PL Options History — April 2014

In April 2014, PL traded between $48.95 and $53.57. ATM implied volatility averaged 25.7%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.5% (HV 20d: 23.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-04-25: Highest Volume — 30 contracts
  • 2014-04-02: Largest IV spike — 60.2% change
  • 2014-04-14: Highest IV Rank — 45.7%
  • 2014-04-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.87$48.95$53.57$53.57$51.15
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV25.7%18.3%34.2%18.3%29.2%
Expected Move7.7%5.3%10.8%5.3%8.4%
HV 20d23.2%17.7%25.6%18.0%24.7%
HV 60d25.1%21.7%26.6%24.5%21.7%
IV Rank29.3%15.1%45.7%15.1%35.9%
IV Percentile77.1%25.8%96.4%25.8%91.7%
Term Structure-1.7%-14.9%28.2%28.2%-5.4%
VWIV26.0%24.1%27.8%24.1%26.7%
Skew 25d8.8%-4.1%18.7%8.1%5.6%
Skew 10d14.9%0.3%34.7%0.3%8.0%
Call IV 25d28.3%10.6%47.0%10.6%24.0%
Put IV 25d37.1%18.7%51.8%18.7%29.5%
Bid-Ask Spread %108.3396.20126.14119.09100.91
Gamma HHI0.540.370.930.690.43
Net GEX77.6K-6.1K194.0K154.1K8.3K
Net DEX-691.4K-2.1M147.7K-2.0M-180.5K
Net VEX-4.7K-6.7K-3.7K-6.0K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.005.000.080.00
Total Volume6.47603000
Total OI1,211.4295611,6391,570596

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$53.57$50.0018.3%5.3%18.0%15.1%0.0%8.1%28.2%154.1K-2.0M-6.0K0.00119.09N/AN/A00774796
2014-04-02$53.55$50.0029.4%8.4%17.9%36.3%0.0%10.5%8.0%113.6K-2.0M-6.7K0.00126.14N/AN/A00774796
2014-04-03$53.32$50.0025.1%7.2%17.7%28.1%0.0%15.5%14.7%117.3K-2.1M-5.0K0.00114.42N/AN/A00774796
2014-04-04$51.88$50.0021.8%10.8%19.7%21.7%0.0%1.6%-13.0%122.4K-1.4M-5.5K0.00118.69N/AN/A00774796
2014-04-07$50.45$50.0021.5%6.8%21.7%21.2%0.0%0.8%-1.2%101.7K-823.1K-5.0K0.08106.77N/AN/A252774796
2014-04-08$50.55$50.0021.4%7.0%21.7%20.9%24.1%-4.1%-2.8%108.2K-876.0K-5.3K0.00107.50N/AN/A020799796
2014-04-09$51.31$50.0021.7%7.2%22.6%21.5%25.1%9.3%-3.1%92.1K-1.1M-5.2K0.0098.38N/AN/A014799816
2014-04-10$50.29$50.0024.8%7.1%23.0%27.5%0.0%1.3%-3.3%104.0K-711.8K-5.3K0.00107.71N/AN/A01799825
2014-04-11$48.95$50.0025.1%7.2%24.5%28.2%0.0%16.4%-3.1%84.7K14.8K-4.7K0.30106.73N/AN/A103799826
2014-04-14$49.33$50.0034.2%9.8%24.8%45.7%0.0%0.4%-14.9%105.1K-15.1K-4.5K0.00118.28N/AN/A010789829
2014-04-15$49.53$50.0025.4%7.3%24.5%28.6%25.3%10.8%-3.3%124.6K-96.6K-4.6K5.0096.20N/AN/A210789839
2014-04-16$50.42$50.0025.3%7.3%25.6%28.5%0.0%11.6%-3.1%194.0K-980.7K-4.6K0.00109.97N/AN/A00791848
2014-04-17$50.72$50.0025.9%7.4%25.5%29.7%0.0%18.7%-3.0%123.8K-1.0M-4.6K0.33107.25N/AN/A31791848
2014-04-21$50.66$50.0027.4%7.9%25.1%32.5%27.8%16.3%-3.4%13.2K-229.9K-4.2K0.00107.86N/AN/A30321240
2014-04-22$51.09$50.0028.0%8.0%25.4%33.7%0.0%10.8%-4.0%17.7K-316.7K-4.1K0.00107.75N/AN/A00324240
2014-04-23$51.00$50.0027.7%7.9%25.3%33.1%0.0%6.3%-4.9%18.1K-314.8K-4.2K0.00106.12N/AN/A00324240
2014-04-24$50.92$50.0027.2%7.8%24.9%32.2%27.2%5.4%-4.3%18.5K-235.3K-4.0K0.00108.87N/AN/A20324240
2014-04-25$50.08$50.0026.7%7.7%24.8%31.2%26.7%11.1%-3.5%14.4K-239.7K-4.0K0.00104.58N/AN/A030326240
2014-04-28$49.24$50.0026.3%7.5%25.3%30.5%0.0%12.5%-4.6%-6.1K147.7K-3.7K0.00101.03N/AN/A00326270
2014-04-29$50.26$50.0028.0%8.0%24.8%33.7%0.0%15.2%-4.9%-253-9.1K-3.8K0.00100.71N/AN/A00326270
2014-04-30$51.15$50.0029.2%8.4%24.7%35.9%0.0%5.6%-5.4%8.3K-180.5K-4.0K0.00100.91N/AN/A00326270