PL Options History — January 2014

In January 2014, PL traded between $48.58 and $53.07. ATM implied volatility averaged 27.2%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 10.6% (HV 20d: 16.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2014-01-09: Highest Volume — 187 contracts
  • 2014-01-03: Largest IV spike — 197.2% change
  • 2014-01-14: Highest IV Rank — 89.6%
  • 2014-01-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.07$48.58$53.07$50.30$49.01
Max Pain$49.52$45.00$50.00$45.00$50.00
ATM IV27.2%16.4%57.1%17.1%26.8%
Expected Move7.0%4.7%14.5%4.9%7.7%
HV 20d16.5%11.7%24.4%16.2%24.4%
HV 60d18.3%16.7%20.7%19.2%20.7%
IV Rank32.1%11.4%89.6%12.6%31.3%
IV Percentile66.6%10.3%99.6%15.1%84.9%
Term Structure-1.2%-18.7%14.6%3.9%-4.1%
VWIV23.7%18.8%29.2%22.1%29.2%
Skew 25d5.4%-3.3%27.9%-3.3%9.1%
Skew 10d11.9%-3.7%43.2%5.4%16.2%
Call IV 25d22.9%15.0%52.6%46.8%24.7%
Put IV 25d28.3%17.0%63.8%43.5%33.8%
Bid-Ask Spread %104.4192.81123.49104.23100.05
Gamma HHI0.440.310.680.590.32
Net GEX76.5K39.5K113.6K65.0K44.5K
Net DEX-2.7M-4.7M-263.6K-3.1M-398.3K
Net VEX-9.9K-11.2K-7.8K-7.8K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.000.000.00
Total Volume39.23801875030
Total OI1,869.4761,5102,2791,8761,523

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$50.30$45.0017.1%4.9%16.2%12.6%0.0%-3.3%3.9%65.0K-3.1M-7.8K0.00104.23N/AN/A500964912
2014-01-03$50.15$45.0050.7%14.5%16.3%77.3%0.0%11.2%-18.7%65.0K-2.8M-9.3K0.00123.49N/AN/A001,014912
2014-01-06$50.71$50.0038.2%6.7%15.3%53.3%0.0%3.7%-1.9%68.8K-3.1M-9.1K0.0099.85N/AN/A001,014912
2014-01-07$51.14$50.0024.1%6.3%13.9%26.1%22.1%0.3%-0.7%70.1K-3.5M-8.1K0.2893.34N/AN/A98271,014912
2014-01-08$51.74$50.0017.3%6.3%13.5%13.0%0.0%-0.2%-0.8%79.6K-3.9M-8.4K0.3094.23N/AN/A67201,082939
2014-01-09$52.21$50.0017.9%6.5%13.6%14.2%22.9%2.9%-1.0%78.2K-4.2M-9.0K0.0092.81N/AN/A18701,126959
2014-01-10$52.33$50.0022.0%6.4%13.3%22.2%21.8%5.3%-0.2%101.9K-4.6M-10.5K0.0093.55N/AN/A6001,286959
2014-01-13$51.83$50.0031.5%6.4%13.9%40.4%0.0%4.0%-0.9%113.6K-4.4M-11.0K0.0093.64N/AN/A001,320959
2014-01-14$52.82$50.0057.1%6.8%15.0%89.6%18.8%4.0%0.8%105.1K-4.6M-11.1K0.00101.35N/AN/A2701,306959
2014-01-15$53.07$50.0035.4%6.9%14.8%47.8%0.0%1.3%-1.2%99.7K-4.7M-10.6K0.00113.45N/AN/A1801,311959
2014-01-16$52.67$50.0022.5%6.5%15.2%23.1%0.0%4.5%1.3%108.9K-4.3M-11.0K0.00105.99N/AN/A601,303959
2014-01-17$52.54$50.0021.4%6.1%11.8%20.9%22.7%4.3%0.9%100.5K-4.5M-11.2K0.00104.46N/AN/A5101,307959
2014-01-21$52.55$50.0016.4%4.7%11.8%11.4%0.0%-0.0%14.6%86.2K-2.4M-10.6K0.00114.25N/AN/A20881687
2014-01-22$52.60$50.0025.2%7.2%11.7%28.3%0.0%-0.3%-3.8%97.5K-2.4M-10.3K2.00114.28N/AN/A1020879687
2014-01-23$51.49$50.0025.4%7.3%14.2%28.7%25.2%16.1%-3.4%87.7K-2.0M-10.5K0.00111.16N/AN/A20881707
2014-01-24$49.24$50.0023.6%6.8%21.4%25.2%26.8%3.7%-0.0%65.5K-862.1K-10.8K0.32106.27N/AN/A8527881707
2014-01-27$48.58$50.0023.2%6.6%21.7%24.3%0.0%-2.1%-1.3%40.7K-364.1K-9.5K0.59104.39N/AN/A1710801709
2014-01-28$49.29$50.0022.2%6.4%22.5%22.5%0.0%11.8%0.3%47.1K-584.8K-9.2K0.00110.66N/AN/A00804719
2014-01-29$48.60$50.0029.3%8.4%22.9%36.1%29.2%9.1%-6.2%39.5K-263.6K-9.7K0.00104.38N/AN/A100804719
2014-01-30$49.56$50.0024.0%6.9%24.2%25.9%0.0%27.9%-3.4%41.5K-663.7K-10.7K0.00106.87N/AN/A00804719
2014-01-31$49.01$50.0026.8%7.7%24.4%31.3%0.0%9.1%-4.1%44.5K-398.3K-9.6K0.00100.05N/AN/A300804719