PL Options History — August 2012

In August 2012, PL traded between $27.37 and $29.70. ATM implied volatility averaged 31.6%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.0% (HV 20d: 24.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-08-06: Highest Volume — 113 contracts
  • 2012-08-08: Largest IV drop — 50.1% change
  • 2012-08-02: Highest IV Rank — 62.4%
  • 2012-08-02: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.60$27.37$29.70$27.37$28.25
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV31.6%18.6%55.0%46.5%29.7%
Expected Move8.7%5.6%15.8%13.3%8.5%
HV 20d24.6%13.9%28.7%19.8%13.9%
HV 60d28.9%24.4%31.4%29.8%24.4%
IV Rank27.2%5.5%62.4%49.2%25.0%
IV Percentile25.6%0.4%80.2%59.1%20.2%
Term Structure0.3%-15.9%8.9%-9.4%7.3%
VWIV31.7%17.7%55.9%55.9%26.2%
Skew 25d5.7%-5.8%42.6%3.6%7.7%
Skew 10d6.4%-6.3%52.8%10.6%1.8%
Call IV 25d26.3%17.2%44.5%36.0%17.2%
Put IV 25d32.0%19.3%64.7%39.7%24.9%
Bid-Ask Spread %92.0563.27123.85123.8582.23
Gamma HHI0.600.490.690.510.55
Net GEX47.7K26.3K76.5K32.5K40.4K
Net DEX-359.1K-893.4K-80.0K-182.6K-342.4K
Net VEX-4.4K-5.4K-3.5K-4.9K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.002.000.000.00
Total Volume30.3040113620
Total OI1,429.3911,1341,5891,5531,381

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$27.37$30.0046.5%13.3%19.8%49.2%55.9%3.6%-9.4%32.5K-182.6K-4.9K0.00123.85N/AN/A6201,011542
2012-08-02$27.56$30.0055.0%15.8%20.0%62.4%0.0%4.0%-15.9%26.3K-80.0K-4.4K0.0063.27N/AN/A010967542
2012-08-03$28.92$30.0049.3%14.1%27.3%53.5%0.0%-2.1%-8.7%52.9K-543.7K-5.1K2.0079.99N/AN/A510967542
2012-08-06$29.13$30.0036.1%7.2%27.5%32.8%0.0%12.0%5.4%63.1K-573.5K-4.9K0.5773.68N/AN/A7241967552
2012-08-07$29.70$30.0037.2%7.8%27.7%34.6%0.0%8.9%0.0%76.5K-893.4K-5.4K0.0990.99N/AN/A1111,006583
2012-08-08$29.11$30.0018.6%10.5%28.6%5.5%32.3%2.9%-0.9%74.6K-348.1K-4.7K0.0078.75N/AN/A4701,004584
2012-08-09$28.88$30.0024.9%7.5%28.7%15.5%26.1%-5.8%-1.3%68.2K-471.4K-4.7K0.00103.26N/AN/A90982584
2012-08-10$28.68$30.0024.6%8.2%27.7%16.2%0.0%6.8%0.5%59.6K-351.5K-4.6K0.00113.95N/AN/A00985584
2012-08-13$28.77$30.0029.8%5.9%27.7%25.2%17.7%6.2%1.8%61.4K-332.7K-4.4K0.0089.58N/AN/A010985584
2012-08-14$28.55$30.0029.7%7.5%27.1%25.0%0.0%3.6%3.2%48.7K-242.2K-4.3K1.00105.53N/AN/A3030985594
2012-08-15$28.47$30.0039.8%7.0%26.9%42.3%0.0%4.7%1.9%55.2K-258.4K-4.2K0.00111.08N/AN/A010989594
2012-08-16$28.45$30.0021.6%6.2%26.9%11.1%0.0%-5.6%0.9%55.6K-315.2K-3.9K0.00110.23N/AN/A00939535
2012-08-17$28.65$30.0019.6%5.6%25.2%7.7%0.0%12.7%8.9%36.3K-238.0K-3.7K0.00110.58N/AN/A00939535
2012-08-20$28.91$30.0021.4%6.1%25.0%10.8%0.0%42.6%3.1%38.2K-416.7K-3.5K0.38107.43N/AN/A3714692442
2012-08-21$28.97$30.0029.0%8.3%24.0%23.8%26.2%-4.6%-3.1%44.4K-487.0K-3.7K0.19100.69N/AN/A5210729432
2012-08-22$28.76$30.0028.5%8.2%23.7%23.0%0.0%36.4%1.7%40.7K-415.0K-3.8K2.00105.76N/AN/A2040739442
2012-08-23$28.42$30.0028.4%8.1%24.1%22.7%0.0%-0.8%6.3%30.4K-241.1K-3.9K1.4399.59N/AN/A2840759482
2012-08-24$28.60$30.0030.8%8.8%23.4%26.9%0.0%-2.8%-1.2%39.5K-355.5K-4.3K0.0066.76N/AN/A310771522
2012-08-27$28.62$30.0030.1%8.6%23.3%25.7%0.0%-1.4%-0.7%43.8K-385.6K-4.4K0.0078.27N/AN/A50802522
2012-08-28$28.53$30.0031.9%9.2%23.4%28.8%0.0%2.0%3.0%35.0K-273.9K-4.4K0.0065.89N/AN/A510802522
2012-08-29$28.36$30.0031.6%9.1%22.3%28.3%0.0%4.0%1.7%40.4K-305.7K-4.5K0.0087.88N/AN/A210853522
2012-08-30$28.19$30.0032.8%9.4%22.3%30.2%0.0%-3.0%2.2%32.6K-206.7K-4.4K0.0067.94N/AN/A00859522
2012-08-31$28.25$30.0029.7%8.5%13.9%25.0%0.0%7.7%7.3%40.4K-342.4K-4.5K0.0082.23N/AN/A00859522