PL Options History — June 2013

In June 2013, PL traded between $37.06 and $39.33. ATM implied volatility averaged 19.8%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.1% (HV 20d: 22.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.42.

Notable Days

2013-06-05: Highest Volume — 114 contracts
2013-06-05: Largest IV spike — 96.8% change
2013-06-05: Highest IV Rank — 36.4%
2013-06-05: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.35	$37.06	$39.33	$38.60	$38.41
Max Pain	$36.00	$35.00	$40.00	$40.00	$35.00
ATM IV	19.8%	13.2%	32.0%	14.7%	16.9%
Expected Move	5.9%	4.2%	9.2%	4.2%	4.8%
HV 20d	22.9%	17.7%	26.5%	17.7%	26.0%
HV 60d	23.7%	22.0%	25.0%	22.0%	25.0%
IV Rank	13.0%	0.1%	36.4%	3.0%	7.5%
IV Percentile	18.7%	0.4%	65.9%	0.8%	5.6%
Term Structure	2.7%	-9.3%	11.9%	7.8%	5.0%
VWIV	30.9%	13.7%	47.3%	46.1%	13.7%
Skew 25d	8.2%	-6.2%	46.2%	21.8%	0.4%
Skew 10d	11.8%	-5.8%	63.9%	18.9%	0.9%
Call IV 25d	20.3%	12.1%	24.3%	12.8%	19.7%
Put IV 25d	28.4%	16.1%	67.9%	34.7%	20.2%
Bid-Ask Spread %	78.66	52.92	112.87	109.39	77.10
Gamma HHI	0.77	0.68	0.87	0.69	0.84
Net GEX	74.2K	46.9K	95.8K	93.7K	74.7K
Net DEX	-1.5M	-1.8M	-984.9K	-1.7M	-1.6M
Net VEX	-8.1K	-9.5K	-7.0K	-8.2K	-7.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	1.50	1.00	0.17
Total Volume	16.3	0	114	0	0
Total OI	1,525.9	1,349	1,575	1,349	1,525

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-06-03	$38.60	$40.00	14.7%	4.2%	17.7%	3.0%	0.0%	21.8%	7.8%	93.7K	-1.7M	-8.2K	0.00	109.39	N/A	N/A	0	0	967	382
2013-06-04	$38.09	$40.00	16.3%	4.7%	18.1%	6.0%	0.0%	11.0%	5.9%	83.5K	-1.5M	-8.5K	0.00	112.87	N/A	N/A	0	100	967	382
2013-06-05	$37.49	$40.00	32.0%	9.2%	18.6%	36.4%	0.0%	17.7%	-9.3%	70.7K	-1.3M	-8.6K	0.00	55.93	N/A	N/A	0	114	967	482
2013-06-06	$38.40	$40.00	26.5%	7.6%	20.0%	25.7%	0.0%	29.3%	0.6%	65.0K	-1.2M	-9.5K	0.00	91.67	N/A	N/A	0	0	967	596
2013-06-07	$39.09	$35.00	13.2%	5.7%	20.9%	0.1%	46.1%	8.1%	4.5%	79.6K	-1.5M	-9.5K	0.00	56.73	N/A	N/A	0	4	967	596
2013-06-10	$39.33	$35.00	17.5%	6.1%	20.8%	8.4%	0.0%	5.5%	3.8%	86.6K	-1.6M	-9.3K	0.00	72.06	N/A	N/A	0	1	967	600
2013-06-11	$38.34	$35.00	15.2%	5.4%	22.7%	3.8%	0.0%	3.7%	3.5%	68.8K	-1.6M	-8.3K	0.00	72.46	N/A	N/A	0	0	967	599
2013-06-12	$38.04	$35.00	18.1%	5.2%	22.4%	9.5%	47.3%	4.7%	3.1%	67.4K	-1.4M	-8.1K	0.00	58.91	N/A	N/A	0	4	967	599
2013-06-13	$38.70	$35.00	20.8%	6.0%	23.3%	14.7%	0.0%	46.2%	2.8%	80.5K	-1.7M	-7.4K	0.00	59.31	N/A	N/A	0	0	967	603
2013-06-14	$38.09	$35.00	18.7%	5.4%	23.4%	10.7%	47.3%	2.5%	2.5%	64.7K	-1.4M	-8.3K	0.00	60.53	N/A	N/A	0	4	967	603
2013-06-17	$38.60	$35.00	23.0%	6.6%	23.9%	18.9%	23.6%	-2.6%	1.0%	77.3K	-1.5M	-8.5K	1.00	71.39	N/A	N/A	6	6	967	607
2013-06-18	$39.17	$35.00	21.3%	6.1%	24.4%	16.3%	21.5%	5.5%	1.7%	95.8K	-1.8M	-7.2K	0.00	87.64	N/A	N/A	3	0	961	613
2013-06-19	$38.80	$35.00	21.4%	6.1%	24.4%	16.4%	23.9%	0.9%	1.8%	89.6K	-1.7M	-7.7K	0.10	97.82	N/A	N/A	20	2	961	613
2013-06-20	$38.31	$35.00	20.5%	5.9%	23.3%	14.6%	24.2%	3.8%	1.1%	73.3K	-1.4M	-8.1K	0.00	94.14	N/A	N/A	27	0	957	601
2013-06-21	$38.34	$35.00	19.3%	5.5%	23.3%	12.2%	0.0%	4.1%	0.9%	75.8K	-1.5M	-7.4K	0.00	92.75	N/A	N/A	10	0	974	601
2013-06-24	$37.06	$35.00	23.7%	6.8%	26.0%	20.9%	0.0%	5.8%	11.9%	46.9K	-984.9K	-7.6K	1.50	93.99	N/A	N/A	2	3	913	588
2013-06-25	$37.61	$35.00	20.9%	6.0%	25.9%	15.5%	0.0%	1.1%	0.0%	52.4K	-1.1M	-7.6K	0.00	76.28	N/A	N/A	4	0	914	591
2013-06-26	$37.89	$35.00	19.9%	5.7%	26.0%	13.3%	0.0%	-6.2%	1.4%	59.6K	-1.3M	-7.2K	1.00	79.39	N/A	N/A	1	1	918	591
2013-06-27	$38.64	$35.00	16.2%	4.6%	26.5%	6.0%	13.7%	-0.4%	5.0%	78.7K	-1.6M	-7.0K	0.17	52.92	N/A	N/A	12	2	919	592
2013-06-28	$38.41	$35.00	16.9%	4.8%	26.0%	7.5%	0.0%	0.4%	5.0%	74.7K	-1.6M	-7.1K	0.00	77.10	N/A	N/A	0	0	931	594