.5042.2%12.1%26.2%35.7%42.0%6.8%-2.0%242.1K-4.5M-27.1K0.0422.16N/AN/A2315,8201,015
2010-10-22$23.80$22.5038.0%10.9%26.5%29.1%37.1%8.8%-0.9%259.0K-5.6M-28.6K0.0221.47N/AN/A583105,8411,016
2010-10-25$23.54$22.5044.3%12.7%26.6%39.1%41.5%7.6%-3.5%274.5K-5.8M-29.4K0.0023.19N/AN/A6606,2771,016
2010-10-26$24.02$22.5040.5%11.6%26.6%33.2%42.1%7.0%-2.7%294.4K-6.8M-30.2K0.1025.34N/AN/A632646,3131,016
2010-10-27$24.13$22.5039.4%11.3%26.6%31.3%44.0%4.7%-1.5%319.9K-7.3M-32.8K2.5014.21N/AN/A4106,9021,080
2010-10-28$24.25$22.5037.3%10.7%26.5%28.1%36.1%6.1%0.8%335.8K-7.5M-33.1K0.0214.68N/AN/A6616,9061,087
2010-10-29$23.97$22.5038.5%11.0%27.2%29.9%43.0%2.5%-1.0%331.3K-7.2M-32.9K1.0237.41N/AN/A40416,9721,088