PL Options History — March 2012

In March 2012, PL traded between $27.20 and $30.25. ATM implied volatility averaged 33.6%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.9% (HV 20d: 23.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 5.07.

Notable Days

  • 2012-03-14: Highest Volume — 276 contracts
  • 2012-03-07: Largest IV spike — 55.5% change
  • 2012-03-12: Highest IV Rank — 60.4%
  • 2012-03-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.88$27.20$30.25$27.81$29.62
Max Pain$22.73$22.50$25.00$25.00$22.50
ATM IV33.6%20.4%55.6%35.1%21.2%
Expected Move7.6%5.9%12.1%10.1%6.1%
HV 20d23.7%21.9%27.5%22.0%26.1%
HV 60d27.5%25.1%31.1%30.3%25.4%
IV Rank23.1%0.9%60.4%25.8%2.2%
IV Percentile30.1%0.4%82.9%34.1%1.2%
Term Structure4.2%-34.8%10.5%10.4%10.5%
VWIV25.6%20.4%35.6%35.6%21.5%
Skew 25d6.0%-6.5%73.4%6.3%6.8%
Skew 10d10.2%-2.5%133.6%10.1%8.6%
Call IV 25d23.9%20.5%30.6%22.5%24.0%
Put IV 25d30.0%20.1%94.9%28.9%30.8%
Bid-Ask Spread %71.8429.91128.28128.28106.47
Gamma HHI0.660.430.890.490.80
Net GEX117.7K86.8K145.1K89.8K129.0K
Net DEX-4.3M-5.5M-3.1M-3.4M-4.8M
Net VEX-10.0K-11.2K-9.1K-10.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.070.0090.000.000.24
Total Volume65.7730276500
Total OI3,661.53,4043,9123,4043,912

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$27.81$25.0035.1%10.1%22.0%25.8%0.0%6.3%10.4%89.8K-3.4M-10.3K0.00128.28N/AN/A5002,1851,219
2012-03-02$27.25$25.0042.2%12.1%23.7%37.8%0.0%-6.5%-34.8%90.8K-3.3M-9.8K0.0068.25N/AN/A102,2351,219
2012-03-05$27.86$22.5049.5%9.5%22.1%50.1%35.6%7.8%4.4%95.0K-3.5M-9.6K0.0251.04N/AN/A13832,2341,219
2012-03-06$27.20$22.5032.5%10.2%23.9%21.3%34.6%6.8%-0.3%86.8K-3.1M-10.2K0.0069.29N/AN/A602,2691,222
2012-03-07$27.62$22.5050.5%8.9%24.0%51.8%34.6%8.0%4.0%92.8K-3.5M-10.0K0.0062.59N/AN/A3302,2691,222
2012-03-08$27.82$22.5048.4%8.8%23.0%48.1%24.2%9.6%5.6%95.1K-3.6M-9.6K0.0083.93N/AN/A4702,2601,222
2012-03-09$28.27$22.5050.4%8.4%23.2%51.6%26.3%6.7%5.4%100.3K-3.8M-9.5K0.0068.13N/AN/A6402,2641,222
2012-03-12$28.19$22.5055.6%6.0%22.8%60.4%0.0%7.8%7.6%99.1K-3.7M-9.6K0.2529.91N/AN/A2052,2821,222
2012-03-13$28.94$22.5047.0%6.7%22.2%45.8%21.8%7.8%6.0%109.7K-4.2M-9.6K0.0066.93N/AN/A10502,3021,227
2012-03-14$29.16$22.5053.3%7.4%22.1%56.5%25.7%-3.1%2.7%111.2K-4.3M-9.9K0.0883.99N/AN/A256202,3021,227
2012-03-15$29.83$22.5027.0%7.7%23.1%12.0%27.1%-1.5%3.4%139.0K-4.9M-10.0K0.0044.57N/AN/A18502,4871,227
2012-03-16$29.50$22.5022.9%6.6%21.9%5.1%22.9%0.7%5.5%143.0K-5.2M-10.5K0.2966.69N/AN/A35102,6381,227
2012-03-19$29.47$22.5024.7%7.1%21.9%8.2%24.7%-0.3%6.2%143.4K-4.8M-11.0K5.0036.69N/AN/A211052,5501,174
2012-03-20$29.28$22.5025.1%7.2%22.1%8.9%25.0%-1.8%4.9%136.0K-4.6M-11.2K0.1638.34N/AN/A61102,5511,233
2012-03-21$29.25$22.5022.4%6.4%22.1%4.3%22.4%1.0%5.8%124.3K-4.7M-9.9K0.2065.71N/AN/A49102,5431,233
2012-03-22$28.63$22.5023.8%6.8%23.4%6.6%0.0%-3.6%3.4%128.1K-4.1M-10.8K0.0065.11N/AN/A1002,5431,233
2012-03-23$29.50$22.5020.8%6.0%25.3%1.5%20.8%2.3%9.9%127.2K-4.7M-9.1K0.0080.51N/AN/A6702,5431,233
2012-03-26$30.24$22.5020.4%5.9%26.4%0.9%20.4%73.4%9.2%143.6K-5.3M-9.7K0.00104.08N/AN/A032,5781,233
2012-03-27$30.25$22.5021.9%6.3%26.3%3.4%21.9%2.4%6.1%145.1K-5.5M-10.0K90.00101.05N/AN/A1902,5731,233
2012-03-28$30.09$22.5021.5%6.2%26.1%2.7%21.5%-0.2%8.5%132.1K-5.2M-10.1K0.2479.51N/AN/A3482,5721,302
2012-03-29$29.49$22.5022.1%6.3%27.5%3.8%0.0%2.1%8.8%127.5K-4.7M-10.1K0.0079.39N/AN/A002,6021,310
2012-03-30$29.62$22.5021.2%6.1%26.1%2.2%0.0%6.8%10.5%129.0K-4.8M-10.3K0.00106.47N/AN/A002,6021,310