PL Options History — February 2014 In February 2014, PL traded between $46.34 and $52.14. ATM implied volatility averaged 24.3%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 8.1% (HV 20d: 32.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.55.
Notable Days 2014-02-20 : Highest Volume — 94 contracts2014-02-12 : Largest IV drop — 27.8% change2014-02-05 : Highest IV Rank — 45.1%2014-02-05 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $50.12 $46.34 $52.14 $46.34 $52.14 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 24.3% 19.4% 33.9% 33.0% 19.9% Expected Move 6.8% 5.6% 9.7% 9.5% 5.7% HV 20d 32.4% 28.6% 35.5% 31.2% 28.6% HV 60d 23.1% 22.0% 23.9% 23.6% 23.3% IV Rank 26.5% 17.1% 45.1% 43.3% 18.1% IV Percentile 67.6% 38.9% 94.8% 94.0% 41.7% Term Structure 0.2% -7.8% 6.0% -7.8% 5.6% VWIV 25.5% 21.1% 34.3% 34.3% 23.3% Skew 25d 4.2% -2.9% 9.6% -2.0% 5.6% Skew 10d 7.7% -6.9% 36.1% -6.9% 1.9% Call IV 25d 21.7% 13.0% 35.1% 35.1% 18.0% Put IV 25d 25.9% 19.3% 36.6% 33.1% 23.6% Bid-Ask Spread % 102.87 91.09 111.07 108.31 100.01 Gamma HHI 0.36 0.28 0.43 0.32 0.40 Net GEX 59.7K 16.1K 103.0K 16.8K 96.8K Net DEX -979.2K -2.1M 436.0K 436.0K -1.6M Net VEX -8.5K -9.4K -7.7K -7.9K -8.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.00 2.33 0.33 0.68 Total Volume 36.474 0 94 40 26 Total OI 1,585.895 1,486 1,748 1,519 1,540
Daily Data (19 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 2014-02-03 $46.34 $50.00 33.0% 9.5% 31.2% 43.3% 0.0% -2.0% -7.8% 16.8K 436.0K -7.9K 0.33 108.31 N/A N/A 30 10 800 719 2014-02-04 $47.29 $50.00 28.5% 8.2% 31.9% 34.6% 34.3% 3.3% 4.5% 17.2K 324.5K -7.7K 0.00 103.78 N/A N/A 0 15 770 724 2014-02-05 $47.34 $50.00 33.9% 9.7% 31.7% 45.1% 31.3% 1.5% 5.7% 16.1K 136.3K -9.4K 0.08 111.07 N/A N/A 24 2 770 739 2014-02-06 $47.93 $50.00 25.7% 7.4% 31.7% 29.2% 25.7% 6.5% -2.9% 23.9K 33.8K -8.1K 0.03 100.47 N/A N/A 67 2 793 740 2014-02-07 $48.45 $50.00 23.7% 7.3% 31.8% 25.4% 0.0% 5.6% -2.2% 32.8K -159.2K -8.6K 0.00 92.92 N/A N/A 0 4 823 741 2014-02-10 $48.16 $50.00 28.3% 6.9% 31.7% 34.3% 23.7% 6.1% -0.9% 30.5K -223.1K -8.8K 1.09 101.52 N/A N/A 22 24 823 745 2014-02-11 $48.68 $50.00 28.4% 6.6% 32.1% 34.5% 23.1% 6.0% -0.4% 37.4K -288.6K -8.7K 0.42 99.94 N/A N/A 12 5 843 768 2014-02-12 $50.61 $50.00 20.5% 6.1% 34.6% 19.3% 21.1% 4.2% 0.2% 62.7K -1.2M -8.5K 0.65 107.08 N/A N/A 40 26 848 769 2014-02-13 $50.95 $50.00 21.5% 6.2% 34.7% 21.2% 0.0% 6.8% 0.2% 56.0K -1.4M -8.9K 2.33 101.89 N/A N/A 12 28 873 794 2014-02-14 $51.20 $50.00 20.3% 5.8% 34.7% 18.9% 0.0% 1.4% 0.2% 65.8K -1.6M -8.6K 0.00 104.94 N/A N/A 30 0 876 821 2014-02-18 $51.91 $50.00 21.6% 6.2% 35.1% 21.4% 21.6% 7.0% -0.2% 88.4K -2.1M -8.7K 0.74 104.92 N/A N/A 23 17 905 821 2014-02-19 $51.23 $50.00 26.7% 7.7% 35.4% 31.2% 0.0% 3.6% -5.0% 69.7K -1.9M -8.9K 0.00 110.50 N/A N/A 52 0 915 833 2014-02-20 $51.60 $50.00 21.1% 6.0% 35.5% 20.4% 0.0% 6.6% -0.0% 74.0K -1.9M -8.4K 0.12 101.97 N/A N/A 84 10 901 832 2014-02-21 $51.34 $50.00 21.2% 6.1% 34.7% 20.5% 0.0% 6.4% 0.3% 60.5K -1.4M -8.6K 0.65 102.62 N/A N/A 26 17 810 836 2014-02-24 $51.49 $50.00 23.3% 6.7% 30.5% 24.6% 0.0% -2.8% 0.1% 93.5K -1.4M -8.7K 0.00 108.62 N/A N/A 0 0 781 705 2014-02-25 $51.42 $50.00 22.9% 6.6% 29.9% 23.9% 0.0% -2.9% -0.2% 92.7K -1.3M -8.5K 0.00 102.55 N/A N/A 0 0 781 705 2014-02-26 $52.08 $50.00 21.2% 6.1% 29.9% 20.5% 0.0% 7.3% 0.3% 96.7K -1.5M -8.7K 0.68 100.31 N/A N/A 28 19 781 705 2014-02-27 $52.10 $50.00 19.4% 5.6% 29.2% 17.1% 0.0% 9.6% 6.0% 103.0K -1.5M -8.3K 0.00 91.09 N/A N/A 0 38 783 719 2014-02-28 $52.14 $50.00 19.9% 5.7% 28.6% 18.1% 23.3% 5.6% 5.6% 96.8K -1.6M -8.5K 0.00 100.01 N/A N/A 0 26 783 757
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