PL Options History — June 2012

In June 2012, PL traded between $24.98 and $29.41. ATM implied volatility averaged 36.8%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 1.7% (HV 20d: 35.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2012-06-29: Highest Volume — 365 contracts
  • 2012-06-11: Largest IV spike — 73.8% change
  • 2012-06-13: Highest IV Rank — 78.0%
  • 2012-06-11: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$24.98$29.41$25.20$29.41
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV36.8%23.1%65.0%42.8%23.1%
Expected Move10.2%6.6%12.9%12.3%6.6%
HV 20d35.1%31.2%38.2%32.9%33.2%
HV 60d30.5%28.9%32.3%28.9%32.3%
IV Rank34.0%12.5%78.0%43.4%12.5%
IV Percentile35.3%5.2%97.2%55.6%5.2%
Term Structure1.5%-25.2%19.5%-2.9%7.7%
VWIV31.3%23.7%38.6%31.2%23.7%
Skew 25d11.2%-0.8%29.8%-0.8%-0.2%
Skew 10d16.6%-3.8%51.4%-3.8%-0.3%
Call IV 25d26.6%13.9%38.1%37.4%24.3%
Put IV 25d37.8%24.1%68.0%36.6%24.1%
Bid-Ask Spread %91.3762.29128.5682.25106.37
Gamma HHI0.550.390.760.450.76
Net GEX53.4K11.7K139.9K18.9K139.9K
Net DEX-479.5K-1.4M180.6K38.0K-1.4M
Net VEX-7.2K-7.9K-6.3K-6.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.007.335.500.00
Total Volume45.524036539365
Total OI2,155.3332,0772,2362,0772,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$25.20$25.0042.8%12.3%32.9%43.4%0.0%-0.8%-2.9%18.9K38.0K-6.5K5.5082.25N/AN/A6331,388689
2012-06-04$24.98$25.0036.6%11.4%31.2%33.7%0.0%6.6%-1.4%11.7K180.6K-6.3K0.6884.34N/AN/A44301,384722
2012-06-05$25.43$25.0034.5%11.4%32.0%30.4%0.0%7.1%-1.5%12.6K104.5K-6.9K0.0089.15N/AN/A201,427752
2012-06-06$26.74$25.0037.7%10.7%37.5%35.4%31.2%4.3%1.3%20.5K-258.3K-7.1K0.73105.68N/AN/A30221,427752
2012-06-07$26.87$25.0038.7%10.5%36.5%37.0%27.0%4.2%-3.6%34.0K-296.0K-7.1K0.0088.19N/AN/A2101,410751
2012-06-08$26.98$25.0032.7%11.2%36.2%27.5%0.0%15.1%-0.9%48.8K-402.9K-7.5K0.0064.93N/AN/A001,430751
2012-06-11$26.56$25.0056.8%12.9%36.4%65.2%0.0%11.3%-25.2%44.6K-353.4K-7.1K0.00113.48N/AN/A1001,430751
2012-06-12$27.11$25.0037.9%11.0%37.1%35.6%0.0%13.2%-4.0%28.3K-307.0K-6.8K0.0069.85N/AN/A001,440751
2012-06-13$26.81$25.0065.0%11.4%37.2%78.0%0.0%14.8%-7.5%38.1K-317.3K-7.1K0.0086.92N/AN/A501,440751
2012-06-14$27.16$25.0038.8%11.1%36.7%37.1%0.0%11.5%-7.3%27.0K-295.3K-6.3K1.0082.59N/AN/A20201,445751
2012-06-15$27.42$25.0044.1%12.7%34.3%45.4%0.0%10.8%-7.3%45.1K-498.5K-7.5K0.0066.39N/AN/A001,465771
2012-06-18$27.70$25.0030.8%8.8%32.2%24.6%27.3%24.2%14.9%64.3K-566.1K-7.6K0.00111.48N/AN/A051,400747
2012-06-19$28.32$25.0032.3%9.3%31.8%27.0%0.0%29.8%6.7%83.5K-821.8K-7.4K0.2897.57N/AN/A39111,400742
2012-06-20$28.66$25.0030.1%8.6%31.9%23.5%38.6%12.9%4.6%97.1K-934.2K-7.8K7.33108.27N/AN/A3221,439738
2012-06-21$27.60$25.0027.2%7.8%35.3%19.0%31.7%1.5%1.4%65.4K-624.3K-7.6K1.4985.25N/AN/A671001,442742
2012-06-22$27.94$25.0027.8%8.0%35.2%19.9%0.0%18.5%15.2%75.2K-625.5K-7.3K5.2999.15N/AN/A7371,409696
2012-06-25$27.07$25.0044.3%12.7%37.3%45.7%35.8%12.3%-10.2%33.4K-379.3K-6.9K2.2062.29N/AN/A10221,416726
2012-06-26$27.81$25.0034.1%9.8%38.2%29.8%35.1%18.9%19.5%60.5K-474.5K-6.5K0.0065.42N/AN/A0231,411728
2012-06-27$28.22$25.0029.5%8.5%37.2%22.6%0.0%8.6%16.3%84.5K-812.8K-7.3K0.00120.55N/AN/A001,411705
2012-06-28$28.40$25.0027.9%8.0%36.5%20.1%0.0%11.4%15.1%87.5K-986.8K-7.7K0.00128.56N/AN/A021,411705
2012-06-29$29.41$25.0023.1%6.6%33.2%12.5%23.7%-0.2%7.7%139.9K-1.4M-7.9K0.00106.37N/AN/A36501,411705