PL Options History — July 2011

In July 2011, PL traded between $21.26 and $23.56. ATM implied volatility averaged 34.3%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.7% (HV 20d: 29.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 5.33.

Notable Days

  • 2011-07-27: Highest Volume — 1,766 contracts
  • 2011-07-11: Largest IV spike — 36.6% change
  • 2011-07-28: Highest IV Rank — 57.3%
  • 2011-07-28: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.48$21.26$23.56$23.56$21.26
Max Pain$23.33$22.50$25.00$25.00$22.50
ATM IV34.3%25.5%40.2%27.2%40.0%
Expected Move10.1%7.8%11.5%7.8%11.5%
HV 20d29.7%27.2%32.8%31.5%29.2%
HV 60d29.5%28.2%30.8%28.2%30.8%
IV Rank40.7%15.8%57.3%20.5%56.6%
IV Percentile47.0%6.0%83.7%7.9%82.5%
Term Structure-1.1%-5.2%11.9%11.9%-1.7%
VWIV33.9%28.0%42.3%30.1%38.7%
Skew 25d3.6%-6.4%8.1%4.3%3.9%
Skew 10d4.1%-4.4%14.0%0.2%5.0%
Call IV 25d32.4%26.7%38.3%28.1%38.3%
Put IV 25d36.0%27.4%42.2%32.4%42.2%
Bid-Ask Spread %60.9413.6582.6967.0331.73
Gamma HHI0.640.450.880.450.68
Net GEX-27.9K-60.7K-6.7K-35.5K-59.5K
Net DEX739.2K155.4K1.3M872.5K1.3M
Net VEX-3.2K-7.8K-2.5K-2.8K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.330.0036.0036.007.00
Total Volume128.1501,7663764
Total OI1,379.756922,1831,5612,183

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$23.56$25.0027.2%7.8%31.5%20.5%30.1%4.3%11.9%-35.5K872.5K-2.8K36.0067.03N/AN/A136707854
2011-07-05$23.23$0.0030.5%9.5%29.9%30.0%0.0%8.1%-1.0%-30.1K1.0M-2.5K0.0051.84N/AN/A00706889
2011-07-06$23.31$0.0035.4%9.6%29.6%43.9%28.0%6.7%0.1%-32.1K993.3K-2.6K0.0082.69N/AN/A90706889
2011-07-07$23.54$25.0028.6%9.9%29.7%24.6%30.4%7.2%-1.7%-31.0K949.8K-2.5K0.0044.67N/AN/A470715889
2011-07-08$23.21$25.0025.5%9.5%30.2%15.8%0.0%5.1%-0.7%-28.1K977.9K-2.6K0.0459.32N/AN/A25210757889
2011-07-11$22.36$25.0034.8%10.0%32.3%42.2%0.0%5.8%-2.0%-33.4K1.1M-2.5K4.0070.02N/AN/A520929899
2011-07-12$22.03$25.0028.7%9.9%32.8%24.8%0.0%6.2%-1.0%-36.4K1.2M-2.6K0.0082.15N/AN/A00934895
2011-07-13$22.33$25.0038.9%9.8%31.4%53.7%30.3%7.1%-0.6%-36.9K998.7K-2.6K0.7568.81N/AN/A43934855
2011-07-14$22.62$22.5034.6%9.9%27.2%41.4%34.9%4.8%-1.1%-37.8K939.0K-2.6K2.9380.80N/AN/A1441938858
2011-07-15$22.34$22.5033.5%9.6%27.4%38.4%33.5%4.1%-0.4%-59.1K1.1M-2.7K1.0582.28N/AN/A1920945879
2011-07-18$21.81$22.5035.4%10.2%28.7%43.9%36.0%4.7%-2.0%-11.1K337.0K-2.5K0.4559.17N/AN/A2210285407
2011-07-19$22.33$22.5035.0%10.0%30.0%42.6%34.9%5.6%-1.8%-11.4K293.8K-2.7K0.6381.60N/AN/A1610297417
2011-07-20$22.61$22.5035.6%10.2%28.3%44.5%35.8%7.6%-2.9%-11.1K249.1K-2.8K0.0073.30N/AN/A100311427
2011-07-21$23.11$22.5034.9%10.0%29.3%42.4%31.8%-3.2%-1.6%-9.6K168.8K-2.9K0.0066.59N/AN/A660321427
2011-07-22$22.87$22.5035.4%10.2%29.6%43.8%35.5%-4.8%-2.6%-6.7K155.4K-3.1K2.0054.90N/AN/A12382427
2011-07-25$22.39$22.5035.3%10.1%28.7%43.4%28.8%-6.4%-2.8%-7.5K210.7K-3.0K2.0657.57N/AN/A1633383428
2011-07-26$22.14$22.5038.3%11.0%28.5%51.9%0.0%-1.3%-5.2%-9.2K269.0K-3.0K2.4076.20N/AN/A1024373458
2011-07-27$21.34$22.5038.7%11.1%30.0%53.0%38.4%3.8%-1.7%-10.4K397.5K-2.9K35.7913.65N/AN/A481,718369482
2011-07-28$21.26$22.5040.2%11.5%29.3%57.3%42.3%2.2%-4.0%-60.7K1.3M-7.7K0.8814.44N/AN/A17154131,738
2011-07-29$21.26$22.5040.0%11.5%29.2%56.6%38.7%3.9%-1.7%-59.5K1.3M-7.8K7.0031.73N/AN/A8564301,753