PL Options History — March 2011

In March 2011, PL traded between $25.59 and $28.51. ATM implied volatility averaged 32.1%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.2% (HV 20d: 26.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 3.36.

Notable Days

  • 2011-03-08: Highest Volume — 165 contracts
  • 2011-03-10: Largest IV spike — 58.5% change
  • 2011-03-16: Highest IV Rank — 45.6%
  • 2011-03-16: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.81$25.59$28.51$28.07$26.55
Max Pain$25.65$25.00$30.00$30.00$25.00
ATM IV32.1%20.4%40.4%30.1%29.7%
Expected Move9.5%6.8%11.6%8.6%8.5%
HV 20d26.0%24.0%29.1%25.8%24.7%
HV 60d23.9%22.5%25.5%22.7%23.5%
IV Rank27.4%1.7%45.6%22.9%22.1%
IV Percentile25.1%0.4%60.3%11.9%11.5%
Term Structure1.7%-3.1%7.5%0.4%7.5%
VWIV30.7%19.0%40.2%32.2%35.2%
Skew 25d6.2%-8.8%14.8%-4.6%7.8%
Skew 10d9.4%-5.1%52.3%-0.4%52.3%
Call IV 25d27.9%23.0%34.9%30.8%23.5%
Put IV 25d34.1%23.4%44.2%26.1%31.2%
Bid-Ask Spread %50.1916.8098.7995.2637.61
Gamma HHI0.640.400.910.910.45
Net GEX25.3K-12.4K68.7K59.9K-12.4K
Net DEX-743.1K-1.4M-173.2K-1.3M-670.0K
Net VEX-6.0K-6.9K-5.2K-6.5K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0020.000.005.00
Total Volume44.2170165218
Total OI2,323.7832,1482,4862,1522,450

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$28.07$30.0030.1%8.6%25.8%22.9%0.0%-4.6%0.4%59.9K-1.3M-6.5K0.0095.26N/AN/A021,332820
2011-03-02$27.82$30.0026.6%7.6%24.0%15.2%32.2%-8.8%-1.5%57.3K-1.2M-6.4K0.0093.48N/AN/A2901,332822
2011-03-03$28.51$30.0023.6%6.8%25.7%8.7%0.0%-4.6%1.2%68.7K-1.4M-6.9K0.0017.29N/AN/A801,361822
2011-03-04$28.18$25.0032.7%8.6%26.0%28.7%0.0%6.9%2.4%63.3K-1.3M-6.9K0.0034.55N/AN/A1801,369822
2011-03-07$27.78$25.0020.4%9.2%25.6%1.7%32.2%2.1%0.7%54.0K-1.1M-6.2K0.0036.16N/AN/A401,387822
2011-03-08$27.94$25.0020.4%8.8%24.4%1.7%0.0%6.9%3.4%58.2K-1.2M-6.0K1.2954.25N/AN/A72931,391822
2011-03-09$27.71$25.0023.5%8.8%24.3%8.5%0.0%6.0%1.4%53.9K-1.1M-6.7K4.0835.15N/AN/A12491,458904
2011-03-10$26.98$25.0037.2%10.7%25.8%38.6%0.0%3.0%-0.4%41.3K-855.1K-6.8K0.0737.21N/AN/A1411,470953
2011-03-11$27.18$25.0037.0%10.6%25.5%38.1%29.5%3.2%-0.1%41.3K-890.0K-6.7K0.0090.60N/AN/A601,467954
2011-03-14$26.89$25.0038.1%10.9%24.4%40.6%40.0%3.4%-0.9%36.5K-720.1K-6.2K20.0086.56N/AN/A1201,462954
2011-03-15$26.25$25.0039.2%11.2%25.4%42.9%20.5%9.5%-1.2%23.3K-474.4K-6.0K0.5098.79N/AN/A20101,461964
2011-03-16$25.60$25.0040.4%11.6%26.4%45.6%40.2%14.8%-3.1%14.0K-173.2K-5.8K0.0290.59N/AN/A15331,441974
2011-03-17$25.85$25.0037.8%10.8%26.7%39.9%19.9%13.3%0.7%26.4K-460.0K-5.7K0.0085.29N/AN/A501,511975
2011-03-18$25.76$25.0036.9%10.6%26.5%37.9%0.0%12.8%0.5%22.3K-489.6K-5.6K0.0036.29N/AN/A001,506964
2011-03-21$26.51$25.0036.0%10.3%29.1%35.9%19.0%11.5%4.6%14.2K-605.8K-5.2K19.8335.51N/AN/A61191,239909
2011-03-22$26.16$25.0031.8%9.1%26.9%26.8%31.7%8.0%3.6%3.9K-477.8K-5.5K6.6732.50N/AN/A3201,233999
2011-03-23$25.59$25.0033.2%9.5%27.4%29.8%33.2%9.4%3.4%33-237.9K-5.6K4.2024.24N/AN/A20841,2301,007
2011-03-24$25.86$25.0032.1%9.2%27.8%27.4%32.2%5.9%4.0%-10.0K-278.1K-5.6K0.4816.80N/AN/A23111,2231,091
2011-03-25$26.28$25.0033.8%9.7%26.2%31.1%33.9%9.9%3.4%-6.0K-440.2K-5.5K6.1340.23N/AN/A8491,2381,085
2011-03-28$26.16$25.0031.2%8.9%25.8%25.4%0.0%7.1%4.3%-11.5K-454.9K-5.4K0.0035.44N/AN/A5301,2451,114
2011-03-29$26.31$25.0035.1%10.1%25.8%34.0%35.2%9.2%0.8%-8.3K-478.7K-5.8K2.1519.76N/AN/A20431,2981,114
2011-03-30$26.74$25.0031.6%9.1%26.6%26.3%0.0%9.2%4.6%-9.1K-704.6K-5.6K0.1120.81N/AN/A1821,3151,137
2011-03-31$26.55$25.0029.7%8.5%24.7%22.1%0.0%7.8%7.5%-12.4K-670.0K-5.5K5.0037.61N/AN/A3151,3131,137