PL Options History — September 2013

In September 2013, PL traded between $41.83 and $44.55. ATM implied volatility averaged 19.5%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.5% (HV 20d: 21.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.22.

Notable Days

2013-09-12: Highest Volume — 44 contracts
2013-09-09: Largest IV spike — 35.0% change
2013-09-09: Highest IV Rank — 29.4%
2013-09-10: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.21	$41.83	$44.55	$41.83	$42.55
Max Pain	$36.50	$35.00	$45.00	$45.00	$35.00
ATM IV	19.5%	16.3%	27.9%	20.4%	18.7%
Expected Move	5.5%	4.7%	6.5%	5.9%	5.4%
HV 20d	21.0%	19.2%	24.0%	19.7%	20.8%
HV 60d	21.2%	19.7%	22.4%	22.3%	20.3%
IV Rank	12.7%	6.2%	29.4%	14.4%	11.0%
IV Percentile	27.7%	6.7%	68.7%	31.7%	24.2%
Term Structure	2.5%	-3.5%	7.3%	-3.5%	4.8%
VWIV	22.5%	17.9%	32.9%	22.6%	32.9%
Skew 25d	4.5%	-7.8%	51.8%	-7.8%	-3.6%
Skew 10d	12.1%	-5.7%	74.2%	-1.0%	1.1%
Call IV 25d	19.3%	15.1%	24.0%	22.7%	19.3%
Put IV 25d	23.8%	14.4%	70.6%	14.9%	15.7%
Bid-Ask Spread %	69.04	31.42	105.69	56.51	34.52
Gamma HHI	0.50	0.44	0.66	0.54	0.47
Net GEX	117.5K	61.6K	166.9K	124.4K	130.5K
Net DEX	-3.0M	-3.6M	-2.3M	-2.3M	-2.7M
Net VEX	-6.9K	-8.0K	-5.6K	-7.8K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	2.00	0.91	2.00
Total Volume	10.25	0	44	42	3
Total OI	1,392.4	1,332	1,424	1,332	1,415

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
2013-09-03	$41.83	$45.00	20.4%	5.9%	19.7%	14.4%	0.0%	-7.8%	-3.5%	124.4K	-2.3M	-7.8K	0.91	56.51	N/A	N/A	22	20	1,048	284
2013-09-04	$42.39	$45.00	18.8%	5.4%	19.3%	11.2%	0.0%	0.2%	2.1%	123.1K	-2.5M	-8.0K	0.00	33.73	N/A	N/A	8	0	1,070	284
2013-09-05	$42.71	$45.00	17.1%	4.9%	19.4%	7.9%	0.0%	0.1%	4.8%	122.0K	-2.6M	-8.0K	0.33	48.63	N/A	N/A	9	3	1,074	284
2013-09-06	$42.48	$35.00	20.7%	6.0%	19.5%	15.0%	22.6%	-0.4%	3.4%	166.9K	-2.7M	-7.3K	0.00	98.83	N/A	N/A	6	0	1,074	287
2013-09-09	$43.14	$35.00	27.9%	5.4%	20.2%	29.4%	20.3%	3.9%	0.3%	141.5K	-2.8M	-7.4K	0.00	102.90	N/A	N/A	6	0	1,080	287
2013-09-10	$43.90	$35.00	20.7%	6.5%	20.9%	14.9%	0.0%	-5.2%	-2.0%	127.5K	-2.9M	-7.9K	0.00	46.02	N/A	N/A	11	0	1,083	287
2013-09-11	$44.26	$35.00	19.2%	5.9%	21.0%	12.1%	0.0%	5.7%	0.9%	120.6K	-3.4M	-6.1K	0.00	76.32	N/A	N/A	0	1	1,088	287
2013-09-12	$43.93	$35.00	20.2%	5.8%	21.1%	13.9%	0.0%	8.3%	1.6%	110.6K	-3.3M	-6.8K	0.00	54.24	N/A	N/A	44	0	1,088	288
2013-09-13	$44.01	$35.00	20.2%	5.8%	20.4%	14.0%	0.0%	4.3%	2.3%	118.0K	-3.4M	-7.0K	0.00	95.60	N/A	N/A	0	0	1,131	288
2013-09-16	$44.35	$35.00	16.3%	4.7%	20.3%	6.2%	17.9%	-0.7%	3.4%	97.4K	-3.6M	-6.3K	0.00	82.51	N/A	N/A	11	0	1,131	288
2013-09-17	$44.55	$35.00	18.9%	5.4%	19.4%	11.4%	18.9%	51.5%	3.1%	77.2K	-3.6M	-5.8K	0.00	101.96	N/A	N/A	6	0	1,136	288
2013-09-18	$44.38	$35.00	16.5%	4.7%	19.2%	6.6%	0.0%	0.4%	4.2%	92.1K	-3.6M	-6.4K	0.00	84.11	N/A	N/A	0	0	1,130	288
2013-09-19	$42.69	$35.00	18.6%	5.3%	24.0%	10.7%	0.0%	-1.7%	2.6%	110.9K	-3.1M	-6.5K	0.00	87.36	N/A	N/A	0	0	1,130	288
2013-09-20	$42.40	$35.00	19.2%	5.5%	22.8%	12.1%	0.0%	2.2%	7.3%	129.8K	-2.9M	-6.8K	0.13	33.98	N/A	N/A	8	1	1,130	288
2013-09-23	$42.16	$35.00	18.8%	5.4%	22.8%	11.1%	0.0%	-6.8%	3.5%	129.5K	-2.4M	-7.5K	0.00	85.24	N/A	N/A	1	0	1,110	288
2013-09-24	$42.53	$35.00	21.6%	6.2%	23.1%	16.7%	32.9%	-7.0%	0.6%	124.1K	-2.6M	-7.4K	0.00	67.25	N/A	N/A	24	0	1,111	288
2013-09-25	$43.35	$35.00	18.6%	5.3%	22.4%	10.8%	0.0%	51.8%	4.2%	61.6K	-3.3M	-5.6K	0.00	53.96	N/A	N/A	19	0	1,111	288
2013-09-26	$43.37	$35.00	21.3%	6.1%	22.4%	16.1%	0.0%	-0.6%	-0.5%	129.3K	-3.3M	-6.1K	0.00	105.69	N/A	N/A	2	0	1,125	288
2013-09-27	$43.18	$35.00	17.3%	5.0%	22.1%	8.2%	0.0%	-5.0%	7.0%	112.5K	-3.2M	-6.4K	0.00	31.42	N/A	N/A	0	0	1,127	288
2013-09-30	$42.55	$35.00	18.7%	5.4%	20.8%	11.0%	0.0%	-3.6%	4.8%	130.5K	-2.7M	-6.7K	2.00	34.52	N/A	N/A	1	2	1,127	288