PL Options History — December 2011

In December 2011, PL traded between $20.32 and $22.82. ATM implied volatility averaged 44.8%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 2.1% (HV 20d: 46.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2011-12-21: Highest Volume — 440 contracts
  • 2011-12-14: Largest IV spike — 29.1% change
  • 2011-12-14: Highest IV Rank — 71.3%
  • 2011-12-15: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.88$20.32$22.82$21.70$22.56
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV44.8%36.2%62.1%46.3%38.4%
Expected Move12.6%10.4%14.8%13.3%11.0%
HV 20d46.9%38.6%72.2%72.2%38.6%
HV 60d67.4%62.5%69.3%69.3%62.5%
IV Rank42.1%27.6%71.3%44.6%31.4%
IV Percentile65.9%47.6%94.4%69.4%55.6%
Term Structure3.3%-0.3%7.8%-0.3%5.3%
VWIV43.5%35.4%48.6%46.6%36.6%
Skew 25d12.6%8.4%18.2%13.7%16.1%
Skew 10d22.2%5.1%36.6%12.4%36.6%
Call IV 25d36.6%26.1%45.7%40.4%27.9%
Put IV 25d49.2%41.0%56.1%54.1%44.1%
Bid-Ask Spread %49.8419.2273.6355.6742.59
Gamma HHI0.480.400.590.410.52
Net GEX46.9K23.0K74.7K23.0K74.3K
Net DEX-2.5M-3.3M-1.5M-2.1M-3.2M
Net VEX-12.2K-12.7K-11.6K-12.5K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0014.003.380.81
Total Volume98.09534401493
Total OI4,211.8573,8884,4713,9344,471

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$21.70$20.0046.3%13.3%72.2%44.6%46.6%13.7%-0.3%23.0K-2.1M-12.5K3.3855.67N/AN/A341152,1511,783
2011-12-02$22.05$20.0043.1%12.4%51.0%39.3%43.6%18.2%1.8%30.1K-2.4M-12.0K0.2465.68N/AN/A88212,1781,734
2011-12-05$22.60$20.0045.9%12.9%50.2%43.9%44.7%10.2%2.9%40.1K-2.8M-11.7K0.1051.49N/AN/A205202,2641,749
2011-12-06$22.54$20.0045.6%12.7%49.0%43.4%47.0%8.8%3.0%47.1K-2.8M-12.2K0.2341.45N/AN/A230542,3441,749
2011-12-07$22.82$20.0047.7%12.9%49.1%47.1%45.6%11.2%2.5%58.7K-3.2M-12.5K0.7728.83N/AN/A13102,5191,722
2011-12-08$21.93$20.0046.6%13.1%44.1%45.2%45.7%9.6%2.7%50.4K-2.6M-12.7K0.1840.45N/AN/A1122,5301,732
2011-12-09$22.41$20.0045.6%12.8%41.4%43.6%44.9%9.3%1.9%60.2K-3.0M-12.4K1.2545.49N/AN/A12152,5201,732
2011-12-12$21.92$20.0049.6%13.0%41.8%50.3%46.3%9.8%2.9%54.8K-2.6M-12.4K14.0026.65N/AN/A81122,5321,732
2011-12-13$20.89$20.0048.0%14.7%45.3%47.6%45.6%10.4%1.2%27.6K-1.8M-12.5K0.0572.65N/AN/A4122,5281,833
2011-12-14$20.91$20.0062.1%14.6%45.3%71.3%46.8%12.0%0.7%26.6K-1.8M-12.5K0.3347.36N/AN/A30102,5351,833
2011-12-15$20.78$20.0051.5%14.8%44.5%53.5%45.0%8.7%1.6%26.6K-1.9M-12.2K0.3566.58N/AN/A37132,5441,833
2011-12-16$21.00$20.0050.2%14.4%44.7%51.2%41.1%16.7%0.6%32.1K-1.9M-12.0K0.0047.60N/AN/A302,5551,820
2011-12-19$20.32$20.0048.7%14.0%46.2%48.7%48.6%8.4%1.5%28.7K-1.5M-11.6K10.5051.44N/AN/A121262,3771,511
2011-12-20$21.05$20.0044.3%12.7%47.6%41.3%40.1%11.5%6.3%30.7K-1.8M-11.8K0.0019.22N/AN/A7002,3701,585
2011-12-21$21.82$20.0036.2%10.4%49.2%27.6%35.4%11.8%7.8%40.7K-2.3M-11.7K0.2758.21N/AN/A347932,3981,585
2011-12-22$22.32$20.0038.3%11.0%46.8%31.2%38.5%14.5%5.5%60.4K-2.9M-12.2K0.0760.98N/AN/A4332,6681,602
2011-12-23$22.57$20.0036.9%10.6%46.8%28.8%0.0%15.0%5.6%66.6K-3.1M-12.1K0.0039.73N/AN/A2002,7031,605
2011-12-27$22.59$20.0039.2%11.2%44.9%32.7%45.3%16.3%4.5%67.2K-3.2M-11.9K0.9672.16N/AN/A23222,7231,605
2011-12-28$22.07$20.0038.3%11.0%45.9%31.1%38.8%14.3%5.6%64.5K-2.9M-11.9K0.2073.63N/AN/A121242,7161,627
2011-12-29$22.57$20.0038.2%10.9%39.6%30.9%36.6%17.8%5.3%74.7K-3.3M-11.9K0.8138.76N/AN/A37302,8021,649
2011-12-30$22.56$20.0038.4%11.0%38.6%31.4%0.0%16.1%5.3%74.3K-3.2M-12.4K0.0042.59N/AN/A032,8341,637