PL Options History — November 2012

In November 2012, PL traded between $24.93 and $27.77. ATM implied volatility averaged 34.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.2% (HV 20d: 34.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2012-11-20: Highest Volume — 60 contracts
  • 2012-11-07: Largest IV spike — 106.2% change
  • 2012-11-12: Highest IV Rank — 81.3%
  • 2012-11-02: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.27$24.93$27.77$27.57$27.15
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.3%24.6%62.7%25.3%33.3%
Expected Move8.8%6.5%13.1%7.2%9.5%
HV 20d34.1%29.0%40.1%30.5%33.6%
HV 60d26.6%22.1%28.5%22.6%28.5%
IV Rank32.8%16.4%81.3%17.4%31.0%
IV Percentile41.2%11.1%98.8%13.9%43.3%
Term Structure-3.1%-31.5%4.3%4.3%-21.7%
VWIV28.6%26.7%31.4%31.4%28.6%
Skew 25d7.0%-7.2%13.9%7.2%-7.2%
Skew 10d9.0%-2.7%31.4%31.4%0.7%
Call IV 25d25.1%18.4%37.2%35.4%26.3%
Put IV 25d32.1%19.1%49.1%42.5%19.1%
Bid-Ask Spread %58.4820.95104.3793.6185.91
Gamma HHI0.330.300.450.310.37
Net GEX-5.1K-21.1K5.0K2.5K-523
Net DEX63.7K-130.4K220.5K-81.9K-18.9K
Net VEX-2.3K-3.0K-1.8K-2.8K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.001.090.000.00
Total Volume10.762060302
Total OI871.286804908861861

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$27.57$25.0025.3%7.2%30.5%17.4%0.0%7.2%4.3%2.5K-81.9K-2.8K0.0093.61N/AN/A300427434
2012-11-02$27.19$25.0045.5%13.1%30.5%52.0%0.0%11.9%-12.8%3.6K-82.2K-3.0K0.0040.26N/AN/A00457434
2012-11-05$27.36$0.0047.4%9.5%29.0%55.1%0.0%1.9%-10.0%1.7K-76.8K-2.7K1.0957.89N/AN/A1112457434
2012-11-06$27.77$0.0024.6%6.5%29.4%16.4%0.0%8.3%1.8%5.0K-130.4K-3.0K0.0032.95N/AN/A00451432
2012-11-07$25.75$0.0050.8%9.5%40.1%61.1%0.0%4.3%-2.5%-4.7K84.0K-2.6K0.0057.60N/AN/A00451432
2012-11-08$25.78$0.0037.1%8.8%40.0%37.6%0.0%11.6%0.7%-6.9K112.5K-2.4K0.0020.95N/AN/A010451432
2012-11-09$25.92$0.0039.8%9.0%40.0%42.2%31.4%11.9%-0.4%-7.5K112.9K-2.4K0.6341.05N/AN/A1610451432
2012-11-12$25.78$25.0062.7%9.1%39.4%81.3%0.0%12.8%0.7%-6.9K100.3K-2.5K0.0032.38N/AN/A00465442
2012-11-13$25.64$25.0027.4%8.6%38.4%21.1%0.0%11.8%1.1%-8.0K128.5K-2.4K0.0033.24N/AN/A00465442
2012-11-14$24.93$25.0029.9%8.7%39.3%25.3%0.0%9.1%1.8%-10.3K218.0K-2.4K0.0057.10N/AN/A10465442
2012-11-15$25.01$25.0031.9%9.1%32.1%28.7%0.0%3.3%-0.2%-13.7K220.5K-2.3K0.00104.37N/AN/A00466442
2012-11-16$25.09$25.0029.8%8.5%31.8%25.2%29.8%7.6%-0.2%-21.1K214.1K-2.1K0.0038.36N/AN/A100466442
2012-11-19$25.48$25.0027.3%7.8%32.6%20.8%27.3%2.8%1.7%-5.0K133.3K-2.2K0.0059.19N/AN/A010435369
2012-11-20$25.86$25.0026.7%7.6%32.5%19.8%26.7%7.6%1.5%-8.7K154.3K-2.0K0.5034.31N/AN/A4020435379
2012-11-21$25.99$25.0027.6%7.9%32.6%21.5%27.7%4.9%1.2%-7.6K115.6K-2.2K0.6546.46N/AN/A1711435399
2012-11-23$26.41$25.0028.3%8.1%32.6%22.6%28.6%5.9%0.7%-7.5K77.1K-2.0K0.0090.48N/AN/A022435400
2012-11-26$26.58$25.0030.7%8.8%32.7%26.8%0.0%7.2%-2.5%-6.4K47.3K-2.0K0.0099.00N/AN/A01435422
2012-11-27$26.33$25.0025.6%7.3%32.7%17.9%0.0%4.5%-0.1%-3.4K51.5K-1.8K0.0058.13N/AN/A03435423
2012-11-28$26.81$25.0040.3%11.5%33.2%43.0%0.0%5.9%-31.5%-2.8K13.8K-1.9K0.0063.49N/AN/A00435426
2012-11-29$27.24$25.0028.4%8.1%33.8%22.7%0.0%13.9%1.0%1.5K-55.2K-1.9K0.0081.40N/AN/A00435426
2012-11-30$27.15$25.0033.3%9.5%33.6%31.0%0.0%-7.2%-21.7%-523-18.9K-1.8K0.0085.91N/AN/A20435426