PL Options History — November 2011

In November 2011, PL traded between $17.68 and $22.19. ATM implied volatility averaged 52.1%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 28.3% (HV 20d: 80.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 31.78.

Notable Days

  • 2011-11-02: Highest Volume — 552 contracts
  • 2011-11-03: Largest IV drop — 38.7% change
  • 2011-11-01: Highest IV Rank — 80.4%
  • 2011-11-01: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.71$17.68$22.19$17.68$22.19
Max Pain$19.29$17.50$20.00$17.50$20.00
ATM IV52.1%39.2%67.4%67.4%49.8%
Expected Move15.0%11.3%19.3%19.3%14.3%
HV 20d80.5%71.9%88.8%74.2%72.1%
HV 60d70.8%67.3%72.9%71.7%70.0%
IV Rank54.6%32.6%80.4%80.4%50.7%
IV Percentile82.1%68.7%98.8%98.8%75.8%
Term Structure-1.3%-8.3%3.8%-8.3%-1.8%
VWIV53.3%47.2%69.4%69.4%48.9%
Skew 25d12.9%9.7%18.7%13.4%18.7%
Skew 10d26.1%14.4%40.0%25.3%23.6%
Call IV 25d45.7%35.2%61.2%61.2%35.2%
Put IV 25d58.6%49.9%74.5%74.5%54.0%
Bid-Ask Spread %56.9127.5483.6656.1556.54
Gamma HHI0.310.240.420.310.38
Net GEX13.0K-9.7K27.9K24.4K19.9K
Net DEX-1.8M-2.6M-798.7K-798.7K-2.2M
Net VEX-12.6K-13.9K-10.7K-10.7K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.780.03551.000.290.31
Total Volume17726552135113
Total OI4,282.6673,4745,1363,4743,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$17.68$17.5067.4%19.3%74.2%80.4%69.4%13.4%-8.3%24.4K-798.7K-10.7K0.2956.15N/AN/A105302,1911,283
2011-11-02$18.39$17.5064.2%18.4%73.1%75.0%63.8%10.7%-5.6%27.9K-1.1M-10.9K551.0058.52N/AN/A15512,1831,302
2011-11-03$21.28$17.5039.4%11.3%87.4%33.0%48.1%12.8%3.8%23.9K-2.6M-11.1K1.8383.66N/AN/A1793282,1841,821
2011-11-04$20.67$17.5049.3%13.6%85.5%49.8%0.0%13.2%2.3%10.4K-2.1M-11.6K0.0040.07N/AN/A01202,2002,098
2011-11-07$21.40$17.5039.6%12.4%85.1%33.3%47.2%11.5%2.6%11.0K-2.4M-11.4K2.6345.08N/AN/A431132,2002,218
2011-11-08$21.46$17.5039.2%12.3%85.2%32.6%50.6%9.7%1.3%15.4K-2.1M-11.3K2.6059.25N/AN/A501301,9642,275
2011-11-09$20.02$20.0053.9%14.6%88.8%57.5%0.0%11.2%-0.2%-9.7K-1.1M-12.4K1.0381.05N/AN/A1601651,9632,389
2011-11-10$21.04$20.0050.5%14.5%87.4%51.8%50.2%16.6%-0.0%5.1K-1.7M-12.6K0.4047.60N/AN/A226902,0222,554
2011-11-11$21.46$20.0045.0%12.9%86.4%42.5%48.2%11.8%0.7%-1.9K-1.8M-12.7K0.1166.14N/AN/A419461,9602,644
2011-11-14$21.55$20.0047.6%13.6%82.9%46.8%52.0%13.0%-0.5%16.3K-2.2M-13.9K0.2349.95N/AN/A170392,2722,660
2011-11-15$21.60$20.0045.7%13.1%81.3%43.6%0.0%12.1%1.0%25.0K-2.4M-13.7K4.8247.87N/AN/A11532,3572,697
2011-11-16$21.09$20.0056.1%16.1%81.8%61.2%0.0%14.2%-4.7%15.4K-2.2M-13.8K1.9047.59N/AN/A20382,3662,712
2011-11-17$21.10$20.0055.4%15.9%81.7%60.0%48.0%18.7%-2.7%13.0K-2.2M-13.8K2.0562.12N/AN/A22452,3862,750
2011-11-18$21.17$20.0053.9%15.5%81.0%57.6%0.0%10.7%-1.6%18.5K-2.2M-13.7K0.0359.82N/AN/A7122,3882,733
2011-11-21$20.80$20.0054.8%15.7%80.6%59.1%55.1%17.0%-1.1%10.5K-1.5M-13.4K2.3263.35N/AN/A31722,0861,802
2011-11-22$20.76$20.0054.4%15.6%77.1%58.4%51.5%13.8%-1.2%12.1K-1.6M-13.3K4.9172.08N/AN/A11542,1161,755
2011-11-23$19.91$20.0056.9%16.3%77.9%62.6%57.3%10.1%-2.6%7.3K-1.1M-13.1K9.6771.09N/AN/A3292,1151,748
2011-11-25$19.92$20.0057.5%16.5%73.6%63.6%57.5%10.4%-1.0%7.4K-1.1M-13.0K12.0027.54N/AN/A2242,1121,748
2011-11-28$20.76$20.0057.6%16.5%74.5%63.8%51.5%9.9%-4.5%12.4K-1.6M-12.7K7.5750.34N/AN/A141062,1141,748
2011-11-29$20.71$20.0056.9%16.3%71.9%62.6%0.0%11.8%-2.6%9.5K-1.5M-12.8K30.0049.36N/AN/A1302,1121,803
2011-11-30$22.19$20.0049.8%14.3%72.1%50.7%48.9%18.7%-1.8%19.9K-2.2M-12.4K0.3156.54N/AN/A86272,1121,793