PL Options History — November 2013

In November 2013, PL traded between $45.04 and $48.07. ATM implied volatility averaged 19.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.0% (HV 20d: 21.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2013-11-01: Highest Volume — 96 contracts
  • 2013-11-22: Largest IV spike — 58.7% change
  • 2013-11-13: Highest IV Rank — 38.2%
  • 2013-11-19: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.07$45.04$48.07$45.81$47.98
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV19.3%10.5%28.2%21.7%18.6%
Expected Move5.4%3.0%6.7%6.2%5.3%
HV 20d21.3%18.5%21.9%21.3%21.6%
HV 60d21.5%20.4%22.4%20.4%20.9%
IV Rank15.6%0.0%38.2%17.2%19.3%
IV Percentile34.6%0.0%82.9%50.4%27.8%
Term Structure1.8%-5.0%11.2%-0.3%-3.8%
VWIV18.6%15.2%22.5%22.5%15.2%
Skew 25d4.8%-2.7%12.6%4.0%-0.3%
Skew 10d8.6%-15.8%74.8%9.2%1.5%
Call IV 25d16.6%11.1%21.1%21.1%20.7%
Put IV 25d21.5%13.4%25.1%25.1%20.4%
Bid-Ask Spread %104.9650.55120.93112.3150.55
Gamma HHI0.610.310.770.330.72
Net GEX33.5K23.1K43.2K23.1K43.2K
Net DEX-1.4M-1.8M-624.0K-848.4K-1.7M
Net VEX-10.2K-10.9K-9.2K-10.7K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.000.810.000.00
Total Volume20.850969616
Total OI1,578.31,5141,6171,5141,587

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$45.81$45.0021.7%6.2%21.3%17.2%0.0%4.0%-0.3%23.1K-848.4K-10.7K0.00112.31N/AN/A960712802
2013-11-04$46.41$45.0019.6%6.3%20.5%13.0%0.0%12.6%0.4%28.1K-1.1M-10.0K0.0099.30N/AN/A00727802
2013-11-05$45.76$45.0024.8%4.8%20.6%23.5%0.0%11.6%9.5%26.3K-919.7K-10.0K0.00120.93N/AN/A00727802
2013-11-06$46.21$45.0023.1%6.3%20.5%20.1%0.0%11.1%-0.5%25.0K-1.0M-10.6K0.81104.36N/AN/A2621727802
2013-11-07$45.04$45.0022.0%6.3%18.5%17.9%0.0%1.0%-1.0%27.1K-624.0K-10.8K0.00105.22N/AN/A00753812
2013-11-08$46.64$45.0022.4%6.5%21.7%18.5%0.0%3.5%0.3%29.4K-1.2M-10.9K0.00101.11N/AN/A710753812
2013-11-11$46.74$45.0022.6%6.4%21.7%19.0%22.5%3.5%0.4%40.0K-1.5M-10.3K0.00112.56N/AN/A400805812
2013-11-12$46.20$45.0018.9%6.4%21.8%11.5%0.0%3.2%0.3%25.2K-1.2M-10.7K0.00110.45N/AN/A010778812
2013-11-13$47.19$45.0028.2%6.3%21.8%38.2%0.0%5.0%0.8%35.8K-1.6M-9.8K0.00110.42N/AN/A110778822
2013-11-14$47.74$45.0018.0%5.2%21.9%12.3%18.2%4.4%3.6%28.1K-1.7M-9.4K0.2896.87N/AN/A3911749822
2013-11-15$47.84$45.0017.7%5.1%21.3%11.4%0.0%4.2%-0.2%37.9K-1.7M-10.4K0.00100.64N/AN/A30784823
2013-11-18$47.90$45.0018.5%5.3%21.2%13.6%0.0%4.6%-5.0%39.7K-1.8M-9.7K0.0098.33N/AN/A030780792
2013-11-19$47.29$45.0023.4%6.7%21.8%26.0%0.0%4.0%-0.0%37.0K-1.5M-10.3K0.0099.16N/AN/A00780822
2013-11-20$46.98$45.0020.7%5.9%21.3%19.0%0.0%11.3%4.1%37.2K-1.5M-10.5K0.00114.72N/AN/A00780822
2013-11-21$47.62$45.0010.6%3.0%21.7%0.0%0.0%10.1%6.6%35.1K-1.6M-10.3K0.00112.35N/AN/A40780822
2013-11-22$48.07$45.0016.8%4.8%21.8%14.8%0.0%1.0%0.5%41.4K-1.7M-10.5K0.00107.87N/AN/A100782822
2013-11-25$48.03$45.0015.2%4.4%21.8%10.9%15.2%-2.7%0.3%37.2K-1.8M-9.9K0.45109.70N/AN/A209785822
2013-11-26$47.94$45.0010.5%3.0%21.8%0.0%0.0%1.6%11.2%35.8K-1.8M-9.2K0.00116.48N/AN/A00765822
2013-11-27$47.98$45.0013.1%3.8%21.6%6.1%0.0%2.9%8.7%37.1K-1.7M-9.5K0.00115.87N/AN/A00765822
2013-11-29$47.98$45.0018.6%5.3%21.6%19.3%0.0%-0.3%-3.8%43.2K-1.7M-9.6K0.0050.55N/AN/A160765822