PL Options History — May 2014

In May 2014, PL traded between $50.33 and $53.17. ATM implied volatility averaged 25.4%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.2% (HV 20d: 23.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.73.

Notable Days

  • 2014-05-08: Highest Volume — 135 contracts
  • 2014-05-14: Largest IV spike — 83.8% change
  • 2014-05-14: Highest IV Rank — 54.8%
  • 2014-05-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.51$50.33$53.17$50.82$52.30
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV25.4%17.9%39.0%28.7%26.1%
Expected Move6.4%4.2%8.9%8.2%7.5%
HV 20d23.2%21.3%25.0%24.7%21.5%
HV 60d21.8%21.0%22.4%21.4%21.4%
IV Rank28.6%14.2%54.8%35.0%30.0%
IV Percentile67.2%18.7%98.8%90.9%79.8%
Term Structure-1.0%-8.2%6.4%-5.1%-3.2%
VWIV22.5%17.3%27.4%23.8%17.3%
Skew 25d8.4%3.5%26.4%5.6%8.7%
Skew 10d16.7%2.8%46.8%6.8%41.7%
Call IV 25d17.5%13.0%21.9%21.5%19.4%
Put IV 25d25.9%19.9%41.2%27.1%28.1%
Bid-Ask Spread %100.6688.71109.48102.95108.62
Gamma HHI0.550.350.890.420.76
Net GEX20.1K-22.9K47.1K4.9K47.1K
Net DEX-348.8K-698.8K-54.6K-75.7K-568.6K
Net VEX-3.7K-4.2K-3.3K-3.7K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.0013.330.0013.33
Total Volume19.571013500
Total OI698.905596787596730

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$50.82$50.0028.7%8.2%24.7%35.0%0.0%5.6%-5.1%4.9K-75.7K-3.7K0.00102.95N/AN/A00326270
2014-05-02$51.24$50.0030.9%8.9%25.0%39.3%0.0%8.4%-8.2%13.2K-251.5K-4.0K0.00101.53N/AN/A00326270
2014-05-05$51.24$0.0031.9%6.8%23.1%41.2%23.8%4.1%-1.6%4.6K-185.3K-3.7K0.0093.32N/AN/A038326270
2014-05-06$50.33$50.0032.4%6.8%21.8%42.2%0.0%9.6%-2.0%8-54.6K-3.8K0.0096.09N/AN/A10326292
2014-05-07$50.87$50.0031.9%6.8%22.1%41.2%23.8%10.7%-1.9%-693-72.8K-3.7K0.0096.51N/AN/A200325292
2014-05-08$52.39$50.0032.1%6.9%23.9%41.5%27.4%6.4%0.3%25.4K-495.6K-4.2K5.1488.71N/AN/A22113345292
2014-05-09$51.99$50.0024.2%6.7%22.9%26.4%0.0%4.8%-2.0%11.2K-375.0K-4.1K0.0095.51N/AN/A00343405
2014-05-12$53.17$50.0021.8%5.0%21.3%21.7%17.8%5.8%1.5%37.7K-698.8K-3.8K0.0092.79N/AN/A40343405
2014-05-13$53.02$50.0021.2%4.2%21.4%20.6%0.0%6.9%-0.7%38.9K-620.8K-4.2K0.0095.69N/AN/A00347405
2014-05-14$52.20$50.0039.0%6.2%22.5%54.8%0.0%4.9%-1.5%24.4K-578.9K-3.7K0.00105.27N/AN/A00347405
2014-05-15$50.84$50.0025.3%7.2%23.9%28.4%26.4%9.8%-0.6%-22.9K-100.2K-4.1K2.75103.17N/AN/A2055347405
2014-05-16$50.63$50.0024.6%7.1%23.9%27.2%23.7%9.4%-4.8%-6.6K-279.3K-4.0K1.67100.94N/AN/A35367420
2014-05-19$51.08$50.0021.7%6.2%24.1%21.5%0.0%26.4%3.6%20.9K-231.0K-3.6K0.0098.02N/AN/A110340350
2014-05-20$50.62$50.0021.8%6.3%24.1%21.8%21.8%4.6%-1.2%23.9K-258.1K-3.7K0.00105.66N/AN/A010351350
2014-05-21$50.79$50.0020.6%5.9%24.2%19.3%20.6%3.5%-0.1%26.7K-292.0K-3.7K5.3399.01N/AN/A316349360
2014-05-22$50.62$50.0021.3%6.1%24.2%20.8%0.0%9.4%-1.3%22.5K-233.2K-3.6K1.82104.38N/AN/A1120350368
2014-05-23$51.54$50.0019.7%5.6%24.2%17.6%17.3%14.0%2.8%26.1K-381.5K-3.3K0.00109.48N/AN/A120351382
2014-05-27$52.03$50.0018.1%5.2%23.4%14.7%0.0%6.6%4.6%44.4K-552.3K-3.5K13.33105.43N/AN/A340363382
2014-05-28$51.90$50.0021.3%6.1%22.4%20.8%0.0%7.0%-6.7%40.8K-453.6K-3.5K0.00102.76N/AN/A00363363
2014-05-29$52.12$50.0017.9%5.1%21.7%14.2%0.0%9.1%6.4%39.8K-565.1K-3.3K0.00108.07N/AN/A04363363
2014-05-30$52.30$50.0026.1%7.5%21.5%30.0%0.0%8.7%-3.2%47.1K-568.6K-3.4K0.00108.62N/AN/A00363367