PL Options History — March 2014

In March 2014, PL traded between $51.02 and $53.86. ATM implied volatility averaged 22.3%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.5% (HV 20d: 18.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2014-03-04: Highest Volume — 80 contracts
  • 2014-03-06: Largest IV spike — 55.5% change
  • 2014-03-07: Highest IV Rank — 51.9%
  • 2014-03-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.74$51.02$53.86$51.27$52.59
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV22.3%14.2%37.5%23.9%23.0%
Expected Move5.8%4.1%9.5%6.8%6.6%
HV 20d18.7%15.7%29.0%29.0%19.4%
HV 60d23.6%23.1%24.3%23.5%24.3%
IV Rank22.6%7.2%51.9%25.8%24.0%
IV Percentile49.0%4.0%98.0%71.8%67.9%
Term Structure2.3%-5.7%20.1%-2.2%20.1%
VWIV21.0%16.2%23.9%23.9%22.8%
Skew 25d1.9%-10.1%12.9%-0.8%5.9%
Skew 10d4.6%-10.1%21.4%0.6%2.0%
Call IV 25d19.8%12.5%31.1%25.6%17.1%
Put IV 25d21.7%15.9%25.4%24.8%23.1%
Bid-Ask Spread %100.1482.22123.49110.56103.94
Gamma HHI0.520.390.650.390.53
Net GEX111.5K81.5K135.0K89.5K125.4K
Net DEX-1.8M-2.4M-1.1M-1.3M-1.6M
Net VEX-7.5K-9.5K-6.0K-8.5K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.006.250.006.25
Total Volume13.0950802029
Total OI1,6181,5351,6761,5661,555

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$51.27$50.0023.9%6.8%29.0%25.8%23.9%-0.8%-2.2%89.5K-1.3M-8.5K0.00110.56N/AN/A200783783
2014-03-04$52.68$50.0018.6%5.3%20.7%15.6%0.0%12.9%9.2%93.9K-1.7M-8.9K0.00110.37N/AN/A080803783
2014-03-05$52.49$50.0021.3%6.1%20.3%20.7%0.0%-10.1%-0.9%92.7K-1.7M-9.0K0.60115.83N/AN/A53803857
2014-03-06$52.99$50.0033.1%9.5%20.3%43.5%0.0%-8.1%-2.7%81.5K-1.7M-9.5K0.00123.49N/AN/A00805859
2014-03-07$53.61$50.0037.5%5.2%20.3%51.9%18.3%6.2%2.4%107.8K-2.0M-9.1K0.0082.53N/AN/A120805859
2014-03-10$53.86$50.0037.0%5.5%20.2%51.0%0.0%5.8%-0.1%120.7K-2.3M-7.8K0.0091.42N/AN/A60811859
2014-03-11$53.52$50.0020.8%5.6%20.2%19.8%0.0%0.4%4.6%113.2K-2.3M-7.9K0.0099.27N/AN/A00815859
2014-03-12$53.51$50.0026.6%6.5%20.2%31.0%0.0%-7.6%-3.3%130.2K-2.3M-6.8K0.00113.97N/AN/A00815859
2014-03-13$52.65$50.0018.4%5.3%17.0%15.2%22.4%3.9%1.4%104.0K-1.7M-8.3K0.0082.22N/AN/A800815859
2014-03-14$52.73$50.0017.7%5.1%16.9%13.8%0.0%4.1%1.5%105.8K-1.8M-7.9K1.00104.16N/AN/A55817859
2014-03-17$52.70$50.0018.7%5.4%16.9%15.8%0.0%4.0%1.5%110.3K-1.8M-7.6K0.0093.40N/AN/A07812854
2014-03-18$53.20$50.0018.1%5.2%16.6%14.6%22.6%4.3%1.8%123.7K-2.0M-7.2K0.0082.93N/AN/A20812849
2014-03-19$53.31$50.0018.5%5.3%15.7%15.4%0.0%1.6%1.4%124.0K-2.1M-7.2K0.0093.23N/AN/A00812849
2014-03-20$53.72$50.0018.4%5.3%15.7%15.3%0.0%6.5%2.4%130.9K-2.4M-6.7K0.00102.80N/AN/A00809817
2014-03-21$52.88$50.0014.2%4.1%16.7%7.2%16.2%2.3%3.4%125.5K-2.0M-7.0K0.0092.05N/AN/A10809817
2014-03-24$52.89$50.0017.5%5.0%16.7%13.4%0.0%3.5%6.9%135.0K-1.9M-6.5K0.0097.36N/AN/A00774761
2014-03-25$52.64$50.0017.5%5.0%16.9%13.4%0.0%3.5%5.5%129.0K-1.8M-6.6K0.0093.09N/AN/A00774761
2014-03-26$51.90$50.0025.1%7.2%17.1%28.2%0.0%-3.8%-5.7%82.7K-1.3M-7.5K0.00117.62N/AN/A00774761
2014-03-27$51.02$50.0020.9%6.0%18.1%20.0%0.0%-0.8%0.2%104.6K-1.1M-6.2K0.0097.32N/AN/A00774761
2014-03-28$51.31$50.0020.7%5.9%18.3%19.6%0.0%6.4%0.6%111.3K-1.2M-6.0K0.0095.35N/AN/A020774761
2014-03-31$52.59$50.0023.0%6.6%19.4%24.0%22.8%5.9%20.1%125.4K-1.6M-6.0K6.25103.94N/AN/A425774781