PL Options History — July 2012

In July 2012, PL traded between $27.16 and $30.04. ATM implied volatility averaged 33.8%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.4% (HV 20d: 27.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2012-07-27: Highest Volume — 60 contracts
  • 2012-07-23: Largest IV spike — 49.4% change
  • 2012-07-25: Highest IV Rank — 64.3%
  • 2012-07-25: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.83$27.16$30.04$29.48$27.91
Max Pain$26.67$25.00$30.00$25.00$30.00
ATM IV33.8%23.5%56.2%25.6%47.0%
Expected Move9.8%6.8%16.1%7.4%13.5%
HV 20d27.3%20.1%32.7%32.7%20.1%
HV 60d30.5%29.6%32.3%32.3%29.6%
IV Rank29.2%13.2%64.3%16.5%49.9%
IV Percentile27.7%6.0%85.3%7.9%59.9%
Term Structure-3.7%-27.9%7.4%4.0%-6.6%
VWIV31.2%24.7%38.9%24.7%38.9%
Skew 25d12.0%-1.3%72.0%4.2%12.8%
Skew 10d18.3%-0.0%110.9%5.8%7.4%
Call IV 25d30.4%22.4%43.6%26.3%40.7%
Put IV 25d42.4%30.3%97.6%30.5%53.6%
Bid-Ask Spread %97.1443.66123.19123.19115.22
Gamma HHI0.730.490.880.830.61
Net GEX144.0K29.3K286.3K177.4K49.3K
Net DEX-1.2M-2.3M-114.8K-2.0M-354.3K
Net VEX-6.6K-8.7K-4.8K-8.0K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.0021.000.000.29
Total Volume18.1906020
Total OI2,072.9521,4382,3882,3841,553

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$29.48$25.0025.6%7.4%32.7%16.5%0.0%4.2%4.0%177.4K-2.0M-8.0K0.00123.19N/AN/A201,679705
2012-07-03$29.92$25.0024.7%7.1%32.6%15.0%24.7%72.0%5.5%203.8K-2.2M-8.6K0.04101.77N/AN/A5721,681705
2012-07-05$30.04$25.0023.9%6.8%28.6%13.8%0.0%4.8%7.4%213.7K-2.3M-8.7K0.00117.91N/AN/A001,683705
2012-07-06$30.01$25.0024.6%8.2%28.7%15.0%0.0%14.7%0.7%231.9K-2.2M-8.3K0.0043.66N/AN/A201,683705
2012-07-09$29.88$25.0025.4%8.8%28.9%16.2%0.0%12.4%-1.4%234.3K-2.1M-8.0K0.0045.17N/AN/A001,681705
2012-07-10$29.34$25.0023.5%8.3%29.2%13.2%0.0%13.7%-0.3%222.1K-1.7M-7.6K0.0052.39N/AN/A5001,681705
2012-07-11$29.20$25.0032.3%8.4%28.8%27.0%29.9%10.7%-1.2%169.8K-1.6M-7.5K0.00108.68N/AN/A1801,643705
2012-07-12$29.10$25.0031.4%9.0%28.4%25.5%38.2%4.7%-1.6%197.4K-1.3M-7.1K0.00106.84N/AN/A0311,643705
2012-07-13$29.68$25.0031.5%9.0%28.7%25.7%0.0%12.4%-1.6%286.3K-1.8M-7.2K0.00102.57N/AN/A301,643705
2012-07-16$29.49$25.0029.8%8.5%28.9%23.0%0.0%11.1%-0.9%195.1K-1.8M-7.0K0.00105.42N/AN/A001,642705
2012-07-17$28.94$25.0028.0%8.0%29.9%20.3%0.0%11.6%-2.1%179.1K-1.1M-6.4K0.00109.37N/AN/A3001,642705
2012-07-18$29.16$25.0031.2%9.0%29.0%25.3%0.0%8.5%1.7%200.5K-1.2M-6.2K2.00100.19N/AN/A10201,652705
2012-07-19$29.02$25.0026.9%7.7%28.8%18.6%29.9%8.5%-1.9%198.7K-1.3M-6.3K0.00107.97N/AN/A1801,610725
2012-07-20$28.26$25.0025.2%7.2%27.1%15.8%25.8%15.0%3.1%55.6K-688.9K-5.5K5.0076.99N/AN/A2101,610725
2012-07-23$27.97$30.0037.6%10.8%27.0%35.2%38.9%-1.3%-4.4%36.2K-256.6K-5.2K21.0087.90N/AN/A121917521
2012-07-24$27.49$30.0054.9%15.7%25.2%62.3%0.0%0.3%-27.0%29.4K-195.2K-5.0K0.00110.60N/AN/A200917542
2012-07-25$27.16$30.0056.2%16.1%23.6%64.3%0.0%9.2%-27.9%29.3K-114.8K-4.8K0.00119.41N/AN/A50937542
2012-07-26$27.43$30.0053.9%15.5%23.2%60.7%0.0%12.4%-21.6%36.5K-191.4K-4.9K0.0080.48N/AN/A110942542
2012-07-27$27.94$30.0032.5%9.3%24.1%27.2%0.0%16.2%6.7%36.3K-202.4K-4.9K0.00120.46N/AN/A600946542
2012-07-30$27.94$30.0042.7%12.3%20.1%43.3%0.0%-1.3%-9.2%41.8K-197.7K-5.0K0.29103.69N/AN/A721,006542
2012-07-31$27.91$30.0047.0%13.5%20.1%49.9%0.0%12.8%-6.6%49.3K-354.3K-5.2K0.00115.22N/AN/A001,011542