PL Options History — August 2011

In August 2011, PL traded between $16.17 and $21.15. ATM implied volatility averaged 54.3%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 23.0% (HV 20d: 77.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-08-04: Highest Volume — 630 contracts
  • 2011-08-08: Largest IV spike — 84.0% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.53$16.17$21.15$21.15$18.99
Max Pain$20.43$20.00$22.50$22.50$20.00
ATM IV54.3%40.0%79.0%49.5%44.9%
Expected Move15.1%12.4%17.8%14.2%12.9%
HV 20d77.3%27.9%97.5%27.9%95.3%
HV 60d50.8%28.1%60.5%28.1%60.2%
IV Rank65.4%42.3%100.0%83.6%42.3%
IV Percentile96.7%82.5%100.0%99.2%91.7%
Term Structure-2.6%-9.3%2.8%-9.3%1.0%
VWIV49.9%43.5%60.6%48.9%44.7%
Skew 25d11.3%-6.7%22.4%1.0%13.3%
Skew 10d20.2%-6.9%35.8%-0.6%8.0%
Call IV 25d46.7%37.5%60.5%43.0%41.4%
Put IV 25d58.1%43.9%68.7%43.9%54.7%
Bid-Ask Spread %42.2110.5080.4110.5023.08
Gamma HHI0.610.400.730.680.52
Net GEX-44.4K-75.7K-25.7K-66.0K-25.7K
Net DEX2.0M1.3M2.8M1.5M1.3M
Net VEX-7.9K-9.2K-5.3K-7.8K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.005.761.701.00
Total Volume167196305450
Total OI3,2442,2323,8582,2323,494

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$21.15$22.5049.5%14.2%27.9%83.6%48.9%1.0%-9.3%-66.0K1.5M-7.8K1.7010.50N/AN/A20344301,802
2011-08-02$20.05$22.5047.8%13.7%32.7%78.8%47.9%4.8%-7.1%-65.7K1.8M-7.4K0.5023.07N/AN/A20104421,826
2011-08-03$20.57$22.5047.6%13.6%34.5%78.1%47.4%10.9%-7.0%-67.3K1.7M-7.7K5.7624.65N/AN/A331904561,836
2011-08-04$19.57$22.5045.5%13.1%37.2%72.3%45.8%12.7%-3.3%-75.7K2.1M-7.5K2.3723.68N/AN/A1874434892,026
2011-08-05$18.88$20.0040.0%12.4%38.4%56.7%43.5%7.3%-2.5%-71.4K2.4M-7.7K0.4351.82N/AN/A182796602,183
2011-08-08$16.17$20.0073.6%15.8%63.7%100.0%52.1%-6.7%2.5%-34.0K2.8M-5.3K0.7380.41N/AN/A1761297582,257
2011-08-09$18.35$20.0065.0%16.9%81.4%84.1%51.1%18.0%-4.5%-51.1K2.5M-7.5K0.3760.51N/AN/A97369072,339
2011-08-10$17.11$20.0079.0%17.8%83.7%100.0%60.6%8.2%-6.5%-38.5K2.4M-7.4K0.0058.18N/AN/A42409892,341
2011-08-11$18.38$20.0059.6%17.1%88.6%67.2%55.3%22.4%-2.5%-37.7K2.0M-8.9K0.0952.95N/AN/A322301,2562,341
2011-08-12$18.24$20.0055.9%16.0%88.6%60.9%49.9%14.2%-2.2%-34.4K2.1M-8.6K2.7360.66N/AN/A441201,3172,340
2011-08-15$19.02$20.0046.8%13.4%90.3%45.5%46.9%16.3%1.0%-49.6K1.9M-9.0K0.0062.58N/AN/A7201,3142,458
2011-08-16$18.69$20.0055.2%15.8%89.6%59.8%46.6%17.0%-3.4%-48.9K2.0M-8.8K3.6739.10N/AN/A15551,2912,448
2011-08-17$18.74$20.0051.0%14.6%89.4%52.7%45.9%13.6%0.2%-53.2K2.1M-8.6K0.3949.20N/AN/A71281,3002,503
2011-08-18$17.50$20.0055.6%15.9%90.9%60.5%0.0%7.2%-2.2%-40.9K2.6M-7.3K2.0074.59N/AN/A10201,3522,486
2011-08-19$17.31$20.0058.0%16.6%90.9%64.5%58.7%5.8%-3.0%-55.8K2.6M-7.3K0.8839.91N/AN/A1481301,3522,506
2011-08-22$17.27$20.0058.6%16.8%91.0%65.5%53.7%10.5%-3.9%-27.3K2.0M-6.7K0.6921.55N/AN/A102701,1362,021
2011-08-23$17.88$20.0055.8%16.0%92.5%60.7%56.0%15.2%-2.3%-30.2K2.0M-7.2K0.1440.97N/AN/A69101,1672,050
2011-08-24$18.26$20.0053.0%15.2%92.6%56.0%49.7%7.5%1.0%-31.1K1.8M-8.1K0.4619.27N/AN/A28131,2072,060
2011-08-25$17.74$20.0057.0%16.4%92.9%62.8%0.0%10.2%-3.9%-28.8K1.9M-7.7K1.0621.11N/AN/A33351,2252,073
2011-08-26$17.91$20.0057.1%16.4%93.1%63.0%48.2%16.4%-3.0%-30.0K1.9M-7.6K0.0059.49N/AN/A14801,2462,073
2011-08-29$19.27$20.0045.1%12.9%97.5%42.6%44.5%18.3%2.8%-31.1K1.4M-8.7K0.1720.31N/AN/A119201,3072,073
2011-08-30$19.09$20.0047.9%13.7%95.9%47.4%0.0%16.8%-0.9%-26.3K1.3M-9.2K0.1953.26N/AN/A1631,3822,093
2011-08-31$18.99$20.0044.9%12.9%95.3%42.3%44.7%13.3%1.0%-25.7K1.3M-9.0K1.0023.08N/AN/A25251,3982,096