PL Options History — October 2012

In October 2012, PL traded between $25.81 and $28.20. ATM implied volatility averaged 39.1%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 13.2% (HV 20d: 25.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2012-10-16: Highest Volume — 52 contracts
  • 2012-10-19: Largest IV spike — 83.4% change
  • 2012-10-31: Highest IV Rank — 82.7%
  • 2012-10-31: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.80$25.81$28.20$26.17$27.30
Max Pain$25.24$25.00$30.00$30.00$25.00
ATM IV39.1%25.6%63.5%36.7%63.5%
Expected Move11.3%7.4%18.2%10.5%18.2%
HV 20d25.9%19.2%32.1%20.5%30.4%
HV 60d22.9%20.9%25.0%21.0%22.6%
IV Rank41.0%18.0%82.7%36.9%82.7%
IV Percentile55.0%14.3%98.0%46.4%98.0%
Term Structure-10.0%-28.9%10.8%-5.6%-28.9%
VWIV35.1%27.8%43.4%36.7%43.4%
Skew 25d8.1%-12.1%19.7%-8.5%17.8%
Skew 10d11.8%-2.6%25.0%4.5%17.0%
Call IV 25d28.2%21.3%51.2%36.1%51.2%
Put IV 25d36.3%17.0%69.1%27.6%69.1%
Bid-Ask Spread %92.2550.44136.59136.40136.59
Gamma HHI0.340.290.530.300.30
Net GEX-4.4K-18.0K36.1K-8.9K-3.9K
Net DEX35.6K-294.9K193.7K147.9K-14.1K
Net VEX-3.0K-3.8K-2.3K-3.8K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.500.500.00
Total Volume14.381052305
Total OI1,3938421,6301,592863

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$26.17$30.0036.7%10.5%20.5%36.9%36.7%-8.5%-5.6%-8.9K147.9K-3.8K0.50136.40N/AN/A2010938654
2012-10-02$26.15$25.0026.0%7.5%20.5%18.7%27.8%5.9%10.8%-15.5K182.4K-3.1K0.40116.52N/AN/A104958654
2012-10-03$25.81$25.0026.8%7.7%19.2%20.0%0.0%-12.1%-2.6%-18.0K188.6K-3.1K0.00118.67N/AN/A00958657
2012-10-04$26.55$25.0031.4%9.0%21.1%27.9%0.0%-7.0%-11.8%-12.0K129.5K-3.0K0.00129.64N/AN/A015958657
2012-10-05$26.64$25.0034.3%11.3%20.6%32.8%0.0%12.2%-11.7%-8.8K64.9K-3.3K0.0081.03N/AN/A200958672
2012-10-08$26.31$25.0036.6%11.0%20.8%36.8%0.0%12.8%-8.3%-12.7K104.5K-3.2K0.0073.76N/AN/A00941672
2012-10-09$26.07$25.0039.5%10.1%20.2%41.8%35.3%13.9%-4.0%-16.9K193.7K-3.0K0.0050.44N/AN/A017941672
2012-10-10$26.26$25.0038.9%11.7%20.5%40.7%0.0%19.7%-5.1%-14.8K142.1K-3.1K0.0063.44N/AN/A40941679
2012-10-11$26.73$25.0037.4%10.7%21.9%38.2%0.0%11.9%-9.1%-10.7K78.9K-3.0K0.0065.64N/AN/A120945679
2012-10-12$26.05$25.0042.5%12.2%23.2%46.9%0.0%7.9%-16.9%-15.3K166.5K-3.0K0.0098.58N/AN/A240943679
2012-10-15$26.35$25.0035.8%10.3%23.1%35.4%0.0%17.5%-2.0%-16.4K122.3K-2.8K0.0075.12N/AN/A230943669
2012-10-16$27.93$25.0038.4%11.0%31.2%39.8%0.0%12.9%4.2%11.0K-51.0K-3.0K0.0084.32N/AN/A520936669
2012-10-17$28.20$25.0030.1%8.6%31.3%25.7%32.4%0.4%-0.8%36.1K-294.9K-3.3K0.05105.40N/AN/A422948669
2012-10-18$27.86$25.0025.6%7.4%31.5%18.0%0.0%-3.5%0.9%6.0K-179.2K-3.0K0.00112.06N/AN/A200959619
2012-10-19$27.22$25.0047.0%13.5%32.1%54.6%0.0%9.0%-18.4%4.3K-110.8K-3.0K0.00113.53N/AN/A01979619
2012-10-22$27.29$25.0046.0%13.2%32.1%52.8%0.0%10.0%-23.6%2.5K-54.8K-2.9K0.0079.05N/AN/A10428414
2012-10-23$26.79$25.0038.8%11.1%30.9%40.5%0.0%6.0%-8.1%-4659.4K-2.8K0.0062.48N/AN/A00429414
2012-10-24$26.85$25.0047.7%13.7%30.9%55.8%0.0%13.4%-20.8%745-18.5K-2.8K0.0086.24N/AN/A00429414
2012-10-25$27.07$25.0049.4%14.2%30.7%58.6%43.4%14.0%-22.1%1.1K-24.0K-2.8K0.0071.26N/AN/A010429414
2012-10-26$27.28$25.0048.4%13.9%30.4%56.9%0.0%15.6%-25.2%-295-35.9K-2.8K0.0077.11N/AN/A010429424
2012-10-31$27.30$25.0063.5%18.2%30.4%82.7%0.0%17.8%-28.9%-3.9K-14.1K-2.3K0.00136.59N/AN/A50429434