PL Options History — June 2011

In June 2011, PL traded between $21.59 and $23.56. ATM implied volatility averaged 31.0%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.4% (HV 20d: 28.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-06-16: Highest Volume — 39 contracts
  • 2011-06-03: Largest IV spike — 20.9% change
  • 2011-06-15: Highest IV Rank — 38.2%
  • 2011-06-15: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.46$21.59$23.56$23.54$23.13
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV31.0%25.9%33.4%29.9%28.1%
Expected Move8.9%7.4%9.6%8.6%8.1%
HV 20d28.6%23.2%32.6%32.6%31.7%
HV 60d26.7%25.5%28.1%25.8%28.1%
IV Rank30.9%15.7%38.2%26.2%23.2%
IV Percentile21.5%6.3%31.3%15.5%10.7%
Term Structure2.9%-0.0%10.8%1.7%7.7%
VWIV32.8%31.0%33.8%33.3%31.0%
Skew 25d4.6%-8.9%12.1%-0.8%-0.4%
Skew 10d7.2%-15.0%18.4%0.8%-3.9%
Call IV 25d29.0%24.5%34.4%29.9%30.3%
Put IV 25d33.6%25.4%38.4%29.1%29.9%
Bid-Ask Spread %57.3637.7587.0266.4549.18
Gamma HHI0.530.450.610.550.57
Net GEX-27.5K-32.7K-13.6K-13.6K-30.4K
Net DEX1.0M643.1K1.2M643.1K966.3K
Net VEX-3.0K-4.2K-2.5K-4.2K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.002.900.000.00
Total Volume8.40903950
Total OI1,613.3181,5191,7051,6381,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$23.54$25.0029.9%8.6%32.6%26.2%0.0%-0.8%1.7%-13.6K643.1K-4.2K0.0066.45N/AN/A05819819
2011-06-02$23.56$25.0025.9%7.4%32.5%15.7%0.0%3.5%10.8%-16.1K707.0K-4.1K0.0070.42N/AN/A00819824
2011-06-03$23.09$25.0031.3%9.5%24.9%29.8%33.3%4.5%0.7%-22.8K801.3K-3.9K0.0061.49N/AN/A010819824
2011-06-06$22.41$25.0032.5%9.3%26.6%33.0%0.0%1.4%-0.0%-26.9K953.6K-3.4K0.0062.21N/AN/A200819834
2011-06-07$22.17$25.0031.3%8.9%24.8%31.5%0.0%5.9%1.6%-28.8K1.1M-3.0K0.0038.85N/AN/A02819834
2011-06-08$22.20$25.0030.5%8.7%23.2%29.9%0.0%4.2%2.7%-29.4K1.1M-3.0K0.0040.44N/AN/A00819836
2011-06-09$22.35$25.0031.1%8.9%23.5%31.5%0.0%5.2%1.9%-30.0K1.1M-3.0K0.0044.96N/AN/A00819835
2011-06-10$21.87$25.0031.7%9.1%24.1%33.2%0.0%2.0%2.1%-28.4K1.1M-2.9K0.0042.55N/AN/A60819835
2011-06-13$21.92$25.0031.6%9.1%23.5%33.1%32.2%10.6%2.1%-27.8K1.2M-2.5K0.0047.78N/AN/A120825835
2011-06-14$22.56$25.0029.5%8.4%26.5%27.0%0.0%7.7%4.3%-31.3K1.0M-2.9K0.0042.59N/AN/A020833835
2011-06-15$21.59$25.0033.4%9.6%30.0%38.2%0.0%3.2%0.6%-26.3K1.2M-2.6K0.0075.02N/AN/A00833855
2011-06-16$21.86$25.0033.1%9.5%30.6%37.4%33.5%8.4%1.0%-27.0K1.2M-2.7K2.9085.35N/AN/A1029832855
2011-06-17$22.00$25.0032.1%9.2%29.6%34.4%0.0%8.7%1.9%-28.9K1.2M-2.7K0.1187.02N/AN/A192830875
2011-06-20$22.04$25.0031.8%9.1%29.4%33.7%33.8%11.8%2.5%-29.1K1.2M-2.6K0.4271.18N/AN/A125665854
2011-06-21$22.70$25.0031.4%9.0%30.3%32.6%31.0%4.6%2.4%-32.7K995.3K-3.0K0.2048.05N/AN/A102676854
2011-06-22$22.58$25.0030.7%8.8%30.2%30.5%0.0%-8.9%2.9%-29.8K1.1M-2.8K0.0078.53N/AN/A00686854
2011-06-23$22.53$25.0030.9%8.9%29.1%31.2%0.0%11.7%3.7%-29.5K1.1M-2.7K0.0059.69N/AN/A00686854
2011-06-24$21.89$25.0031.1%8.9%30.5%31.6%0.0%7.0%3.3%-26.8K1.2M-2.5K0.0037.75N/AN/A00686854
2011-06-27$22.24$25.0032.1%9.2%30.9%34.6%0.0%12.1%2.6%-28.2K1.1M-2.5K0.0038.99N/AN/A210686854
2011-06-28$22.73$25.0030.9%8.9%32.2%31.0%0.0%3.5%4.6%-30.7K1.1M-2.6K0.0052.17N/AN/A00707854
2011-06-29$23.06$25.0030.6%8.8%31.6%30.3%0.0%-4.5%3.5%-31.2K1.0M-2.6K0.0061.34N/AN/A00707854
2011-06-30$23.13$25.0028.1%8.1%31.7%23.2%0.0%-0.4%7.7%-30.4K966.3K-2.6K0.0049.18N/AN/A00707854