PL Options History — May 2013

In May 2013, PL traded between $37.21 and $39.26. ATM implied volatility averaged 20.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.0% (HV 20d: 23.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2013-05-10: Highest Volume — 191 contracts
  • 2013-05-07: Largest IV drop — 49.0% change
  • 2013-05-06: Highest IV Rank — 32.4%
  • 2013-05-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.60$37.21$39.26$37.21$38.68
Max Pain$39.32$35.00$40.00$35.00$40.00
ATM IV20.2%14.1%32.8%27.6%18.1%
Expected Move5.8%4.0%7.9%7.9%5.2%
HV 20d23.2%18.2%29.8%29.1%18.5%
HV 60d23.5%21.7%24.9%24.6%22.0%
IV Rank12.5%1.8%32.4%23.9%9.5%
IV Percentile14.1%0.4%61.5%38.9%7.5%
Term Structure0.2%-5.1%10.0%-5.1%0.2%
VWIV23.1%18.2%32.6%26.9%18.7%
Skew 25d7.4%-1.3%35.3%-1.3%10.6%
Skew 10d10.9%2.7%47.2%6.2%13.7%
Call IV 25d19.9%9.7%27.2%22.5%20.1%
Put IV 25d27.3%21.0%53.5%21.2%30.7%
Bid-Ask Spread %79.6032.58108.11102.70102.52
Gamma HHI0.650.510.750.510.73
Net GEX124.6K83.6K208.1K85.7K91.0K
Net DEX-2.3M-3.0M-1.4M-1.9M-1.7M
Net VEX-8.7K-9.7K-7.6K-8.6K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.005.000.000.21
Total Volume29.273019100
Total OI1,519.8181,2651,7481,5431,349

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$37.21$35.0027.6%7.9%29.1%23.9%0.0%-1.3%-5.1%85.7K-1.9M-8.6K0.00102.70N/AN/A001,229314
2013-05-02$38.01$35.0022.5%6.4%29.8%15.4%0.0%5.5%-3.4%110.0K-2.2M-8.8K0.0096.28N/AN/A401,229314
2013-05-03$38.60$35.0026.5%7.6%29.0%22.0%26.9%4.0%-4.0%122.0K-2.5M-8.8K0.00108.11N/AN/A701,225314
2013-05-06$38.88$40.0032.8%6.8%29.0%32.4%25.1%7.9%-0.8%111.8K-2.6M-8.8K0.1933.13N/AN/A1631,226314
2013-05-07$38.50$40.0016.7%5.7%29.2%5.9%32.6%7.6%0.7%132.8K-2.5M-7.7K0.6735.57N/AN/A321,233317
2013-05-08$39.03$40.0020.3%6.0%28.6%11.8%20.8%6.7%0.5%142.6K-2.8M-7.6K0.0033.78N/AN/A6001,231315
2013-05-09$38.76$40.0017.4%5.9%26.5%7.0%0.0%5.4%1.0%156.5K-2.7M-7.8K0.0036.03N/AN/A001,291315
2013-05-10$38.45$40.0019.9%6.0%26.5%11.1%0.0%5.0%0.1%136.9K-2.5M-7.9K0.0035.86N/AN/A19101,291315
2013-05-13$38.65$40.0024.0%6.2%23.9%18.0%0.0%5.3%-1.3%162.1K-2.8M-9.3K0.0091.60N/AN/A001,433315
2013-05-14$39.10$40.0022.1%5.9%21.4%17.4%0.0%5.7%0.2%192.1K-2.9M-9.7K0.0088.61N/AN/A081,433315
2013-05-15$39.23$40.0017.7%6.0%19.9%8.8%0.0%5.4%-0.8%208.1K-2.9M-9.6K5.0090.68N/AN/A2101,433315
2013-05-16$38.66$40.0019.9%5.7%20.7%12.9%19.7%3.8%-0.5%161.8K-2.7M-9.5K0.1091.92N/AN/A1011,429310
2013-05-17$38.85$40.0019.4%5.6%20.2%12.0%0.0%4.7%-0.5%174.1K-3.0M-8.3K0.0094.77N/AN/A011,436309
2013-05-20$38.71$40.0018.6%5.3%19.8%10.6%0.0%4.0%-0.4%104.8K-2.5M-9.0K2.6496.61N/AN/A11291,176266
2013-05-21$39.08$40.0018.1%5.2%18.2%9.5%0.0%5.6%0.9%106.7K-2.6M-9.4K1.4393.63N/AN/A35501,187287
2013-05-22$38.15$40.0016.1%4.6%20.2%5.6%18.2%2.3%1.4%83.6K-1.5M-8.4K0.0396.84N/AN/A291940325
2013-05-23$38.26$40.0014.1%4.0%19.9%1.8%18.7%14.8%10.0%87.0K-1.5M-8.3K0.76101.10N/AN/A3325953326
2013-05-24$37.86$40.0017.7%5.1%20.2%8.7%0.0%6.1%1.7%83.6K-1.4M-8.8K0.0094.07N/AN/A025986351
2013-05-28$38.45$40.0018.4%5.3%20.3%10.0%0.0%9.7%1.1%92.4K-1.6M-9.0K0.0097.39N/AN/A50986376
2013-05-29$38.72$40.0019.1%5.5%20.4%11.4%0.0%8.1%2.0%97.1K-1.7M-9.0K0.5097.46N/AN/A21988376
2013-05-30$39.26$40.0017.7%5.1%18.9%8.8%0.0%35.3%2.1%98.0K-1.9M-9.1K0.2132.58N/AN/A6614986377
2013-05-31$38.68$40.0018.1%5.2%18.5%9.5%0.0%10.6%0.2%91.0K-1.7M-9.0K0.00102.52N/AN/A00967382