PL Options History — December 2010

In December 2010, PL traded between $24.13 and $27.37. ATM implied volatility averaged 34.9%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 11.2% (HV 20d: 23.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-12-09: Highest Volume — 3,268 contracts
  • 2010-12-10: Largest IV drop — 42.0% change
  • 2010-12-09: Highest IV Rank — 49.8%
  • 2010-12-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$24.13$27.37$24.13$26.64
Max Pain$22.84$22.50$25.00$25.00$22.50
ATM IV34.9%24.6%42.3%34.5%36.4%
Expected Move10.1%8.8%10.8%9.9%10.4%
HV 20d23.7%16.8%27.7%24.2%16.8%
HV 60d24.7%23.3%25.8%25.6%23.3%
IV Rank33.5%10.8%49.8%32.6%36.7%
IV Percentile21.5%2.0%52.4%15.9%27.8%
Term Structure4.1%0.1%17.3%0.6%4.5%
VWIV35.4%32.5%39.6%34.0%34.4%
Skew 25d5.7%-2.2%12.4%4.7%10.9%
Skew 10d9.4%-4.1%23.3%1.8%7.3%
Call IV 25d30.3%23.9%34.1%34.1%25.0%
Put IV 25d36.0%30.2%39.0%38.7%35.9%
Bid-Ask Spread %34.5213.4588.1325.1213.45
Gamma HHI0.850.810.880.830.88
Net GEX388.5K287.5K586.8K462.0K382.4K
Net DEX-10.7M-12.6M-6.6M-6.6M-10.7M
Net VEX-17.2K-25.2K-11.6K-24.7K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.007.430.000.00
Total Volume282.77353,268415
Total OI7,002.5456,3777,7967,7206,639

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$24.13$25.0034.5%9.9%24.2%32.6%34.0%4.7%0.6%462.0K-6.6M-24.7K0.0025.12N/AN/A4106,754966
2010-12-02$25.01$25.0033.1%9.5%26.2%29.4%32.5%7.3%2.4%505.6K-8.8M-25.2K0.0031.88N/AN/A3306,795966
2010-12-03$25.16$25.0034.3%9.8%26.2%32.1%0.0%-2.2%0.6%511.6K-9.3M-25.0K0.0142.92N/AN/A8516,828966
2010-12-06$25.07$22.5034.5%9.9%26.3%32.7%39.6%12.4%3.7%534.0K-9.1M-24.3K0.5723.30N/AN/A746,828967
2010-12-07$25.13$22.5032.7%9.2%25.1%28.7%37.7%12.3%5.4%586.8K-9.3M-24.0K0.0522.31N/AN/A737406,833963
2010-12-08$25.90$22.5036.6%10.0%27.3%37.3%34.9%5.6%2.3%535.3K-11.1M-22.6K0.0050.83N/AN/A5706,775962
2010-12-09$26.48$22.5042.3%10.5%27.7%49.8%36.6%6.4%0.7%462.2K-12.6M-21.3K0.0315.68N/AN/A3,1621066,813962
2010-12-10$26.53$22.5024.6%10.4%27.7%10.8%36.3%6.0%1.1%352.0K-10.8M-17.6K0.1042.38N/AN/A1,008995,7071,068
2010-12-13$26.61$22.5032.4%10.4%26.2%28.0%36.2%5.2%2.2%343.9K-10.9M-16.6K0.0021.50N/AN/A20705,6921,093
2010-12-14$26.61$22.5037.4%10.3%24.3%38.9%33.9%6.2%2.4%342.1K-11.1M-16.2K0.1726.99N/AN/A75135,7001,093
2010-12-15$26.84$22.5035.8%10.3%24.3%35.5%34.8%4.3%3.2%328.2K-11.5M-15.4K0.0436.06N/AN/A6835,6811,094
2010-12-16$27.29$22.5036.1%10.3%23.4%36.0%35.7%5.0%0.1%307.0K-11.9M-14.7K6.6423.21N/AN/A11735,6761,094
2010-12-17$27.03$22.5035.5%10.2%24.1%34.8%35.4%4.2%3.5%321.3K-11.7M-14.4K0.0048.71N/AN/A5205,6791,129
2010-12-20$27.14$22.5034.7%10.0%24.0%33.1%34.6%3.6%6.9%322.3K-11.0M-13.8K7.4328.43N/AN/A7525,2951,082
2010-12-21$27.18$22.5034.4%9.8%23.8%32.3%34.5%4.3%6.9%314.1K-10.9M-14.1K1.2169.82N/AN/A38465,2921,134
2010-12-22$27.37$22.5035.3%10.1%21.6%34.4%34.4%6.9%6.1%287.5K-11.1M-13.8K0.0148.51N/AN/A7515,3211,180
2010-12-23$27.14$22.5037.0%10.6%21.6%38.0%0.0%5.4%4.4%316.0K-11.1M-13.1K0.1825.22N/AN/A65125,3661,181
2010-12-27$27.25$22.5035.1%10.1%20.8%34.0%0.0%3.9%7.6%343.1K-11.7M-11.6K0.0088.13N/AN/A0105,4161,193
2010-12-28$27.34$22.5030.8%8.8%20.7%24.6%0.0%7.7%17.3%317.0K-11.4M-12.7K0.0026.26N/AN/A055,4161,203
2010-12-29$27.06$22.5036.6%10.5%20.4%37.1%0.0%1.9%5.5%329.5K-11.4M-12.2K0.0024.36N/AN/A605,4161,208
2010-12-30$26.93$22.5037.5%10.8%19.6%39.3%0.0%2.8%3.4%343.4K-11.2M-12.0K0.0024.45N/AN/A1705,4221,208
2010-12-31$26.64$22.5036.4%10.4%16.8%36.7%0.0%10.9%4.5%382.4K-10.7M-12.6K0.0013.45N/AN/A505,4311,208