PL Options History — April 2012

In April 2012, PL traded between $27.52 and $30.08. ATM implied volatility averaged 27.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.4% (HV 20d: 28.1%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2012-04-17: Highest Volume — 302 contracts
  • 2012-04-10: Largest IV spike — 51.6% change
  • 2012-04-24: Highest IV Rank — 36.2%
  • 2012-04-24: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.73$27.52$30.08$30.08$29.26
Max Pain$28.50$22.50$30.00$22.50$30.00
ATM IV27.7%15.1%38.2%21.4%32.6%
Expected Move8.2%6.0%11.0%6.1%9.4%
HV 20d28.1%23.7%31.2%25.6%28.4%
HV 60d26.2%24.6%27.5%25.5%25.9%
IV Rank18.3%0.0%36.2%2.6%27.5%
IV Percentile16.4%0.0%46.8%2.0%30.6%
Term Structure-0.1%-9.6%12.7%9.5%-4.4%
VWIV31.4%21.4%38.8%21.4%32.6%
Skew 25d5.5%-3.4%24.6%-1.7%-2.4%
Skew 10d8.7%-5.7%25.8%-2.6%-2.8%
Call IV 25d29.6%16.6%39.5%23.1%32.0%
Put IV 25d35.1%21.1%43.1%21.4%29.5%
Bid-Ask Spread %93.8448.71111.8263.32111.82
Gamma HHI0.750.500.830.810.81
Net GEX120.4K74.5K156.6K137.9K143.4K
Net DEX-3.4M-5.2M-1.2M-5.2M-2.1M
Net VEX-9.9K-11.5K-7.6K-10.2K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0010.0010.000.85
Total Volume6603022215
Total OI3,529.152,2334,4013,9122,297

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$30.08$22.5021.4%6.1%25.6%2.6%21.4%-1.7%9.5%137.9K-5.2M-10.2K10.0063.32N/AN/A2202,6021,310
2012-04-03$29.90$22.5021.1%6.0%23.7%2.0%0.0%-3.4%8.2%139.1K-5.0M-10.1K0.00109.45N/AN/A002,6021,330
2012-04-04$29.36$22.5023.3%6.7%24.7%5.9%0.0%1.8%8.8%130.0K-4.5M-9.9K0.0091.41N/AN/A1402,6021,330
2012-04-05$29.17$22.5022.8%6.5%24.8%4.1%0.0%2.6%7.4%122.6K-4.4M-9.1K0.0090.71N/AN/A402,5921,330
2012-04-09$28.35$30.0015.1%9.0%26.6%0.0%31.8%7.9%-2.5%74.5K-3.6M-7.9K0.0048.71N/AN/A082,5961,330
2012-04-10$27.52$30.0022.8%7.9%28.6%12.2%31.8%3.0%-1.3%89.0K-3.1M-7.6K0.0299.16N/AN/A10022,5961,330
2012-04-11$28.05$30.0031.6%9.0%27.8%25.8%38.8%7.0%-3.3%114.8K-3.5M-9.0K0.0061.42N/AN/A1702,6961,330
2012-04-12$28.81$30.0031.5%9.0%29.4%25.6%31.5%13.9%-1.0%130.8K-4.0M-9.1K0.0094.14N/AN/A12002,7121,330
2012-04-13$28.07$30.0025.6%7.4%29.4%16.5%0.0%8.5%-2.3%113.7K-3.6M-8.1K0.00103.34N/AN/A20802,7221,330
2012-04-16$28.36$30.0024.3%7.0%29.6%14.4%0.0%24.6%12.7%118.6K-3.6M-9.0K0.00102.26N/AN/A3002,7451,330
2012-04-17$28.89$30.0031.6%9.1%30.5%25.9%32.6%10.0%-3.8%112.3K-3.9M-9.1K0.00101.48N/AN/A30202,7751,330
2012-04-18$28.30$30.0028.5%8.2%31.2%21.1%32.1%2.7%-9.6%128.9K-4.2M-10.6K0.0090.17N/AN/A8003,0611,330
2012-04-19$28.24$30.0026.3%7.5%31.2%17.6%0.0%10.5%-1.0%156.6K-3.9M-11.3K0.00107.75N/AN/A1503,0811,320
2012-04-20$28.12$30.0036.4%10.4%30.3%33.3%35.3%-1.7%-6.3%81.4K-3.9M-10.4K0.0161.70N/AN/A29423,0681,310
2012-04-23$28.01$30.0032.4%9.3%28.1%27.0%0.0%6.4%-4.6%100.8K-1.2M-10.2K10.00103.25N/AN/A1101,803430
2012-04-24$28.23$30.0038.2%11.0%26.5%36.2%0.0%-1.7%-5.4%103.8K-1.4M-10.6K0.00110.28N/AN/A001,804440
2012-04-25$28.94$30.0030.8%8.8%28.3%24.5%30.9%9.2%-1.0%123.5K-1.8M-10.9K0.00109.92N/AN/A1801,804440
2012-04-26$29.41$30.0028.7%8.2%29.0%21.3%28.7%13.8%0.3%135.8K-2.0M-11.5K0.13105.06N/AN/A3041,822440
2012-04-27$29.57$30.0029.4%8.4%28.2%22.4%29.4%-0.4%-1.5%149.8K-2.2M-11.4K0.85111.41N/AN/A13111,847436
2012-04-30$29.26$30.0032.6%9.4%28.4%27.5%32.6%-2.4%-4.4%143.4K-2.1M-11.2K0.00111.82N/AN/A0151,860437