PL Options History — May 2011

In May 2011, PL traded between $23.34 and $26.68. ATM implied volatility averaged 30.1%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.1% (HV 20d: 29.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-05-05: Highest Volume — 159 contracts
  • 2011-05-25: Largest IV drop — 19.3% change
  • 2011-05-04: Highest IV Rank — 41.8%
  • 2011-05-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.68$23.34$26.68$26.68$24.14
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV30.1%22.2%38.9%37.6%26.9%
Expected Move8.6%6.4%11.1%10.8%7.7%
HV 20d29.0%18.5%31.8%18.5%31.8%
HV 60d25.5%22.6%26.5%23.1%25.5%
IV Rank23.8%6.2%41.8%39.0%18.3%
IV Percentile16.6%1.6%57.5%48.8%7.1%
Term Structure0.4%-5.3%3.1%-3.8%1.9%
VWIV29.5%23.9%35.8%35.8%27.7%
Skew 25d5.7%-1.9%12.4%12.4%4.0%
Skew 10d2.9%-5.5%9.8%9.8%0.7%
Call IV 25d27.0%23.3%33.0%25.1%28.8%
Put IV 25d32.7%28.7%37.5%37.5%32.9%
Bid-Ask Spread %38.7917.0779.7217.0753.50
Gamma HHI0.390.310.540.460.44
Net GEX560-18.3K28.9K12.6K-9.2K
Net DEX260.4K-546.3K703.5K-546.3K448.5K
Net VEX-4.7K-5.3K-3.9K-5.0K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.003.671.340.00
Total Volume47.3330159633
Total OI1,718.9051,4342,0011,5661,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$26.68$25.0037.6%10.8%18.5%39.0%35.8%12.4%-3.8%12.6K-546.3K-5.0K0.0017.07N/AN/A06780786
2011-05-03$26.43$25.0037.4%10.7%18.5%38.6%0.0%11.1%-2.7%10.0K-454.1K-5.1K0.0020.88N/AN/A00780792
2011-05-04$26.08$25.0038.9%11.1%18.9%41.8%0.0%7.3%-5.3%9.5K-307.2K-5.0K0.0037.79N/AN/A00780792
2011-05-05$24.47$25.0033.5%9.6%28.5%30.0%35.0%4.5%-0.8%-368242.5K-4.8K1.3478.90N/AN/A6891780792
2011-05-06$24.51$25.0029.0%8.6%28.5%20.1%30.0%6.8%1.4%-265279.8K-4.9K0.0637.43N/AN/A654828863
2011-05-09$25.04$25.0032.2%9.0%29.7%27.2%0.0%7.1%1.2%10.7K-24.2K-5.0K2.1023.66N/AN/A2042892864
2011-05-10$25.53$25.0032.9%8.5%30.7%30.4%0.0%8.5%0.9%8.9K-212.8K-4.9K0.0026.34N/AN/A390897906
2011-05-11$25.20$25.0030.1%8.1%30.9%23.8%0.0%7.7%1.2%11.7K-60.1K-4.9K0.1525.50N/AN/A396909906
2011-05-12$25.15$25.0029.1%8.3%30.3%21.6%0.0%5.3%0.2%15.6K-41.1K-4.9K2.0031.38N/AN/A2040921912
2011-05-13$24.57$25.0030.6%8.8%31.3%25.1%30.6%2.6%-0.5%2.6K317.5K-4.9K3.3728.77N/AN/A30101930942
2011-05-16$24.58$25.0029.0%8.3%31.3%21.4%0.0%6.1%1.2%5.6K320.8K-5.3K0.0040.38N/AN/A009601,041
2011-05-17$24.37$25.0028.8%8.3%30.8%20.9%0.0%5.4%0.8%-4.1K575.2K-4.9K0.0023.79N/AN/A3709601,041
2011-05-18$24.11$25.0028.1%8.0%30.9%19.2%0.0%3.8%1.5%-7.8K703.5K-4.7K0.0079.72N/AN/A3009491,041
2011-05-19$24.58$25.0027.5%7.9%30.1%17.7%0.0%8.9%1.2%28.9K539.4K-4.6K0.0027.26N/AN/A009281,031
2011-05-20$24.18$25.0027.6%7.9%30.2%18.0%27.5%2.7%1.3%-3.8K662.8K-4.5K1.8926.07N/AN/A38729281,031
2011-05-23$23.48$25.0030.8%8.8%31.5%27.7%0.0%-1.9%1.0%-17.2K624.1K-4.0K1.8845.99N/AN/A1630697737
2011-05-24$23.34$25.0030.7%8.8%31.2%28.3%0.0%-0.0%1.8%-18.3K694.1K-3.9K3.6728.89N/AN/A933713756
2011-05-25$23.81$25.0024.8%7.1%31.8%12.8%25.3%8.2%2.5%-17.0K610.8K-4.4K0.2064.44N/AN/A5010706789
2011-05-26$23.86$25.0022.2%6.4%31.2%6.2%0.0%5.1%0.1%-14.2K599.8K-4.4K0.0031.43N/AN/A70756799
2011-05-27$24.12$25.0024.2%6.9%31.8%11.3%23.9%4.4%3.1%-12.2K496.0K-4.5K0.5365.47N/AN/A3820763799
2011-05-31$24.14$25.0026.9%7.7%31.8%18.3%27.7%4.0%1.9%-9.2K448.5K-4.6K0.0053.50N/AN/A330801819