PL Options History — March 2013

In March 2013, PL traded between $31.64 and $35.86. ATM implied volatility averaged 23.9%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.2% (HV 20d: 24.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2013-03-14: Highest Volume — 302 contracts
  • 2013-03-12: Largest IV drop — 58.7% change
  • 2013-03-06: Highest IV Rank — 42.7%
  • 2013-03-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.35$31.64$35.86$31.64$35.80
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV23.9%15.8%39.0%32.6%22.1%
Expected Move5.9%3.9%9.3%9.3%6.3%
HV 20d24.0%15.5%27.6%26.3%17.2%
HV 60d21.0%19.5%23.2%22.8%20.2%
IV Rank17.7%4.3%42.7%32.1%14.8%
IV Percentile24.5%0.8%79.0%57.1%18.3%
Term Structure3.0%-23.8%10.9%-23.8%4.5%
VWIV20.5%18.0%25.1%25.1%21.2%
Skew 25d9.0%-11.5%28.1%-11.5%5.1%
Skew 10d14.2%-1.1%44.2%2.2%8.0%
Call IV 25d17.8%12.1%29.5%29.5%17.8%
Put IV 25d26.8%14.8%49.1%18.0%22.9%
Bid-Ask Spread %39.8116.47129.8677.3534.78
Gamma HHI0.810.640.970.650.72
Net GEX125.5K42.4K425.3K42.8K110.5K
Net DEX-1.6M-2.3M-634.0K-634.0K-2.3M
Net VEX-6.2K-8.4K-4.6K-4.6K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.008.000.008.00
Total Volume64.90302015
Total OI1,297.951,1831,6051,1941,605

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$31.64$30.0032.6%9.3%26.3%32.1%0.0%-11.5%-23.8%42.8K-634.0K-4.6K0.0077.35N/AN/A00904290
2013-03-04$31.93$30.0024.4%7.4%26.5%18.6%0.0%11.7%0.5%42.4K-687.7K-4.7K0.0024.16N/AN/A00904290
2013-03-05$32.72$30.0026.1%6.2%27.2%21.4%25.1%15.1%10.9%63.7K-895.2K-5.1K0.0057.27N/AN/A100904290
2013-03-06$33.27$30.0039.0%3.9%27.6%42.7%0.0%2.7%10.4%88.0K-1.1M-5.1K0.00129.86N/AN/A00895290
2013-03-07$33.30$30.0035.6%6.9%27.3%37.1%21.6%21.2%0.6%80.5K-1.2M-4.9K0.2745.83N/AN/A5615895290
2013-03-08$33.77$30.0035.0%6.7%27.0%36.2%0.0%25.8%-0.6%98.3K-1.4M-5.5K0.7366.29N/AN/A118951305
2013-03-11$34.24$30.0038.2%5.1%27.2%41.5%0.0%7.3%4.1%121.7K-1.6M-5.7K0.4030.24N/AN/A104962309
2013-03-12$34.70$30.0015.8%5.2%27.4%4.3%18.2%28.1%4.1%202.7K-1.7M-5.8K0.0229.08N/AN/A2105972313
2013-03-13$34.76$30.0017.8%5.3%27.3%7.7%0.0%1.2%3.6%235.9K-1.8M-6.6K0.0032.52N/AN/A001,078317
2013-03-14$35.04$30.0017.9%5.1%26.1%7.9%18.0%26.9%4.7%425.3K-2.1M-6.5K0.0019.34N/AN/A30201,077311
2013-03-15$35.14$30.0017.3%5.0%26.1%6.8%0.0%26.5%4.9%292.5K-2.1M-6.3K0.1432.28N/AN/A4971,030311
2013-03-18$35.03$30.0018.1%5.2%26.0%8.2%0.0%2.1%6.1%82.8K-1.7M-5.9K0.6016.47N/AN/A159887296
2013-03-19$34.73$30.0019.5%5.6%25.8%10.5%0.0%1.2%5.6%79.8K-1.6M-6.3K1.0517.53N/AN/A2021899305
2013-03-20$35.00$30.0019.1%5.5%21.9%9.7%19.0%2.1%0.1%81.9K-1.7M-6.3K0.2031.41N/AN/A102915326
2013-03-21$34.71$30.0019.2%5.5%21.3%10.0%0.0%1.2%9.2%81.0K-1.6M-6.4K0.0028.05N/AN/A1050925327
2013-03-22$34.85$30.0018.4%5.3%21.0%8.6%0.0%1.7%8.1%87.2K-1.6M-6.8K0.0024.90N/AN/A100982327
2013-03-25$34.76$30.0019.4%5.5%15.5%10.2%0.0%1.7%-0.1%87.8K-1.7M-6.9K6.4034.32N/AN/A1064992327
2013-03-26$35.86$30.0020.7%5.9%18.0%12.5%20.7%4.8%1.8%83.0K-1.9M-7.5K0.0427.93N/AN/A273121,002386
2013-03-27$35.78$30.0021.1%6.1%17.6%13.2%21.2%4.8%6.2%122.0K-2.3M-8.2K8.0036.53N/AN/A5401,178392
2013-03-28$35.80$30.0022.1%6.3%17.2%14.8%0.0%5.1%4.5%110.5K-2.3M-8.4K0.0034.78N/AN/A0151,173432