PL Options History — January 2013

In January 2013, PL traded between $28.95 and $31.64. ATM implied volatility averaged 29.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.9% (HV 20d: 20.4%). 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 3 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2013-01-09: Highest Volume — 144 contracts
  • 2013-01-03: Largest IV spike — 54.9% change
  • 2013-01-29: Highest IV Rank — 47.9%
  • 2013-01-29: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.69$28.95$31.64$28.95$31.64
Max Pain$29.52$25.00$30.00$25.00$30.00
ATM IV29.3%19.6%43.1%21.4%37.9%
Expected Move8.7%6.1%12.4%6.1%10.9%
HV 20d20.4%15.4%28.0%25.6%15.4%
HV 60d27.5%25.6%29.9%29.6%25.6%
IV Rank24.3%7.8%47.9%10.9%39.0%
IV Percentile36.9%3.6%84.1%7.1%73.0%
Term Structure-4.4%-18.5%6.1%6.1%-10.7%
VWIV27.4%26.7%28.3%26.7%28.3%
Skew 25d5.9%0.9%12.4%0.9%10.5%
Skew 10d8.4%-1.4%22.9%-1.4%13.8%
Call IV 25d22.3%19.4%27.4%22.4%27.4%
Put IV 25d28.3%22.7%37.9%23.3%37.9%
Bid-Ask Spread %47.068.6594.9877.8860.21
Gamma HHI0.620.440.820.710.45
Net GEX51.4K29.4K93.7K32.1K32.7K
Net DEX-655.7K-1.0M-262.2K-262.2K-641.7K
Net VEX-3.2K-3.7K-2.0K-2.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.0021.000.000.25
Total Volume24.810144250
Total OI947.2867181,233888765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$28.95$25.0021.4%6.1%25.6%10.9%0.0%0.9%6.1%32.1K-262.2K-2.0K0.0077.88N/AN/A250455433
2013-01-03$29.19$25.0033.2%9.5%25.5%31.0%0.0%10.3%5.1%39.1K-301.5K-2.1K0.0777.50N/AN/A403480433
2013-01-04$30.26$30.0020.5%7.3%27.7%9.3%0.0%12.4%2.9%52.9K-581.6K-2.5K0.0036.13N/AN/A150520435
2013-01-07$29.98$30.0021.2%7.6%28.0%10.5%26.7%1.5%-0.7%58.3K-559.5K-2.6K10.008.65N/AN/A110535435
2013-01-08$30.13$30.0019.6%7.8%27.6%7.8%0.0%2.2%-1.6%63.0K-575.1K-2.6K0.0035.74N/AN/A20535445
2013-01-09$30.27$30.0019.9%7.7%26.6%8.2%26.9%3.3%-0.8%63.5K-618.7K-2.6K0.0224.07N/AN/A1413537445
2013-01-10$30.54$30.0027.8%8.0%22.2%21.8%0.0%5.0%-1.8%66.2K-794.7K-3.4K0.0023.97N/AN/A30678447
2013-01-11$30.41$30.0027.5%7.9%20.8%21.2%0.0%4.3%-1.8%80.3K-780.1K-3.3K0.0027.70N/AN/A40681447
2013-01-14$30.25$30.0027.2%7.8%20.6%20.7%0.0%3.3%-1.0%93.3K-738.9K-3.2K0.0012.44N/AN/A500681447
2013-01-15$30.35$30.0027.8%8.0%20.0%21.7%0.0%4.2%-1.5%92.0K-829.2K-3.4K21.0034.37N/AN/A242723447
2013-01-16$30.46$30.0027.7%7.9%18.9%21.5%0.0%4.9%-1.8%93.7K-866.0K-3.7K0.0037.05N/AN/A240722487
2013-01-17$30.83$30.0027.8%8.0%17.4%21.7%27.8%6.7%-0.6%50.3K-951.6K-3.6K0.4538.01N/AN/A2210717487
2013-01-18$30.97$30.0027.2%7.8%17.3%20.8%0.0%4.8%-1.7%41.2K-1.0M-3.6K0.0053.81N/AN/A400736497
2013-01-22$31.42$30.0028.3%8.1%17.7%22.7%28.3%8.8%-2.9%29.4K-555.7K-3.6K0.0023.51N/AN/A80484234
2013-01-23$31.26$30.0028.0%8.0%16.5%22.1%0.0%6.0%-3.2%30.6K-569.3K-3.6K0.2894.98N/AN/A4011492234
2013-01-24$31.31$30.0037.2%10.7%16.5%37.7%0.0%4.0%-18.3%30.9K-598.6K-3.7K0.0072.89N/AN/A100506245
2013-01-25$31.60$30.0037.4%10.7%16.2%38.1%0.0%4.3%-18.5%32.0K-637.1K-3.7K0.0070.00N/AN/A100516245
2013-01-28$31.51$30.0040.4%11.6%16.1%43.2%0.0%8.8%-13.5%31.8K-637.7K-3.7K0.0050.64N/AN/A00516245
2013-01-29$31.64$30.0043.1%12.4%15.6%47.9%0.0%9.0%-18.4%32.8K-635.8K-3.6K0.2585.66N/AN/A41516245
2013-01-30$31.55$30.0034.4%9.9%15.6%33.1%0.0%9.9%-7.8%33.1K-632.4K-3.5K0.0043.08N/AN/A00520245
2013-01-31$31.64$30.0037.9%10.9%15.4%39.0%0.0%10.5%-10.7%32.7K-641.7K-3.6K0.0060.21N/AN/A00520245