PL Options History — September 2012 In September 2012, PL traded between $26.10 and $28.60. ATM implied volatility averaged 33.7%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 17.4% (HV 20d: 16.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 4.52.
Notable Days 2012-09-17 : Highest Volume — 205 contracts2012-09-19 : Largest IV spike — 110.0% change2012-09-24 : Highest IV Rank — 72.3%2012-09-24 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $27.55 $26.10 $28.60 $28.23 $26.21 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 33.7% 16.5% 57.4% 33.1% 34.0% Expected Move 9.1% 4.7% 16.5% 9.5% 9.8% HV 20d 16.3% 13.5% 20.6% 13.5% 20.6% HV 60d 23.0% 20.9% 24.8% 24.4% 21.0% IV Rank 31.9% 2.5% 72.3% 30.7% 32.4% IV Percentile 37.0% 0.4% 92.1% 32.5% 38.5% Term Structure -0.1% -29.9% 18.1% 7.6% -18.0% VWIV 22.7% 16.5% 33.4% 23.6% 16.5% Skew 25d 4.5% -14.9% 23.2% 9.7% -14.9% Skew 10d 7.4% -1.3% 18.9% 2.8% -1.3% Call IV 25d 23.7% 16.2% 30.8% 17.9% 30.8% Put IV 25d 28.2% 15.9% 48.4% 27.6% 15.9% Bid-Ask Spread % 86.54 56.56 135.02 82.28 101.52 Gamma HHI 0.46 0.30 0.61 0.53 0.32 Net GEX 20.6K -16.2K 47.4K 37.9K -10.9K Net DEX -78.1K -339.6K 249.4K -305.0K 214.2K Net VEX -3.8K -4.4K -3.2K -4.3K -3.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.52 0.00 20.00 0.00 20.00 Total Volume 27.316 0 205 11 10 Total OI 1,476.842 1,381 1,592 1,381 1,582
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-09-04 $28.23 $30.00 33.1% 9.5% 13.5% 30.7% 0.0% 9.7% 7.6% 37.9K -305.0K -4.3K 0.00 82.28 N/A N/A 11 0 859 522 2012-09-05 $27.52 $30.00 41.3% 11.8% 13.7% 44.8% 0.0% -3.8% 3.1% 34.9K -254.6K -4.0K 0.00 117.68 N/A N/A 0 0 870 522 2012-09-06 $27.98 $30.00 37.8% 10.8% 14.1% 38.8% 0.0% 6.7% 10.0% 28.7K -175.1K -4.1K 0.00 69.35 N/A N/A 10 0 870 522 2012-09-07 $28.32 $30.00 44.5% 10.1% 14.7% 50.2% 0.0% 7.6% 3.5% 32.8K -295.3K -4.4K 0.00 129.91 N/A N/A 0 0 880 522 2012-09-10 $28.21 $30.00 38.3% 8.5% 14.6% 39.6% 0.0% 7.1% 3.8% 37.0K -230.2K -4.0K 0.00 96.38 N/A N/A 0 0 880 522 2012-09-11 $28.52 $30.00 43.7% 8.6% 15.1% 48.8% 0.0% 8.6% 5.7% 39.2K -276.5K -4.1K 0.00 90.14 N/A N/A 0 0 880 522 2012-09-12 $28.59 $30.00 36.7% 8.0% 14.9% 36.9% 23.6% 8.7% 5.7% 45.9K -339.6K -4.1K 1.67 70.60 N/A N/A 3 5 880 522 2012-09-13 $28.49 $30.00 16.5% 4.7% 14.9% 2.5% 16.5% 5.9% 16.1% 47.4K -279.1K -3.7K 1.36 95.37 N/A N/A 22 30 877 527 2012-09-14 $28.60 $30.00 21.4% 6.1% 15.0% 10.9% 0.0% 6.1% 4.2% 46.4K -330.6K -4.4K 2.09 67.83 N/A N/A 11 23 887 547 2012-09-17 $28.03 $30.00 22.0% 6.3% 16.4% 11.8% 23.5% 4.6% 4.6% 37.5K -163.8K -4.0K 0.08 56.56 N/A N/A 190 15 887 567 2012-09-18 $27.59 $30.00 18.3% 5.3% 16.7% 5.6% 0.0% -1.7% 18.1% 23.3K -40.9K -3.9K 2.00 68.19 N/A N/A 10 20 960 582 2012-09-19 $27.48 $30.00 38.5% 11.0% 16.7% 40.0% 0.0% 6.2% -15.6% 14.6K 42.3K -3.6K 20.00 61.11 N/A N/A 1 20 970 602 2012-09-20 $27.24 $30.00 37.0% 10.6% 16.7% 37.5% 0.0% 10.8% -11.3% 4.5K 138.8K -3.4K 0.00 71.12 N/A N/A 0 0 970 622 2012-09-21 $26.81 $30.00 30.3% 8.7% 17.1% 26.0% 0.0% 11.3% 3.5% 3.2K 157.7K -3.4K 0.00 62.01 N/A N/A 0 0 936 622 2012-09-24 $26.89 $30.00 57.4% 16.5% 16.9% 72.3% 0.0% 23.2% -29.9% 10.4K 67.3K -4.2K 0.00 135.02 N/A N/A 0 10 897 612 2012-09-25 $26.10 $30.00 24.7% 7.1% 19.3% 16.5% 0.0% -6.7% 1.2% -16.2K 185.7K -3.3K 1.10 103.13 N/A N/A 10 11 897 622 2012-09-26 $26.17 $30.00 35.4% 10.2% 19.4% 34.8% 33.4% 2.6% -5.6% -16.2K 249.4K -3.3K 1.46 82.55 N/A N/A 35 51 907 633 2012-09-27 $26.52 $30.00 30.2% 8.7% 20.4% 25.8% 16.5% -7.2% -8.8% -9.3K 150.9K -3.4K 20.00 83.53 N/A N/A 1 20 937 644 2012-09-28 $26.21 $30.00 34.0% 9.8% 20.6% 32.4% 0.0% -14.9% -18.0% -10.9K 214.2K -3.2K 0.00 101.52 N/A N/A 0 10 938 644
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