PL Options History — April 2011

In April 2011, PL traded between $25.26 and $27.14. ATM implied volatility averaged 31.2%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.7% (HV 20d: 21.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.24.

Notable Days

  • 2011-04-19: Highest Volume — 352 contracts
  • 2011-04-14: Largest IV spike — 46.4% change
  • 2011-04-29: Highest IV Rank — 39.8%
  • 2011-04-07: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.37$25.26$27.14$26.92$26.91
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV31.2%19.9%37.9%27.7%37.9%
Expected Move10.2%7.9%11.1%7.9%10.9%
HV 20d21.5%18.8%25.4%25.3%18.9%
HV 60d23.8%23.1%24.8%23.5%23.1%
IV Rank25.2%0.6%39.8%17.6%39.8%
IV Percentile24.6%0.4%50.8%6.3%50.8%
Term Structure-2.1%-7.8%12.0%12.0%-5.3%
VWIV34.6%28.3%37.5%30.5%37.5%
Skew 25d8.4%1.8%14.0%11.4%2.6%
Skew 10d11.3%-3.0%21.1%11.8%-3.0%
Call IV 25d28.0%20.8%34.9%20.8%34.9%
Put IV 25d36.5%32.3%39.3%32.3%37.5%
Bid-Ask Spread %41.6221.1873.7525.0825.44
Gamma HHI0.430.360.520.440.52
Net GEX-3.3K-20.2K11.3K-6.1K11.3K
Net DEX-581.0K-988.7K188.8K-791.9K-579.1K
Net VEX-5.0K-5.6K-4.6K-5.4K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.240.0021.009.330.00
Total Volume39.10352310
Total OI2,021.61,1042,5392,4411,566

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$26.92$25.0027.7%7.9%25.3%17.6%30.5%11.4%12.0%-6.1K-791.9K-5.4K9.3325.08N/AN/A3281,3161,125
2011-04-04$26.67$25.0032.3%9.8%25.0%27.8%0.0%4.8%-0.4%-10.1K-748.1K-5.3K21.0042.70N/AN/A2421,3191,143
2011-04-05$26.80$25.0019.9%9.8%25.0%0.6%0.0%5.0%-0.6%-5.0K-931.5K-4.9K0.0025.87N/AN/A001,3191,143
2011-04-06$27.14$25.0022.3%9.7%25.4%5.9%0.0%4.0%-0.3%-2.4K-977.8K-4.7K0.0028.63N/AN/A201,3141,143
2011-04-07$27.12$25.0023.9%11.1%23.5%9.3%0.0%6.2%-7.8%-2.2K-988.7K-4.8K1.7021.18N/AN/A27461,3161,143
2011-04-08$26.70$25.0021.2%10.0%24.0%3.6%34.7%5.9%-1.9%-4.2K-914.6K-4.8K0.0032.19N/AN/A2001,3351,138
2011-04-11$26.52$25.0024.4%9.8%23.8%10.4%28.3%5.3%-0.4%-3.8K-912.7K-4.8K0.0064.57N/AN/A301,3551,138
2011-04-12$26.34$25.0026.2%10.3%22.3%14.0%0.0%5.8%-2.9%-6.5K-849.9K-4.7K0.1571.34N/AN/A4061,3551,138
2011-04-13$25.84$25.0024.7%10.2%21.5%10.6%35.6%12.4%-2.7%-17.2K-738.0K-4.8K0.0073.04N/AN/A1001,3711,143
2011-04-14$25.75$25.0036.1%10.4%21.3%35.8%0.0%1.8%-2.8%-17.3K-707.6K-4.7K6.5047.04N/AN/A4261,3681,143
2011-04-15$25.74$25.0035.6%10.2%21.2%34.7%0.0%14.0%-2.8%-20.2K-688.0K-4.7K2.0040.89N/AN/A241,3721,167
2011-04-18$25.26$25.0036.8%10.5%19.3%37.2%37.0%11.0%-2.8%-8.4K156.9K-4.6K3.7167.15N/AN/A1763556548
2011-04-19$25.29$25.0035.6%10.2%18.9%34.7%37.2%12.1%-2.4%-10.7K188.8K-4.8K1.0173.75N/AN/A175177573611
2011-04-20$25.96$25.0035.9%10.3%19.8%35.3%35.9%14.0%-3.1%190-145.4K-5.6K0.0038.07N/AN/A500739788
2011-04-21$26.18$25.0034.8%10.0%19.6%33.0%34.9%13.4%-2.3%4.6K-277.4K-5.6K0.0021.29N/AN/A017763788
2011-04-25$26.16$25.0037.1%10.6%18.8%38.0%0.0%12.8%-4.4%5.8K-304.7K-5.5K0.0021.76N/AN/A00763786
2011-04-26$26.34$25.0036.8%10.6%18.9%37.4%0.0%9.8%-4.3%7.7K-384.4K-5.3K0.0036.54N/AN/A00763786
2011-04-27$26.70$25.0037.9%10.9%19.3%39.7%0.0%12.7%-2.8%6.9K-433.5K-5.2K0.0051.59N/AN/A00763786
2011-04-28$27.04$25.0037.7%10.8%19.0%39.2%37.5%4.0%-4.4%10.6K-592.2K-5.2K0.0024.25N/AN/A180763786
2011-04-29$26.91$25.0037.9%10.9%18.9%39.8%0.0%2.6%-5.3%11.3K-579.1K-5.2K0.0025.44N/AN/A00780786