PL Options History — December 2013

In December 2013, PL traded between $47.30 and $51.09. ATM implied volatility averaged 22.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.4% (HV 20d: 17.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-12-26: Highest Volume — 92 contracts
  • 2013-12-11: Largest IV spike — 161.7% change
  • 2013-12-11: Highest IV Rank — 100.0%
  • 2013-12-20: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.38$47.30$51.09$48.40$50.66
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.4%13.4%62.5%14.2%19.1%
Expected Move5.6%3.8%8.3%4.1%5.5%
HV 20d17.1%14.2%21.5%21.5%16.2%
HV 60d20.2%19.4%21.3%20.9%19.5%
IV Rank24.7%5.5%100.0%8.7%16.6%
IV Percentile43.7%2.0%100.0%3.6%35.7%
Term Structure3.7%-7.2%30.4%8.8%3.5%
VWIV35.8%22.4%58.6%26.4%58.6%
Skew 25d3.6%-21.3%46.5%5.2%1.5%
Skew 10d8.7%-16.9%72.8%0.2%5.6%
Call IV 25d23.3%10.8%53.1%10.8%24.4%
Put IV 25d26.8%16.0%66.2%16.0%25.9%
Bid-Ask Spread %104.1258.82121.3258.82112.63
Gamma HHI0.710.550.890.850.60
Net GEX50.2K34.8K67.9K45.2K62.2K
Net DEX-2.5M-3.3M-1.5M-2.0M-3.2M
Net VEX-7.8K-9.4K-6.0K-9.1K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.004.410.001.00
Total Volume18.667092050
Total OI1,672.811,6021,8261,6031,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$48.40$45.0014.2%4.1%21.5%8.7%0.0%5.2%8.8%45.2K-2.0M-9.1K0.0058.82N/AN/A00781822
2013-12-03$48.08$45.0018.4%5.3%21.4%18.8%0.0%10.2%5.8%41.8K-1.8M-9.1K0.00117.33N/AN/A60781822
2013-12-04$48.00$45.0017.5%5.0%20.6%16.6%0.0%7.3%4.4%43.2K-1.8M-9.4K0.00113.26N/AN/A00780822
2013-12-05$47.30$45.0028.3%8.1%21.2%42.3%0.0%9.4%-7.2%38.2K-1.5M-9.4K0.00113.62N/AN/A40780822
2013-12-06$48.31$45.0031.6%4.8%19.9%50.2%0.0%3.7%2.0%47.9K-2.0M-8.2K0.0099.91N/AN/A20784822
2013-12-09$49.05$45.0018.5%5.6%16.7%19.0%0.0%4.6%1.6%51.2K-2.3M-7.6K2.2291.00N/AN/A1840786822
2013-12-10$48.91$45.0023.9%5.3%16.8%31.7%0.0%4.7%1.5%48.5K-2.3M-7.7K0.0096.31N/AN/A00804852
2013-12-11$48.72$45.0062.5%6.2%16.2%100.0%0.0%-2.9%1.2%36.5K-2.1M-8.8K0.00107.07N/AN/A00804852
2013-12-12$48.57$45.0018.2%5.2%14.7%14.8%0.0%5.2%2.4%48.5K-2.1M-8.4K0.0094.09N/AN/A00804852
2013-12-13$48.71$45.0018.2%5.2%14.2%14.8%0.0%5.7%1.7%45.9K-2.4M-7.5K0.0094.77N/AN/A00804852
2013-12-16$48.56$45.0018.9%5.4%14.3%16.0%0.0%5.6%2.2%45.3K-2.3M-7.7K0.0094.53N/AN/A00804852
2013-12-17$48.48$45.0019.1%5.5%14.3%16.6%0.0%7.4%0.7%50.6K-2.2M-7.7K0.0099.08N/AN/A00804852
2013-12-18$49.98$45.0019.0%5.4%16.9%16.3%0.0%46.5%3.8%34.8K-2.8M-6.2K0.0099.73N/AN/A540804852
2013-12-19$50.21$45.0020.4%5.9%16.6%19.1%0.0%4.9%-0.3%54.4K-3.1M-6.5K0.00101.10N/AN/A00858852
2013-12-20$50.53$45.0029.1%8.3%16.2%35.8%0.0%6.0%30.4%61.8K-2.8M-8.0K0.00108.17N/AN/A380858852
2013-12-23$50.81$45.0022.4%6.4%16.0%22.8%0.0%-3.2%2.9%67.9K-3.0M-7.0K0.00121.32N/AN/A00867811
2013-12-24$51.05$45.0013.4%3.8%16.0%5.5%26.4%-14.1%6.8%64.5K-3.3M-6.0K0.00116.41N/AN/A320867811
2013-12-26$51.09$45.0021.8%6.3%15.9%21.7%0.0%-5.9%0.1%58.8K-3.2M-7.7K4.41119.73N/AN/A1775889811
2013-12-27$50.81$45.0018.4%5.3%16.2%15.1%22.4%-5.7%2.5%51.7K-3.2M-7.4K0.00108.43N/AN/A500901886
2013-12-30$50.66$45.0018.5%5.3%16.3%15.3%58.6%-21.3%2.6%54.9K-3.3M-7.5K0.20119.19N/AN/A51938886
2013-12-31$50.66$45.0019.1%5.5%16.2%16.6%0.0%1.5%3.5%62.2K-3.2M-7.8K1.00112.63N/AN/A2525939887