PL Options History — January 2011

In January 2011, PL traded between $27.50 and $28.94. ATM implied volatility averaged 33.0%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 11.0% (HV 20d: 22.0%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2011-01-27: Highest Volume — 983 contracts
  • 2011-01-28: Largest IV spike — 35.7% change
  • 2011-01-28: Highest IV Rank — 54.5%
  • 2011-01-28: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.37$27.50$28.94$27.98$27.57
Max Pain$28.50$22.50$30.00$22.50$30.00
ATM IV33.0%24.6%44.5%24.6%37.7%
Expected Move9.8%7.0%12.8%7.0%10.8%
HV 20d22.0%20.7%25.7%23.4%25.3%
HV 60d23.3%21.6%25.1%25.1%22.8%
IV Rank29.3%10.9%54.5%10.9%39.6%
IV Percentile20.8%2.4%73.4%2.4%43.3%
Term Structure-0.6%-6.7%4.7%3.4%-0.6%
VWIV36.1%29.6%44.4%40.0%43.6%
Skew 25d8.2%-4.5%13.7%11.2%13.6%
Skew 10d10.3%-5.0%24.1%10.8%5.9%
Call IV 25d32.5%28.5%36.7%28.5%33.9%
Put IV 25d40.7%26.2%47.5%39.8%47.5%
Bid-Ask Spread %43.1925.3672.4231.6125.70
Gamma HHI0.680.480.900.780.90
Net GEX174.5K48.5K280.6K267.0K124.2K
Net DEX-10.1M-14.8M-1.4M-12.3M-1.6M
Net VEX-9.0K-12.3K-6.9K-10.4K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.008.002.290.00
Total Volume141.051298311512
Total OI5,854.551,9237,7656,6432,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$27.98$22.5024.6%7.0%23.4%10.9%40.0%11.2%3.4%267.0K-12.3M-10.4K2.2931.61N/AN/A35805,4351,208
2011-01-04$28.15$22.5025.8%7.4%23.2%13.5%29.6%8.7%4.2%248.5K-12.4M-10.6K0.0030.88N/AN/A33905,4331,286
2011-01-05$28.60$22.5030.0%8.6%23.4%22.8%30.6%-4.5%4.7%239.8K-13.3M-11.4K0.3269.88N/AN/A3591145,6871,286
2011-01-06$28.78$22.5031.3%9.0%21.7%25.6%32.2%-3.7%3.7%255.7K-13.7M-12.3K0.3449.15N/AN/A107365,9291,399
2011-01-07$28.85$30.0028.9%10.3%20.7%20.3%35.8%11.7%-2.0%252.5K-14.0M-11.3K0.0063.92N/AN/A2505,9921,427
2011-01-10$28.85$30.0029.4%10.3%20.8%21.5%35.6%13.7%-1.0%247.1K-14.2M-10.3K0.0829.12N/AN/A6256,0121,427
2011-01-11$28.75$30.0031.1%10.5%20.9%25.2%36.2%12.0%-2.5%271.8K-14.0M-10.3K0.0130.38N/AN/A12616,0371,432
2011-01-12$28.94$30.0027.2%10.2%20.9%16.5%35.5%12.8%-1.7%258.6K-14.8M-8.8K4.4027.69N/AN/A5226,1051,433
2011-01-13$28.56$30.0036.8%10.5%21.7%37.6%36.8%10.2%-4.1%280.6K-13.7M-10.7K3.8030.38N/AN/A5196,1101,455
2011-01-14$28.70$30.0034.7%9.9%21.2%33.0%34.7%9.8%-1.5%267.5K-14.3M-9.1K0.0729.73N/AN/A2926,1151,455
2011-01-18$28.69$30.0036.0%10.3%20.7%35.8%39.5%9.6%-1.6%170.6K-14.6M-7.6K1.1572.42N/AN/A20236,1411,454
2011-01-19$28.44$30.0035.3%10.1%21.1%34.4%35.3%8.4%-1.3%183.2K-14.3M-7.6K0.2472.20N/AN/A167406,1471,476
2011-01-20$28.09$30.0035.4%10.1%21.7%34.5%44.4%7.0%-0.6%48.5K-14.3M-7.1K3.0831.21N/AN/A13406,2291,506
2011-01-21$27.93$30.0033.9%9.7%21.8%31.2%33.4%8.4%-0.6%49.4K-14.1M-7.2K0.0360.53N/AN/A3216,2291,536
2011-01-24$28.01$30.0034.6%9.9%21.5%32.8%40.3%6.7%-0.6%52.0K-1.4M-7.2K8.0044.66N/AN/A5401,254669
2011-01-25$28.11$30.0035.2%10.1%21.5%34.2%35.2%7.8%-2.2%53.4K-1.4M-6.9K0.2746.44N/AN/A37101,258702
2011-01-26$28.27$30.0034.3%9.8%21.6%32.1%0.0%5.8%-1.3%57.7K-1.5M-7.1K0.0049.75N/AN/A0121,293712
2011-01-27$28.57$30.0032.8%9.4%21.3%28.9%32.8%10.9%0.2%62.1K-1.6M-7.2K0.0342.81N/AN/A958251,284718
2011-01-28$27.50$30.0044.5%12.8%25.7%54.5%33.9%4.3%-6.7%99.0K-1.4M-7.6K0.0025.36N/AN/A1502,172743
2011-01-31$27.57$30.0037.7%10.8%25.3%39.6%43.6%13.6%-0.6%124.2K-1.6M-8.3K0.0025.70N/AN/A1202,162743