PL Options History — November 2010

In November 2010, PL traded between $23.52 and $25.12. ATM implied volatility averaged 35.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 10.9% (HV 20d: 24.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-11-04: Highest Volume — 264 contracts
  • 2010-11-24: Largest IV drop — 18.4% change
  • 2010-11-23: Highest IV Rank — 41.3%
  • 2010-11-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.24$23.52$25.12$24.07$23.52
Max Pain$24.50$22.50$25.00$22.50$25.00
ATM IV35.5%31.4%39.7%39.4%38.1%
Expected Move10.3%9.0%11.4%11.3%10.9%
HV 20d24.6%21.0%27.1%27.1%22.3%
HV 60d31.5%25.8%36.6%36.6%25.9%
IV Rank31.4%19.7%41.3%31.4%40.4%
IV Percentile18.5%10.3%32.5%31.3%29.8%
Term Structure0.7%-1.8%2.9%-0.6%-0.3%
VWIV37.6%33.1%45.5%45.5%34.6%
Skew 25d6.5%0.1%11.9%5.3%1.1%
Skew 10d6.1%-5.5%24.4%-2.1%-4.5%
Call IV 25d33.3%28.9%37.2%37.2%35.1%
Put IV 25d39.8%35.0%46.0%42.4%36.2%
Bid-Ask Spread %40.3816.0574.9116.0525.85
Gamma HHI0.810.740.850.740.82
Net GEX397.2K337.4K432.4K337.4K410.6K
Net DEX-7.3M-9.5M-5.6M-7.4M-5.6M
Net VEX-29.2K-32.8K-23.9K-32.4K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.0012.000.000.00
Total Volume5812641312
Total OI8,028.057,6598,2698,1287,718

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$24.07$22.5039.4%11.3%27.1%31.4%45.5%5.3%-0.6%337.4K-7.4M-32.4K0.0016.05N/AN/A13107,0051,123
2010-11-02$24.62$22.5039.7%11.4%26.5%31.8%39.8%9.0%-1.8%358.4K-8.3M-32.8K0.1327.21N/AN/A4057,0731,123
2010-11-03$24.59$22.5038.5%11.0%26.4%29.9%38.5%10.7%-0.2%373.7K-8.4M-32.7K0.7120.37N/AN/A14107,1081,122
2010-11-04$24.57$22.5034.8%10.0%25.6%24.0%44.0%10.1%1.6%393.8K-8.3M-32.4K0.0656.65N/AN/A249157,1221,132
2010-11-05$25.12$25.0032.1%10.2%26.3%19.7%35.4%3.2%1.1%409.6K-9.5M-32.5K0.2959.58N/AN/A3197,1171,147
2010-11-08$25.10$25.0035.0%10.0%26.4%26.8%0.0%2.9%2.5%417.2K-9.4M-31.7K0.0841.35N/AN/A1217,1131,156
2010-11-09$24.80$25.0033.0%10.2%27.1%23.3%0.0%8.8%0.2%400.4K-8.9M-31.2K0.6574.91N/AN/A43286,8751,157
2010-11-10$24.97$25.0032.9%10.0%26.7%27.3%0.0%11.9%0.7%430.4K-8.8M-31.1K0.0058.95N/AN/A2606,9051,153
2010-11-11$24.46$25.0035.2%10.1%24.8%34.2%0.0%7.5%0.8%414.5K-8.0M-30.7K0.0074.33N/AN/A016,9261,153
2010-11-12$23.91$25.0037.6%10.8%26.5%39.5%37.6%7.8%-1.0%369.9K-6.9M-29.9K12.0031.39N/AN/A3366,9261,152
2010-11-15$24.10$25.0035.9%10.3%25.1%35.6%0.0%7.8%-0.5%396.7K-7.1M-29.3K0.0031.47N/AN/A16306,9261,177
2010-11-16$23.76$25.0035.8%10.3%24.5%35.4%35.8%7.4%1.9%340.8K-6.2M-27.8K0.0031.48N/AN/A4106,8941,177
2010-11-17$23.81$25.0035.4%10.2%23.5%34.6%38.3%6.1%1.3%365.4K-6.3M-27.7K1.2531.25N/AN/A8106,9351,177
2010-11-18$24.13$25.0034.4%9.9%23.8%32.5%34.4%5.6%1.0%425.4K-6.9M-28.1K0.0043.04N/AN/A2406,9351,187
2010-11-19$24.03$25.0033.1%9.5%21.0%29.6%33.1%9.0%1.4%411.3K-6.5M-27.8K0.0032.75N/AN/A18906,9591,187
2010-11-23$23.54$25.0038.5%11.0%21.9%41.3%38.3%0.1%1.8%399.4K-5.6M-25.6K1.2542.06N/AN/A8106,715944
2010-11-24$24.05$25.0031.4%9.0%22.1%25.8%0.0%6.8%2.9%432.4K-6.5M-26.5K0.0062.39N/AN/A0106,713954
2010-11-26$23.82$25.0034.0%9.7%22.3%31.5%33.9%4.4%0.6%424.1K-6.1M-25.6K0.0025.60N/AN/A2106,713964
2010-11-29$23.83$25.0034.8%10.0%22.2%33.3%34.6%5.4%0.5%432.2K-5.9M-24.8K0.0020.97N/AN/A2006,734964
2010-11-30$23.52$25.0038.1%10.9%22.3%40.4%0.0%1.1%-0.3%410.6K-5.6M-23.9K0.0025.85N/AN/A026,754964