PL Options History — October 2013

In October 2013, PL traded between $42.42 and $46.63. ATM implied volatility averaged 23.9%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.6% (HV 20d: 22.4%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 8.28.

Notable Days

  • 2013-10-23: Highest Volume — 204 contracts
  • 2013-10-08: Largest IV spike — 51.6% change
  • 2013-10-08: Highest IV Rank — 35.0%
  • 2013-10-28: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.94$42.42$46.63$43.15$46.08
Max Pain$43.70$35.00$45.00$35.00$45.00
ATM IV23.9%16.7%30.8%16.7%20.1%
Expected Move6.9%4.8%8.5%4.8%5.8%
HV 20d22.4%20.2%26.6%21.3%21.2%
HV 60d21.2%20.1%22.3%20.4%20.3%
IV Rank21.4%7.0%35.0%7.0%13.7%
IV Percentile56.8%9.5%82.5%9.5%34.9%
Term Structure-1.3%-5.7%6.2%6.2%-5.7%
VWIV24.4%18.9%28.4%18.9%26.0%
Skew 25d11.0%-8.3%54.3%-1.7%-8.3%
Skew 10d16.9%0.0%81.8%0.0%5.1%
Call IV 25d21.4%16.1%34.7%17.4%32.7%
Put IV 25d32.3%15.7%85.1%15.7%24.5%
Bid-Ask Spread %82.8231.78122.0032.89122.00
Gamma HHI0.510.300.700.460.35
Net GEX75.3K26.2K135.2K129.6K26.2K
Net DEX-2.3M-3.5M-899.7K-2.9M-1.3M
Net VEX-7.7K-11.2K-5.4K-6.3K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.280.00100.000.444.17
Total Volume39.1302042662
Total OI1,392.6091,1371,4911,4181,456

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$43.15$35.0016.7%4.8%21.3%7.0%18.9%-1.7%6.2%129.6K-2.9M-6.3K0.4432.89N/AN/A1881,128290
2013-10-02$43.49$35.0021.2%6.1%21.0%16.0%0.0%49.3%2.0%71.8K-3.3M-5.4K0.0077.86N/AN/A2501,143284
2013-10-03$43.44$35.0018.0%5.1%20.9%9.5%0.0%54.3%3.0%74.9K-3.4M-5.9K0.4331.78N/AN/A731,168284
2013-10-04$43.79$45.0018.2%6.5%20.9%10.0%0.0%7.9%-1.4%95.3K-3.5M-6.0K0.0087.97N/AN/A0241,173287
2013-10-07$43.12$45.0020.3%7.1%21.1%14.2%0.0%7.7%-2.5%96.1K-3.2M-6.2K0.0052.58N/AN/A001,173311
2013-10-08$42.52$45.0030.8%5.5%20.6%35.0%0.0%10.3%0.2%129.7K-2.7M-6.7K0.0073.88N/AN/A101,173311
2013-10-09$42.42$45.0021.3%8.5%20.2%16.3%0.0%5.8%-4.0%135.2K-2.5M-6.8K0.0053.27N/AN/A001,172311
2013-10-10$44.15$45.0023.3%6.7%25.0%20.2%22.9%10.7%-0.3%77.2K-3.5M-6.2K0.0038.43N/AN/A201,172311
2013-10-11$44.76$45.0024.0%6.9%25.5%21.5%24.0%12.0%-2.3%91.5K-2.7M-5.8K0.0855.17N/AN/A635938311
2013-10-14$44.90$45.0025.6%7.3%25.4%24.7%0.0%12.1%-1.5%87.2K-2.6M-6.4K100.0096.34N/AN/A2200944316
2013-10-15$44.46$45.0024.8%7.1%25.6%23.1%0.0%14.4%-2.9%89.4K-2.5M-7.6K0.0077.05N/AN/A030945516
2013-10-16$45.42$45.0024.6%7.1%26.6%22.8%0.0%4.4%-1.5%89.9K-2.7M-7.8K0.0098.98N/AN/A140945546
2013-10-17$45.89$45.0025.6%7.3%22.2%24.7%0.0%6.8%-2.5%80.1K-2.8M-7.6K0.0091.65N/AN/A00941546
2013-10-18$46.63$45.0025.2%7.2%22.2%24.0%0.0%10.1%-1.7%72.6K-3.1M-6.4K0.77100.15N/AN/A6147941546
2013-10-21$46.46$45.0025.0%7.2%22.1%23.6%0.0%9.4%-0.8%67.1K-1.6M-7.7K9.00102.00N/AN/A436689448
2013-10-22$46.41$45.0025.1%7.2%22.2%23.6%0.0%6.1%-0.8%66.2K-1.6M-7.5K0.00102.16N/AN/A00689484
2013-10-23$45.77$45.0027.0%7.7%22.4%27.5%0.0%7.6%-3.3%60.0K-1.3M-8.4K0.0097.63N/AN/A0204689484
2013-10-24$45.79$45.0028.4%8.1%22.4%30.3%28.4%6.5%-4.6%37.2K-899.7K-10.8K0.00111.79N/AN/A50689688
2013-10-25$46.11$45.0026.4%7.6%22.2%26.2%26.4%7.3%-2.3%38.0K-980.9K-11.0K1.0091.92N/AN/A1010694688
2013-10-28$46.12$45.0029.7%8.5%21.3%32.8%0.0%8.3%-5.3%39.1K-1.0M-10.6K0.0093.56N/AN/A50704698
2013-10-29$46.44$45.0023.0%6.6%21.0%19.6%0.0%5.4%3.4%45.1K-1.2M-9.6K0.00104.11N/AN/A00704698
2013-10-30$46.20$45.0025.9%7.4%21.1%25.3%26.0%6.5%-1.0%31.9K-1.0M-11.2K0.00111.69N/AN/A054704698
2013-10-31$46.08$45.0020.1%5.8%21.2%13.7%0.0%-8.3%-5.7%26.2K-1.3M-10.1K4.17122.00N/AN/A1250704752