PL Options History — February 2011 In February 2011, PL traded between $27.38 and $29.49. ATM implied volatility averaged 32.7%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.2% (HV 20d: 23.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.06.
Notable Days 2011-02-02 : Highest Volume — 374 contracts2011-02-23 : Largest IV spike — 25.9% change2011-02-09 : Highest IV Rank — 44.7%2011-02-23 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $28.55 $27.38 $29.49 $28.34 $28.43 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 32.7% 28.0% 40.0% 34.7% 28.9% Expected Move 9.0% 8.0% 10.9% 9.9% 8.3% HV 20d 23.5% 19.8% 28.8% 20.7% 25.3% HV 60d 23.2% 22.3% 23.9% 23.4% 23.5% IV Rank 28.7% 18.4% 44.7% 33.1% 20.4% IV Percentile 22.9% 5.6% 58.3% 24.2% 9.1% Term Structure 0.2% -3.9% 2.7% -2.9% 1.9% VWIV 30.4% 20.1% 34.9% 34.8% 29.3% Skew 25d 6.4% -9.6% 13.8% 10.5% -2.2% Skew 10d 7.7% -2.1% 20.6% 5.7% -0.4% Call IV 25d 29.7% 25.8% 35.5% 34.8% 29.3% Put IV 25d 36.1% 21.0% 46.5% 45.3% 27.0% Bid-Ask Spread % 53.23 24.07 91.29 28.01 66.87 Gamma HHI 0.90 0.70 0.98 0.93 0.91 Net GEX 198.3K 51.8K 365.8K 152.3K 63.4K Net DEX -2.1M -3.4M -1.1M -2.1M -1.5M Net VEX -7.5K -9.1K -5.7K -8.7K -6.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.00 6.18 0.00 1.83 Total Volume 86.421 1 374 10 17 Total OI 3,056.526 1,985 3,800 2,910 2,136
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-02-01 $28.34 $30.00 34.7% 9.9% 20.7% 33.1% 34.8% 10.5% -2.9% 152.3K -2.1M -8.7K 0.00 28.01 N/A N/A 10 0 2,167 743 2011-02-02 $28.33 $30.00 33.6% 9.6% 20.6% 30.7% 34.5% 9.0% -2.6% 161.6K -2.0M -8.4K 0.00 24.26 N/A N/A 374 0 2,177 743 2011-02-03 $28.43 $30.00 34.4% 9.8% 19.8% 32.3% 34.9% 11.0% -3.0% 205.6K -2.3M -9.0K 0.00 26.23 N/A N/A 44 0 2,467 743 2011-02-04 $28.89 $30.00 35.2% 9.2% 20.5% 34.1% 0.0% 11.5% -0.0% 224.5K -2.7M -9.1K 0.00 34.69 N/A N/A 169 0 2,484 743 2011-02-07 $29.49 $30.00 39.2% 9.2% 21.8% 43.0% 32.2% 13.8% 0.4% 260.1K -3.4M -9.0K 0.44 24.07 N/A N/A 39 17 2,505 743 2011-02-08 $29.18 $30.00 40.0% 9.4% 22.2% 44.7% 0.0% 10.5% -0.6% 254.0K -3.2M -8.8K 0.01 26.25 N/A N/A 124 1 2,540 760 2011-02-09 $28.99 $30.00 40.0% 9.4% 22.3% 44.7% 0.0% 11.7% -1.2% 255.8K -3.1M -9.0K 0.35 64.75 N/A N/A 171 60 2,600 761 2011-02-10 $28.49 $30.00 30.3% 8.7% 23.0% 23.5% 30.3% 5.7% 0.1% 186.6K -1.6M -7.0K 0.45 64.82 N/A N/A 128 58 2,675 821 2011-02-11 $29.03 $30.00 28.3% 8.1% 23.5% 19.1% 0.0% 12.8% 2.7% 365.8K -2.6M -8.5K 0.00 26.80 N/A N/A 89 0 2,767 842 2011-02-14 $28.85 $30.00 30.3% 8.7% 23.6% 23.3% 30.3% 9.3% 1.3% 347.7K -2.5M -7.9K 1.17 69.72 N/A N/A 6 7 2,822 842 2011-02-15 $28.59 $30.00 28.8% 8.3% 23.8% 20.1% 28.8% 7.7% 1.2% 212.3K -1.7M -6.8K 0.37 69.74 N/A N/A 62 23 2,819 849 2011-02-16 $28.76 $30.00 28.2% 8.1% 23.7% 18.9% 28.2% 8.3% 2.6% 263.7K -1.9M -7.1K 2.27 53.84 N/A N/A 11 25 2,879 872 2011-02-17 $28.84 $30.00 28.1% 8.1% 23.2% 18.6% 0.0% 10.0% 1.9% 282.9K -1.9M -7.0K 3.33 54.99 N/A N/A 3 10 2,890 897 2011-02-18 $28.92 $30.00 28.0% 8.0% 23.0% 18.4% 0.0% -3.7% 2.0% 301.8K -2.0M -6.5K 0.07 78.44 N/A N/A 14 1 2,893 907 2011-02-22 $27.91 $30.00 30.3% 8.7% 26.6% 23.5% 0.0% -9.6% 2.5% 59.2K -1.4M -6.3K 0.00 43.18 N/A N/A 1 0 1,309 676 2011-02-23 $27.47 $30.00 38.2% 10.9% 27.1% 40.7% 20.1% -3.6% -3.9% 53.7K -1.2M -5.9K 0.20 91.29 N/A N/A 10 2 1,310 676 2011-02-24 $27.38 $30.00 35.7% 10.2% 27.0% 35.3% 0.0% -0.2% 0.7% 51.8K -1.1M -5.7K 3.40 88.27 N/A N/A 10 34 1,310 676 2011-02-25 $28.19 $30.00 28.9% 8.3% 28.8% 20.4% 0.0% 9.8% 0.2% 64.8K -1.4M -6.1K 6.18 75.12 N/A N/A 17 105 1,320 710 2011-02-28 $28.43 $30.00 28.9% 8.3% 25.3% 20.4% 29.3% -2.2% 1.9% 63.4K -1.5M -6.6K 1.83 66.87 N/A N/A 6 11 1,326 810
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