PL Options History — February 2012

In February 2012, PL traded between $25.53 and $28.50. ATM implied volatility averaged 36.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.6% (HV 20d: 27.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-02-13: Highest Volume — 4,521 contracts
  • 2012-02-03: Largest IV drop — 35.8% change
  • 2012-02-14: Highest IV Rank — 49.3%
  • 2012-02-14: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.30$25.53$28.50$25.53$27.77
Max Pain$24.13$22.50$25.00$25.00$25.00
ATM IV36.7%28.0%49.0%40.9%30.7%
Expected Move10.5%8.0%14.1%11.7%8.8%
HV 20d27.1%22.2%29.3%27.8%22.8%
HV 60d35.6%30.4%40.0%40.0%30.4%
IV Rank28.5%13.7%49.3%35.5%18.3%
IV Percentile39.5%8.7%71.4%61.1%17.1%
Term Structure4.4%-5.6%13.2%-3.1%8.8%
VWIV28.5%21.9%37.1%37.0%21.9%
Skew 25d15.0%0.2%43.7%14.9%2.1%
Skew 10d15.1%-6.8%65.0%19.7%9.7%
Call IV 25d25.0%14.8%40.2%32.9%23.1%
Put IV 25d40.0%24.5%79.6%47.8%25.2%
Bid-Ask Spread %99.1656.09136.2760.4984.21
Gamma HHI0.540.420.690.640.51
Net GEX77.4K58.6K94.9K74.1K92.5K
Net DEX-3.9M-5.2M-2.9M-3.9M-3.5M
Net VEX-8.2K-10.6K-6.5K-8.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.006.070.000.00
Total Volume299.704,521309
Total OI3,167.72,7773,4053,0883,404

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$25.53$25.0040.9%11.7%27.8%35.5%0.0%14.9%-3.1%74.1K-3.9M-8.3K0.0060.49N/AN/A3002,203885
2012-02-02$25.71$25.0043.6%12.5%27.6%40.1%0.0%16.2%-5.6%74.4K-4.0M-8.2K1.0056.09N/AN/A112,229885
2012-02-03$26.57$22.5028.0%10.6%29.2%13.7%37.0%14.8%0.4%73.6K-4.6M-7.4K0.1389.22N/AN/A96122,230886
2012-02-06$26.44$22.5036.9%11.1%28.4%28.8%0.0%8.6%-3.4%94.9K-4.6M-7.4K1.5760.33N/AN/A7112,306888
2012-02-07$26.82$22.5047.0%11.8%28.4%45.8%0.0%19.6%-3.6%75.8K-4.8M-6.9K0.00110.31N/AN/A4502,311899
2012-02-08$26.35$22.5047.1%10.9%26.9%46.1%0.0%11.8%0.8%77.5K-4.4M-8.1K6.07112.71N/AN/A301822,301899
2012-02-09$26.20$22.5037.8%10.8%27.1%30.4%0.0%13.7%-1.0%70.6K-4.3M-8.6K0.00109.19N/AN/A602,3311,073
2012-02-10$26.65$22.5034.0%9.7%27.5%23.8%0.0%11.0%7.2%73.1K-4.6M-7.3K0.63128.86N/AN/A19122,3321,073
2012-02-13$27.46$22.5036.3%10.4%27.8%27.8%37.1%17.8%-2.7%58.6K-5.2M-6.5K0.01119.80N/AN/A4,497242,3291,075
2012-02-14$27.33$25.0049.0%14.1%28.1%49.3%0.0%43.7%8.7%60.5K-2.9M-7.2K0.10136.27N/AN/A102101,6861,091
2012-02-15$27.31$25.0031.7%9.1%28.1%20.0%28.2%8.6%8.9%62.8K-3.2M-7.9K0.00116.66N/AN/A2601,7801,092
2012-02-16$28.09$25.0034.7%10.0%29.3%25.1%26.4%21.9%13.2%68.2K-3.4M-7.6K0.02101.06N/AN/A6011,7921,092
2012-02-17$28.26$25.0033.5%9.6%28.9%23.1%25.2%7.4%3.6%71.7K-3.6M-7.4K0.2480.66N/AN/A165401,8191,093
2012-02-21$28.40$25.0033.9%9.7%28.6%23.8%23.6%0.2%3.2%82.8K-3.6M-7.9K1.88111.39N/AN/A591111,9111,059
2012-02-22$28.34$25.0038.4%11.0%28.7%31.3%0.0%13.2%12.6%82.9K-3.5M-9.1K0.8686.58N/AN/A77661,9511,160
2012-02-23$28.50$25.0033.0%9.5%28.0%22.2%21.9%39.4%3.7%74.4K-3.8M-8.0K0.0059.64N/AN/A13701,9711,219
2012-02-24$28.19$25.0028.0%8.0%23.5%13.7%0.0%7.6%13.2%92.5K-3.5M-9.9K0.00125.81N/AN/A15702,0741,219
2012-02-27$28.12$25.0036.2%10.4%23.0%27.6%0.0%16.0%11.9%93.4K-3.6M-10.6K0.00123.73N/AN/A002,1841,219
2012-02-28$28.03$25.0033.9%9.7%22.2%23.7%0.0%11.2%10.9%93.1K-3.6M-10.2K0.00110.22N/AN/A102,1841,219
2012-02-29$27.77$25.0030.7%8.8%22.8%18.3%0.0%2.1%8.8%92.5K-3.5M-10.3K0.0084.21N/AN/A902,1851,219