PL Options History — September 2011

In September 2011, PL traded between $15.17 and $18.24. ATM implied volatility averaged 55.9%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 6.1% (HV 20d: 62.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2011-09-02: Highest Volume — 1,648 contracts
  • 2011-09-13: Largest IV spike — 28.5% change
  • 2011-09-09: Highest IV Rank — 76.6%
  • 2011-09-30: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.56$15.17$18.24$18.24$15.63
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV55.9%48.4%65.2%49.6%64.8%
Expected Move15.7%14.0%18.6%14.2%18.6%
HV 20d62.0%51.3%95.6%94.7%56.4%
HV 60d63.5%60.7%66.2%60.7%66.2%
IV Rank60.9%48.2%76.6%50.3%75.9%
IV Percentile95.3%89.7%99.2%94.4%98.4%
Term Structure0.7%-5.0%8.7%-0.4%1.4%
VWIV50.7%36.6%58.6%47.2%55.3%
Skew 25d6.9%-6.5%14.9%-2.4%0.0%
Skew 10d15.3%-8.8%34.0%-8.8%-0.9%
Call IV 25d50.0%39.0%57.7%48.0%56.8%
Put IV 25d56.9%40.8%66.9%45.6%56.9%
Bid-Ask Spread %55.0119.8482.8882.8876.52
Gamma HHI0.380.240.780.620.33
Net GEX-7.2K-42.0K11.9K-29.4K2.7K
Net DEX1.7M1.2M3.5M1.8M1.7M
Net VEX-7.9K-10.4K-4.7K-7.9K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0022.000.060.00
Total Volume182.33311,6481741
Total OI3,973.1433,4294,6673,5324,133

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$18.24$20.0049.6%14.2%94.7%50.3%47.2%-2.4%-0.4%-29.4K1.8M-7.9K0.0682.88N/AN/A164101,4112,121
2011-09-02$17.33$20.0049.5%14.2%95.6%50.1%0.0%1.8%0.4%-28.9K2.2M-6.8K4.8953.47N/AN/A2801,3681,5192,131
2011-09-06$16.78$20.0056.1%14.6%78.3%61.2%51.0%12.2%-2.4%-42.0K3.5M-7.2K0.0970.89N/AN/A1111,6982,969
2011-09-07$17.78$20.0050.5%14.3%66.7%51.8%44.3%12.6%-1.9%-12.8K1.5M-6.2K0.5171.39N/AN/A53271,7091,720
2011-09-08$17.29$20.0054.5%14.4%62.6%58.5%45.9%7.4%-1.6%-10.0K1.6M-5.7K0.2519.84N/AN/A1231,7521,701
2011-09-09$16.38$20.0065.2%15.7%59.5%76.6%47.3%7.1%-5.0%-5.4K1.7M-5.0K0.0725.94N/AN/A4031,7641,698
2011-09-12$16.62$20.0048.4%16.0%59.9%48.2%0.0%14.9%-3.9%-6.1K1.8M-4.7K0.6325.32N/AN/A6594171,7841,698
2011-09-13$16.76$20.0062.2%15.7%57.6%71.5%52.1%8.4%-2.5%-5.0K1.5M-9.8K0.4037.86N/AN/A25102,3372,115
2011-09-14$17.16$20.0056.1%15.8%58.4%61.2%53.3%13.2%-2.4%-5.2K1.4M-10.2K0.0037.33N/AN/A4602,3622,125
2011-09-15$17.43$20.0051.8%14.8%58.7%53.9%51.6%6.7%-1.0%-2.1K1.3M-10.3K9.0070.40N/AN/A2182,3762,125
2011-09-16$17.58$20.0049.4%14.2%53.6%50.0%48.6%10.1%0.4%11.9K1.2M-10.4K0.8744.80N/AN/A45392,3762,119
2011-09-19$16.74$20.0052.6%15.1%56.3%55.4%55.4%9.6%0.1%-8.2K1.4M-9.3K0.9953.04N/AN/A92911,8021,942
2011-09-20$16.39$20.0049.0%14.0%56.7%49.2%54.1%8.0%4.1%-6.8K1.5M-9.1K22.0078.93N/AN/A1221,8892,023
2011-09-21$15.72$20.0057.3%16.4%56.5%63.3%56.2%6.0%1.9%-1.7K1.8M-8.0K0.7072.23N/AN/A20141,8882,035
2011-09-22$15.25$20.0058.4%16.7%56.2%65.1%58.6%3.5%5.0%-2171.9M-7.6K0.9769.84N/AN/A36351,9082,049
2011-09-23$15.17$20.0061.1%17.5%55.7%69.7%36.6%6.3%2.2%-3961.8M-7.5K1.7349.20N/AN/A26451,9222,045
2011-09-26$15.73$20.0056.0%16.1%57.6%61.1%0.0%12.8%8.7%-1.7K1.8M-7.8K0.0078.39N/AN/A1001,9242,062
2011-09-27$16.21$20.0059.4%17.0%51.3%66.9%52.9%6.1%0.3%-2.8K1.6M-8.5K0.0047.05N/AN/A15001,9342,062
2011-09-28$15.44$20.0062.1%17.8%53.3%71.4%0.0%-6.5%2.6%2.2K1.7M-8.0K0.0028.13N/AN/A102,0422,062
2011-09-29$16.16$20.0060.3%17.3%56.9%68.4%51.7%6.5%8.5%1.7K1.7M-8.3K0.4961.79N/AN/A35172,0422,062
2011-09-30$15.63$20.0064.8%18.6%56.4%75.9%55.3%0.0%1.4%2.7K1.7M-8.0K0.0076.52N/AN/A102,0642,069