PL Options History — October 2011

In October 2011, PL traded between $14.25 and $20.02. ATM implied volatility averaged 56.5%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 14.4% (HV 20d: 70.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2011-10-27: Highest Volume — 582 contracts
  • 2011-10-31: Largest IV spike — 32.0% change
  • 2011-10-03: Highest IV Rank — 80.7%
  • 2011-10-03: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.13$14.25$20.02$14.25$18.60
Max Pain$16.19$15.00$20.00$20.00$17.50
ATM IV56.5%47.7%67.6%67.6%64.7%
Expected Move16.5%13.7%19.4%19.4%18.6%
HV 20d70.9%62.2%78.1%62.2%71.1%
HV 60d73.8%68.4%78.1%68.4%77.9%
IV Rank62.0%47.0%80.7%80.7%75.8%
IV Percentile89.9%79.0%99.2%99.2%97.6%
Term Structure-1.1%-8.6%6.8%4.3%-8.6%
VWIV60.2%48.8%75.8%67.7%63.2%
Skew 25d18.5%9.8%38.3%22.4%10.8%
Skew 10d33.0%5.3%54.5%31.1%15.4%
Call IV 25d48.1%35.0%57.4%50.3%57.4%
Put IV 25d66.6%58.5%84.2%72.6%68.2%
Bid-Ask Spread %61.4724.6385.4042.0724.63
Gamma HHI0.340.280.440.320.34
Net GEX14.8K31035.0K1.5K31.6K
Net DEX539.4K-1.9M1.9M1.8M-1.4M
Net VEX-9.3K-11.2K-6.9K-6.9K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0017.002.211.60
Total Volume161.33318582167164
Total OI4,061.0952,9354,6874,1333,337

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$14.25$20.0067.6%19.4%62.2%80.7%67.7%22.4%4.3%1.5K1.8M-6.9K2.2142.07N/AN/A521152,0642,069
2011-10-04$14.73$20.0063.0%18.1%63.4%73.0%63.1%38.3%6.8%3101.9M-7.2K1.3858.54N/AN/A45622,0852,150
2011-10-05$15.56$20.0062.4%17.9%63.0%71.8%62.4%33.8%3.9%2.6K1.8M-7.8K0.1142.79N/AN/A6472,1192,100
2011-10-06$16.23$20.0059.5%17.0%64.8%66.9%60.2%9.8%5.0%3.7K1.5M-8.7K2.1471.95N/AN/A36772,1702,100
2011-10-07$15.41$15.0058.9%18.1%64.5%66.1%75.8%16.6%-1.4%2.8K1.7M-8.2K17.0071.32N/AN/A1172,1922,175
2011-10-10$16.11$15.0062.8%18.7%66.4%72.6%0.0%16.3%-6.6%4.1K1.7M-8.5K0.0052.18N/AN/A3402,1932,192
2011-10-11$16.38$15.0051.1%16.6%66.7%52.8%0.0%16.6%-0.6%5.5K1.6M-8.8K0.0036.90N/AN/A5502,2252,192
2011-10-12$17.23$15.0048.9%15.9%68.7%49.1%60.8%14.9%-1.4%4.9K1.2M-9.6K0.7354.32N/AN/A2221632,2682,192
2011-10-13$16.40$15.0056.6%16.2%70.6%62.2%56.6%16.3%-1.9%6.7K1.4M-9.1K0.0054.27N/AN/A8002,2922,135
2011-10-14$17.22$15.0054.9%15.8%72.9%59.3%0.0%13.2%-1.7%11.3K1.2M-9.4K0.0075.65N/AN/A3002,3292,135
2011-10-17$16.31$15.0053.0%15.2%73.4%56.1%57.1%16.9%-0.4%8.6K1.4M-8.8K0.5884.72N/AN/A163942,3592,135
2011-10-18$17.30$15.0056.0%16.0%75.9%61.0%61.9%28.7%-2.8%22.2K804.9K-9.7K1.1969.98N/AN/A42502,4962,032
2011-10-19$17.10$15.0054.9%15.8%74.3%59.3%67.7%16.8%-3.3%21.4K922.3K-9.6K0.0761.22N/AN/A184122,5182,082
2011-10-20$17.57$15.0057.2%16.4%73.6%63.2%60.3%17.6%-2.6%27.0K603.5K-9.9K1.6651.55N/AN/A32532,5862,084
2011-10-21$18.24$15.0052.7%15.1%74.2%55.6%52.4%15.3%0.3%22.1K213.6K-10.0K0.4340.71N/AN/A185802,5922,095
2011-10-24$18.97$15.0047.7%13.7%74.3%47.0%48.8%16.8%-0.6%20.2K-1.3M-10.1K0.0283.99N/AN/A5311,7791,156
2011-10-25$17.89$15.0055.8%16.0%77.7%60.7%61.8%13.5%-3.8%20.4K-921.9K-9.8K0.0782.82N/AN/A369251,8091,155
2011-10-26$18.64$15.0059.4%17.0%76.0%66.9%54.0%18.6%-3.8%26.4K-1.2M-10.8K0.3273.09N/AN/A126402,0101,156
2011-10-27$20.02$15.0051.0%14.6%78.1%52.6%51.3%22.9%-1.5%32.3K-1.9M-11.2K0.2785.40N/AN/A4581242,0731,159
2011-10-28$19.55$17.5049.0%14.1%77.5%49.3%58.7%13.2%-2.1%35.0K-1.8M-11.0K0.4972.87N/AN/A49242,1311,162
2011-10-31$18.60$17.5064.7%18.6%71.1%75.8%63.2%10.8%-8.6%31.6K-1.4M-10.8K1.6024.63N/AN/A631012,1541,183