PL Options History — July 2013

In July 2013, PL traded between $38.78 and $43.73. ATM implied volatility averaged 19.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.3% (HV 20d: 22.5%). 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 12 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-07-25: Highest Volume — 193 contracts
  • 2013-07-11: Largest IV spike — 75.7% change
  • 2013-07-15: Highest IV Rank — 26.0%
  • 2013-07-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.88$38.78$43.73$39.26$43.33
Max Pain$39.32$35.00$40.00$35.00$40.00
ATM IV19.3%13.7%26.2%20.1%15.8%
Expected Move6.0%4.3%7.8%5.8%4.5%
HV 20d22.5%15.8%27.2%27.2%15.8%
HV 60d22.8%21.0%25.3%25.0%21.0%
IV Rank12.1%1.1%26.0%13.7%5.1%
IV Percentile19.0%0.8%50.8%21.4%2.8%
Term Structure1.9%-4.3%11.3%2.0%5.2%
VWIV29.7%24.1%47.7%27.2%47.7%
Skew 25d13.1%0.9%85.0%85.0%0.9%
Skew 10d16.1%-1.9%114.4%114.4%2.3%
Call IV 25d18.0%11.6%35.9%21.3%17.9%
Put IV 25d31.1%18.7%106.3%106.3%18.7%
Bid-Ask Spread %85.1244.51126.2790.98108.91
Gamma HHI0.740.530.920.910.53
Net GEX92.8K79.5K115.2K91.8K88.6K
Net DEX-2.7M-3.6M-1.7M-1.9M-2.8M
Net VEX-7.0K-7.7K-4.9K-7.2K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0013.000.000.00
Total Volume31.4550193107
Total OI1,461.9091,1371,7591,5251,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$39.26$35.0020.1%5.8%27.2%13.7%0.0%85.0%2.0%91.8K-1.9M-7.2K0.0090.98N/AN/A010931594
2013-07-02$38.78$35.0018.1%5.2%27.1%9.8%0.0%1.6%3.2%81.6K-1.8M-7.2K0.0078.94N/AN/A00931597
2013-07-03$38.81$35.0016.8%4.8%26.4%7.3%0.0%3.5%4.3%88.4K-1.7M-7.1K0.0089.49N/AN/A10931597
2013-07-05$39.97$40.0018.3%7.8%27.1%10.2%27.2%10.9%-3.6%100.9K-2.1M-7.0K4.0050.55N/AN/A520932597
2013-07-08$40.05$40.0017.0%7.4%26.4%7.7%27.0%10.4%-4.3%99.5K-2.2M-7.0K0.4548.01N/AN/A2210937617
2013-07-09$40.34$40.0017.8%7.4%26.4%9.2%0.0%10.8%-2.2%103.1K-2.3M-7.1K0.3347.15N/AN/A5418941627
2013-07-10$40.63$40.0013.7%7.2%24.5%1.1%0.0%4.5%-2.1%115.2K-2.4M-7.5K0.0045.66N/AN/A70994645
2013-07-11$41.39$40.0024.1%6.9%24.8%21.8%24.1%6.9%-1.1%95.8K-2.7M-6.7K0.0045.27N/AN/A220989645
2013-07-12$41.75$40.0024.8%7.1%24.4%23.1%0.0%8.7%-1.7%84.8K-2.8M-7.0K0.1646.85N/AN/A63101,001645
2013-07-15$42.01$40.0026.2%7.5%23.2%26.0%26.2%11.0%-3.4%91.5K-3.1M-7.4K0.0044.51N/AN/A5801,062652
2013-07-16$42.09$40.0025.9%7.4%23.0%25.3%26.0%8.9%-2.9%93.9K-3.2M-7.7K13.0099.14N/AN/A1131,083652
2013-07-17$42.14$40.0022.0%6.3%22.7%17.5%0.0%10.8%4.3%92.3K-3.2M-7.4K0.00101.18N/AN/A001,082662
2013-07-18$43.33$40.0017.3%5.0%23.7%8.2%0.0%16.3%11.3%100.7K-3.6M-6.1K0.00106.39N/AN/A2001,078662
2013-07-19$43.12$40.0016.0%4.6%23.1%5.6%0.0%8.8%5.1%91.8K-3.5M-6.8K0.00103.59N/AN/A4501,097662
2013-07-22$43.73$40.0016.4%4.7%23.2%6.5%0.0%15.8%7.5%112.7K-3.0M-4.9K0.00107.32N/AN/A00871266
2013-07-23$43.72$40.0025.8%7.4%17.8%25.1%0.0%44.6%1.3%80.2K-2.8M-6.0K0.00126.27N/AN/A1110871266
2013-07-24$43.59$40.0018.6%5.3%18.1%10.8%0.0%5.8%-0.3%81.3K-2.7M-6.6K0.0097.21N/AN/A00877266
2013-07-25$43.42$40.0017.0%4.9%18.5%7.5%0.0%6.4%6.7%79.5K-2.7M-6.7K0.29117.20N/AN/A15043877266
2013-07-26$43.42$40.0016.4%4.7%18.0%6.4%0.0%4.2%6.3%91.4K-2.8M-7.5K0.00109.07N/AN/A10953237
2013-07-29$43.34$40.0020.4%5.9%17.7%14.5%0.0%8.0%-0.2%90.5K-2.8M-7.3K0.00100.87N/AN/A00953237
2013-07-30$43.17$40.0015.1%4.3%17.0%3.9%47.7%4.4%5.8%85.6K-2.7M-7.7K0.00107.96N/AN/A10953237
2013-07-31$43.33$40.0015.8%4.5%15.8%5.1%0.0%0.9%5.2%88.6K-2.8M-7.2K0.00108.91N/AN/A70952237