PL Options History — April 2013

In April 2013, PL traded between $34.67 and $38.06. ATM implied volatility averaged 24.3%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.9% (HV 20d: 23.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-04-16: Highest Volume — 216 contracts
  • 2013-04-23: Largest IV drop — 46.6% change
  • 2013-04-22: Highest IV Rank — 35.3%
  • 2013-04-22: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.54$34.67$38.06$35.52$38.06
Max Pain$34.09$30.00$35.00$30.00$35.00
ATM IV24.3%16.8%34.5%22.8%22.1%
Expected Move7.4%5.3%9.9%6.5%6.3%
HV 20d23.4%16.1%29.5%17.1%28.2%
HV 60d22.0%19.1%24.3%20.2%24.3%
IV Rank18.5%6.0%35.3%15.9%14.7%
IV Percentile27.0%2.4%66.7%21.4%17.9%
Term Structure2.1%-5.8%20.2%20.2%-0.2%
VWIV28.3%20.8%37.0%20.8%37.0%
Skew 25d11.2%1.9%35.1%12.2%8.0%
Skew 10d19.4%-1.1%63.4%13.4%34.9%
Call IV 25d21.7%15.1%27.8%26.4%25.6%
Put IV 25d32.9%21.6%55.4%38.6%33.6%
Bid-Ask Spread %85.5527.95112.7338.34100.09
Gamma HHI0.620.480.790.740.59
Net GEX105.9K77.0K128.2K116.7K111.8K
Net DEX-2.4M-3.4M-1.6M-2.1M-2.2M
Net VEX-8.6K-9.5K-7.6K-8.0K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.003.330.000.00
Total Volume42.773021602
Total OI1,708.7731,5192,1581,6101,542

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$35.52$30.0022.8%6.5%17.1%15.9%0.0%12.2%20.2%116.7K-2.1M-8.0K0.0038.34N/AN/A001,173437
2013-04-02$35.71$30.0020.1%5.8%17.1%11.4%0.0%1.9%-1.4%124.7K-2.3M-7.9K0.0036.38N/AN/A2801,173437
2013-04-03$35.23$30.0020.8%6.0%16.8%12.7%20.8%35.1%19.6%128.2K-2.0M-8.1K3.3328.78N/AN/A12401,179437
2013-04-04$35.29$30.0021.2%6.1%16.1%13.3%21.2%13.0%5.6%118.6K-2.0M-8.1K0.0027.95N/AN/A0181,191471
2013-04-05$34.67$35.0021.3%7.6%17.7%13.4%0.0%13.2%-1.7%111.3K-1.6M-8.2K0.0083.00N/AN/A1001,191489
2013-04-08$35.00$35.0020.7%7.9%17.4%12.5%0.0%12.5%-2.8%124.5K-1.8M-8.0K0.0073.98N/AN/A001,201489
2013-04-09$34.79$35.0016.8%9.0%17.0%6.0%27.8%14.6%-3.0%124.5K-1.6M-7.9K1.25105.88N/AN/A8101,201489
2013-04-10$35.59$35.0022.6%8.1%18.2%15.6%0.0%3.4%-2.5%123.2K-2.2M-8.0K0.67100.42N/AN/A15101,209497
2013-04-11$36.86$35.0024.9%7.1%21.8%19.4%25.6%2.1%4.2%83.5K-2.9M-7.6K0.0094.46N/AN/A15401,197492
2013-04-12$37.34$35.0025.1%7.2%22.0%19.8%0.0%13.7%5.4%83.1K-3.2M-8.2K0.07102.58N/AN/A8061,293492
2013-04-15$36.28$35.0028.4%8.1%24.8%25.2%0.0%13.9%-0.3%100.7K-2.9M-7.8K0.11112.73N/AN/A182201,301498
2013-04-16$37.51$35.0027.4%7.9%27.1%23.6%28.6%4.5%-5.8%77.0K-3.4M-9.3K0.0093.40N/AN/A21601,424518
2013-04-17$36.81$35.0031.1%8.9%27.9%29.7%0.0%10.9%-3.2%101.6K-3.3M-9.5K0.00102.02N/AN/A101,640518
2013-04-18$36.58$35.0029.5%8.5%28.1%27.0%29.6%9.7%-1.5%94.7K-3.2M-9.2K3.25101.93N/AN/A4131,606510
2013-04-19$37.14$35.0028.0%8.0%28.1%24.5%0.0%10.3%6.0%96.9K-3.3M-9.3K0.0089.77N/AN/A7101,606523
2013-04-22$36.77$35.0034.5%9.9%28.5%35.3%0.0%12.2%-5.6%86.2K-1.8M-9.1K0.25100.53N/AN/A411,222297
2013-04-23$37.68$35.0018.4%5.3%29.5%8.7%30.4%11.5%7.4%99.6K-2.1M-9.1K0.00103.25N/AN/A0161,226297
2013-04-24$38.01$35.0024.1%6.9%27.7%18.1%33.4%6.9%-3.2%108.6K-2.2M-9.3K0.2597.38N/AN/A411,226298
2013-04-25$37.63$35.0022.5%6.4%28.1%15.4%0.0%5.0%-0.9%105.8K-2.1M-9.0K0.0099.78N/AN/A0111,228299
2013-04-26$37.44$35.0029.5%8.5%28.2%27.0%0.0%10.3%0.5%95.9K-2.0M-9.0K0.00103.67N/AN/A001,228310
2013-04-29$37.98$35.0023.7%6.8%28.2%17.5%37.0%21.1%8.9%112.7K-2.2M-9.0K0.0085.81N/AN/A041,228310
2013-04-30$38.06$35.0022.1%6.3%28.2%14.7%0.0%8.0%-0.2%111.8K-2.2M-9.0K0.00100.09N/AN/A201,228314