PL Options History — August 2013

In August 2013, PL traded between $41.79 and $45.05. ATM implied volatility averaged 20.7%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.3% (HV 20d: 20.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-08-21: Highest Volume — 162 contracts
  • 2013-08-26: Largest IV spike — 53.1% change
  • 2013-08-13: Highest IV Rank — 43.6%
  • 2013-08-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.12$41.79$45.05$45.05$41.79
Max Pain$44.55$40.00$45.00$40.00$45.00
ATM IV20.7%13.6%35.1%24.8%19.2%
Expected Move5.1%3.8%7.1%7.1%5.5%
HV 20d20.4%18.2%23.0%19.6%19.6%
HV 60d22.4%22.1%22.7%22.2%22.5%
IV Rank15.0%0.9%43.6%23.2%12.0%
IV Percentile29.5%0.8%81.3%50.4%24.2%
Term Structure3.3%-13.9%10.8%-4.9%10.8%
VWIV21.2%17.2%24.8%24.8%17.2%
Skew 25d5.0%-2.1%10.9%2.1%8.4%
Skew 10d8.3%-1.5%33.4%3.5%11.1%
Call IV 25d16.0%11.4%23.9%21.9%14.0%
Put IV 25d20.9%15.0%24.8%24.0%22.4%
Bid-Ask Spread %82.8850.92122.0961.1750.92
Gamma HHI0.500.460.580.500.52
Net GEX104.0K77.1K133.4K77.1K117.0K
Net DEX-2.6M-3.4M-2.1M-3.4M-2.2M
Net VEX-7.2K-8.2K-5.6K-5.6K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.330.930.00
Total Volume19.2270162560
Total OI1,260.8641,1351,3321,1891,332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$45.05$40.0024.8%7.1%19.6%23.2%24.8%2.1%-4.9%77.1K-3.4M-5.6K0.9361.17N/AN/A2927952237
2013-08-02$44.51$40.0021.2%6.1%18.9%15.9%21.7%0.4%-2.4%90.3K-3.3M-6.2K1.17102.54N/AN/A1821974264
2013-08-05$44.51$45.0020.8%5.6%19.0%15.2%0.0%-0.9%0.1%94.4K-3.3M-6.1K0.5599.00N/AN/A2011992278
2013-08-06$43.58$45.0020.6%4.8%21.2%14.7%0.0%7.6%1.0%94.0K-2.8M-8.0K0.0098.39N/AN/A2701,012289
2013-08-07$43.33$45.0019.9%5.0%21.4%13.4%0.0%4.3%0.3%103.2K-2.8M-7.6K0.0064.58N/AN/A001,026289
2013-08-08$43.46$45.0020.8%4.4%20.6%15.2%0.0%6.0%2.2%102.9K-2.7M-7.7K0.0096.19N/AN/A001,026289
2013-08-09$43.15$45.0019.4%4.3%20.7%12.5%17.2%7.3%2.3%101.1K-2.8M-7.2K0.0054.59N/AN/A101,026289
2013-08-12$42.87$45.0026.6%4.8%20.9%26.7%0.0%3.8%0.9%97.8K-2.2M-7.2K0.0097.26N/AN/A00931289
2013-08-13$43.06$45.0035.1%3.8%20.9%43.6%0.0%10.5%8.3%99.7K-2.2M-7.1K0.0085.53N/AN/A00931289
2013-08-14$42.83$45.0031.2%4.6%21.0%35.9%0.0%4.9%1.7%93.5K-2.3M-7.0K0.0098.04N/AN/A010931289
2013-08-15$42.26$45.0020.9%6.0%19.0%15.4%0.0%9.2%5.8%92.9K-2.1M-7.1K0.0056.91N/AN/A00922281
2013-08-16$42.70$45.0017.1%4.9%19.4%7.8%0.0%3.0%3.1%102.7K-2.2M-6.8K0.00106.38N/AN/A00922281
2013-08-19$42.11$45.0022.9%6.5%19.1%19.2%0.0%-2.1%-13.9%97.5K-2.2M-6.6K0.0075.61N/AN/A035889246
2013-08-20$42.67$45.0020.2%5.8%19.9%14.0%0.0%10.9%8.1%121.3K-2.2M-6.5K0.00110.94N/AN/A00889281
2013-08-21$42.51$45.0013.7%3.9%19.9%1.0%0.0%10.1%8.6%96.1K-2.1M-7.0K0.0058.62N/AN/A1620889281
2013-08-22$43.41$45.0015.7%4.5%21.3%5.1%0.0%4.8%7.7%133.4K-2.9M-7.1K3.33110.24N/AN/A3101,022281
2013-08-23$43.60$45.0013.6%3.9%21.4%0.9%0.0%5.1%7.9%113.9K-2.9M-7.5K0.4152.03N/AN/A1771,025291
2013-08-26$43.55$45.0020.9%6.0%21.4%15.3%0.0%10.5%7.3%107.1K-2.9M-7.8K0.00122.09N/AN/A301,042284
2013-08-27$42.51$45.0018.4%5.3%23.0%10.4%0.0%-0.7%1.9%113.2K-2.6M-8.2K0.0097.32N/AN/A0101,039284
2013-08-28$42.35$45.0016.5%4.7%23.0%6.7%0.0%1.1%5.7%114.2K-2.4M-8.2K0.0060.01N/AN/A1201,039284
2013-08-29$42.84$45.0015.9%4.5%18.2%5.4%0.0%3.2%10.0%124.9K-2.6M-8.2K0.0064.91N/AN/A001,048284
2013-08-30$41.79$45.0019.2%5.5%19.6%12.0%0.0%8.4%10.8%117.0K-2.2M-8.2K0.0050.92N/AN/A001,048284