PL Options History — January 2012

In January 2012, PL traded between $23.19 and $25.81. ATM implied volatility averaged 38.0%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 5.7% (HV 20d: 32.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-01-26: Highest Volume — 255 contracts
  • 2012-01-12: Largest IV spike — 35.5% change
  • 2012-01-05: Highest IV Rank — 41.0%
  • 2012-01-09: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.56$23.19$25.81$23.32$25.01
Max Pain$22.38$20.00$25.00$20.00$25.00
ATM IV38.0%29.2%44.1%39.8%40.5%
Expected Move11.4%10.6%13.0%11.4%11.6%
HV 20d32.2%24.5%39.9%39.9%29.0%
HV 60d56.2%49.5%62.3%62.3%49.5%
IV Rank30.6%15.7%41.0%33.7%34.9%
IV Percentile49.6%15.1%61.9%59.1%61.1%
Term Structure-0.6%-4.6%5.3%5.3%-3.0%
VWIV40.0%37.0%51.9%40.7%40.6%
Skew 25d13.7%6.6%23.2%8.8%13.1%
Skew 10d22.2%-0.3%34.0%11.9%10.2%
Call IV 25d32.2%23.1%37.2%34.5%36.9%
Put IV 25d45.8%42.7%51.5%43.3%50.0%
Bid-Ask Spread %57.0827.2393.9758.7093.97
Gamma HHI0.530.440.740.470.61
Net GEX85.7K51.7K118.9K86.4K72.6K
Net DEX-4.3M-5.9M-3.0M-4.0M-3.6M
Net VEX-8.9K-11.0K-6.8K-11.0K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.009.500.520.00
Total Volume54.0572553811
Total OI3,918.32,7154,5234,4713,079

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$23.32$20.0039.8%11.4%39.9%33.7%0.0%8.8%5.3%86.4K-4.0M-11.0K0.5258.70N/AN/A25132,8341,637
2012-01-04$23.23$20.0041.8%12.0%39.1%37.0%0.0%17.2%4.2%89.8K-3.9M-11.0K0.0069.08N/AN/A1002,8581,639
2012-01-05$23.54$20.0044.1%12.7%39.3%41.0%0.0%23.2%2.0%92.0K-4.2M-10.7K0.0083.40N/AN/A702,8561,639
2012-01-06$23.19$20.0036.0%12.2%39.6%27.3%0.0%11.9%1.7%94.6K-4.0M-10.6K0.0033.61N/AN/A0202,8491,639
2012-01-09$23.54$20.0036.3%13.0%36.8%27.8%0.0%12.9%-3.0%98.7K-4.3M-10.1K1.6744.11N/AN/A6102,8491,619
2012-01-10$24.47$20.0029.2%11.4%38.4%15.7%40.7%11.2%0.4%99.8K-5.0M-9.2K0.5452.55N/AN/A61332,8551,620
2012-01-11$24.68$22.5029.2%11.3%37.1%15.7%39.0%11.8%-1.0%99.0K-5.2M-8.7K0.0058.83N/AN/A1202,8471,612
2012-01-12$24.83$22.5039.5%11.3%31.1%33.2%0.0%13.3%-1.2%99.2K-5.3M-8.8K0.2927.23N/AN/A35102,8491,612
2012-01-13$24.39$22.5040.1%11.5%32.4%34.2%51.9%12.1%-1.0%98.1K-4.9M-8.7K0.4040.52N/AN/A25102,8261,612
2012-01-17$24.57$22.5038.0%10.9%32.0%30.6%38.0%14.6%-0.1%101.5K-5.2M-8.7K0.1252.89N/AN/A93112,8451,607
2012-01-18$24.78$22.5039.3%11.3%32.0%32.9%0.0%13.4%-1.5%105.9K-5.4M-8.5K0.0047.90N/AN/A2702,8941,607
2012-01-19$24.87$22.5037.0%10.6%28.2%29.0%37.0%14.9%0.2%118.9K-5.5M-8.3K2.8057.77N/AN/A15422,8901,607
2012-01-20$25.35$22.5039.2%11.2%26.8%32.6%39.3%14.8%-2.5%103.1K-5.9M-8.0K0.0668.23N/AN/A165102,8951,628
2012-01-23$25.75$22.5037.2%10.7%25.0%29.3%0.0%17.5%-1.8%51.7K-3.5M-7.5K0.2331.49N/AN/A1331,893822
2012-01-24$25.81$22.5038.1%10.9%24.5%30.8%38.1%11.0%-0.4%53.4K-3.6M-7.4K9.5086.51N/AN/A4381,904824
2012-01-25$25.50$25.0037.8%10.8%25.4%30.4%37.8%11.0%-2.9%53.4K-3.5M-6.8K0.2159.06N/AN/A1431,907852
2012-01-26$24.52$25.0039.3%11.3%30.1%32.8%39.3%6.6%-4.6%53.6K-3.0M-7.8K0.0965.59N/AN/A235201,919855
2012-01-27$25.07$25.0038.1%10.9%28.9%30.9%38.5%18.2%-0.8%68.4K-3.5M-8.5K0.1362.30N/AN/A80102,135875
2012-01-30$24.74$25.0038.6%11.1%29.0%31.7%0.0%16.0%-2.1%72.9K-3.4M-9.0K0.0047.86N/AN/A1002,191885
2012-01-31$25.01$25.0040.5%11.6%29.0%34.9%40.6%13.1%-3.0%72.6K-3.6M-8.5K0.0093.97N/AN/A1102,194885