PL Options History — May 2012

In May 2012, PL traded between $25.08 and $29.42. ATM implied volatility averaged 38.9%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.7% (HV 20d: 27.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2012-05-17: Highest Volume — 151 contracts
  • 2012-05-08: Largest IV spike — 53.9% change
  • 2012-05-09: Highest IV Rank — 91.6%
  • 2012-05-30: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.97$25.08$29.42$29.42$26.36
Max Pain$26.36$25.00$30.00$30.00$25.00
ATM IV38.9%30.6%73.6%33.9%37.0%
Expected Move10.6%8.8%14.3%9.7%10.6%
HV 20d27.2%23.3%30.3%27.9%30.0%
HV 60d26.5%25.1%27.8%25.1%27.6%
IV Rank37.3%24.2%91.6%29.4%34.2%
IV Percentile44.4%19.0%99.6%34.1%40.1%
Term Structure-3.3%-20.4%14.9%-4.9%1.8%
VWIV33.5%18.6%38.4%37.9%34.9%
Skew 25d6.4%-11.2%23.2%-1.5%9.7%
Skew 10d11.0%-3.2%28.6%-1.4%4.7%
Call IV 25d28.6%16.9%35.8%32.6%29.7%
Put IV 25d35.0%20.1%42.3%31.1%39.3%
Bid-Ask Spread %101.6454.58135.82112.7773.45
Gamma HHI0.630.460.810.810.49
Net GEX66.7K21.2K145.5K145.5K29.3K
Net DEX-661.0K-2.2M5.5K-2.2M-96.5K
Net VEX-7.9K-11.5K-6.3K-11.5K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0010.000.0010.00
Total Volume39.63601511311
Total OI2,240.2731,9712,4362,3122,067

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$29.42$30.0033.9%9.7%27.9%29.4%0.0%-1.5%-4.9%145.5K-2.2M-11.5K0.00112.77N/AN/A1301,860452
2012-05-02$29.16$30.0034.1%9.8%28.0%29.8%0.0%-2.7%-4.2%140.9K-2.0M-11.0K0.00104.89N/AN/A001,873452
2012-05-03$28.61$30.0034.0%9.8%28.0%29.6%0.0%-5.4%-6.6%134.8K-1.7M-10.6K0.00101.16N/AN/A001,866430
2012-05-04$27.65$30.0031.4%8.9%30.3%25.6%0.0%17.0%2.9%105.2K-1.1M-9.4K0.0089.55N/AN/A001,866430
2012-05-07$27.85$30.0032.9%10.0%28.9%27.9%0.0%6.2%-1.7%98.8K-1.0M-8.8K0.0099.08N/AN/A101,866430
2012-05-08$27.80$30.0050.6%10.2%26.8%55.6%37.9%3.8%-3.0%104.4K-1.1M-8.9K0.1375.94N/AN/A110141,866430
2012-05-09$27.11$25.0073.6%11.9%27.4%91.6%18.6%-0.1%-13.9%82.8K-707.1K-7.7K0.53135.82N/AN/A59311,966444
2012-05-10$27.49$25.0040.5%11.6%25.9%39.8%0.0%8.1%-7.5%76.1K-750.8K-7.8K0.0054.58N/AN/A001,961475
2012-05-11$27.70$25.0030.6%8.8%24.6%24.2%0.0%23.2%14.9%84.5K-867.9K-8.1K0.2195.74N/AN/A47101,961475
2012-05-14$27.40$25.0043.5%12.5%24.5%44.5%0.0%16.7%-11.3%76.6K-688.7K-7.8K0.27127.88N/AN/A41111,951485
2012-05-15$27.31$25.0034.5%9.9%23.3%30.4%0.0%-11.2%-12.7%73.7K-665.8K-7.7K5.0092.98N/AN/A2101,915485
2012-05-16$26.72$25.0039.6%11.4%23.4%38.4%0.0%-10.0%-20.4%67.9K-585.6K-7.5K0.00134.21N/AN/A001,913495
2012-05-17$25.80$25.0038.4%11.0%26.0%36.5%38.4%10.3%2.2%40.7K-220.9K-6.5K0.36110.70N/AN/A111401,913495
2012-05-18$25.08$25.0037.8%10.8%27.4%35.5%37.8%-2.5%13.6%29.2K-72.3K-6.3K2.87110.00N/AN/A30861,850524
2012-05-21$25.77$25.0034.2%9.8%29.8%30.0%34.9%13.5%-0.1%22.8K-55.2K-6.3K2.22102.64N/AN/A27601,390581
2012-05-22$25.90$25.0033.2%9.5%29.6%28.4%0.0%10.4%1.7%25.7K-99.1K-6.6K0.00106.80N/AN/A001,396609
2012-05-23$25.81$25.0035.0%10.0%27.6%31.1%0.0%13.6%1.0%21.2K5.5K-6.3K1.0598.66N/AN/A19201,395609
2012-05-24$26.16$25.0034.0%9.7%27.3%29.6%0.0%11.4%2.3%25.9K-98.7K-6.6K0.2893.97N/AN/A36101,400629
2012-05-25$26.06$25.0035.8%10.3%27.0%32.4%0.0%16.0%3.4%28.5K-126.8K-6.7K0.00111.81N/AN/A0201,378629
2012-05-29$26.36$25.0041.4%11.9%27.7%41.2%0.0%7.3%-10.6%28.1K-244.8K-7.2K0.4881.27N/AN/A21101,378649
2012-05-30$25.75$25.0049.8%14.3%28.1%54.3%0.0%6.0%-20.3%25.0K-76.1K-6.7K10.00122.16N/AN/A2201,388659
2012-05-31$26.36$25.0037.0%10.6%30.0%34.2%0.0%9.7%1.8%29.3K-96.5K-6.7K10.0073.45N/AN/A1101,388679