PL Options History — June 2014

In June 2014, PL traded between $58.51 and $69.72. ATM implied volatility averaged 5.7%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 61.4% (HV 20d: 67.1%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2014-06-04: Highest Volume — 8,418 contracts
  • 2014-06-17: Largest IV spike — 123.0% change
  • 2014-06-03: Highest IV Rank — 39.5%
  • 2014-06-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.40$58.51$69.72$58.51$69.33
Max Pain$63.33$50.00$65.00$50.00$65.00
ATM IV5.7%1.4%31.0%28.2%3.4%
Expected Move1.5%0.4%8.9%8.1%1.0%
HV 20d67.1%44.8%71.5%44.9%59.1%
HV 60d44.3%31.3%46.1%31.4%45.0%
IV Rank5.1%0.0%39.5%34.0%3.2%
IV Percentile9.7%0.0%91.7%86.1%4.8%
Term Structure-1.0%-5.8%1.0%-3.8%-3.4%
VWIV7.9%1.2%31.6%29.4%3.3%
Skew 25d9.5%-4.6%49.0%0.1%1.0%
Skew 10d0.2%-21.3%43.9%13.3%-18.5%
Call IV 25d8.5%2.2%32.1%31.7%5.3%
Put IV 25d18.1%5.1%52.0%31.8%6.3%
Bid-Ask Spread %57.4312.8093.3451.3593.34
Gamma HHI0.930.571.000.960.97
Net GEX5.7M10.1K13.0M44.9K3.4M
Net DEX-26.2M-37.7M-1.8M-1.8M-23.2M
Net VEX-114.7K-180.5K-190-2.2K-178.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0111.001.050.15
Total Volume1,226.14308,4182,61815
Total OI13,381.42973016,97073013,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$58.51$50.0028.2%8.1%44.9%34.0%29.4%0.1%-3.8%44.9K-1.8M-2.2K1.0551.35N/AN/A1,2801,338363367
2014-06-03$58.72$55.0031.0%8.9%44.8%39.5%31.6%3.5%-5.8%211.8K-2.9M-21.6K0.1552.19N/AN/A2,4923821,5471,632
2014-06-04$69.36$60.004.3%1.2%71.3%0.0%6.6%5.5%1.0%10.1K-23.9M-1900.5612.80N/AN/A5,4083,0103,4681,990
2014-06-05$69.30$60.002.9%0.8%71.5%0.0%3.5%3.7%-0.5%5.3M-25.5M-70.1K0.6225.85N/AN/A4,2522,6197,2953,477
2014-06-06$69.46$65.003.6%0.8%71.5%1.2%3.1%35.2%-1.9%8.6M-35.1M-110.3K0.1750.35N/AN/A1,71128610,7665,771
2014-06-09$69.48$65.004.5%0.9%71.2%2.7%3.3%39.2%-0.9%9.0M-37.0M-129.2K1.2161.02N/AN/A141710,9366,034
2014-06-10$69.50$65.005.0%0.6%71.3%3.5%2.5%-4.2%-0.1%9.3M-37.7M-123.0K0.0560.25N/AN/A1,0515010,7795,996
2014-06-11$69.72$65.005.5%0.8%71.2%4.4%0.0%29.5%0.6%13.0M-33.2M-119.1K1.1951.98N/AN/A323810,1696,032
2014-06-12$69.63$65.002.9%0.8%70.6%0.0%3.8%31.2%0.2%11.3M-31.7M-113.7K0.0160.96N/AN/A595610,1296,070
2014-06-13$69.46$65.003.0%0.9%69.2%0.3%3.4%2.4%-0.7%10.4M-31.3M-117.0K0.0068.84N/AN/A01010,5776,070
2014-06-16$69.32$65.001.4%0.4%69.2%0.0%1.2%3.8%0.3%7.7M-26.6M-90.9K0.0752.97N/AN/A3652610,1136,063
2014-06-17$69.35$65.003.1%0.9%69.3%2.8%3.1%-1.6%-0.7%8.2M-29.3M-101.2K1.7064.83N/AN/A579710,0556,072
2014-06-18$69.36$65.002.4%0.7%69.0%1.7%0.0%-0.2%-0.4%8.1M-26.7M-96.4K0.0061.62N/AN/A0010,1666,162
2014-06-19$69.44$65.002.9%0.8%69.0%2.6%0.0%49.0%-0.7%3.8M-34.5M-165.1K5.0059.08N/AN/A21010,1126,065
2014-06-20$69.39$65.001.9%0.6%68.9%0.9%0.0%2.6%-1.0%7.7M-25.9M-91.9K7.0051.33N/AN/A53510,1126,075
2014-06-23$69.37$65.002.3%0.6%69.2%1.4%0.0%3.2%0.3%3.1M-23.3M-170.5K0.0362.61N/AN/A4018,2944,958
2014-06-24$69.32$65.002.6%0.8%69.4%2.0%0.0%0.9%-0.2%2.5M-23.1M-180.5K0.4363.05N/AN/A35158,2944,959
2014-06-25$69.43$65.003.0%0.9%69.3%2.6%0.0%-1.4%-0.2%1.9M-26.1M-174.4K0.0270.20N/AN/A35178,2544,951
2014-06-26$69.45$65.001.9%0.5%69.3%0.8%0.0%1.3%-0.8%2.1M-27.4M-178.7K0.0660.35N/AN/A8058,6054,958
2014-06-27$69.40$65.003.8%1.1%69.5%4.0%3.3%-4.6%-3.0%3.6M-24.0M-174.5K11.0071.06N/AN/A1118,6854,955
2014-06-30$69.33$65.003.4%1.0%59.1%3.2%0.0%1.0%-3.4%3.4M-23.2M-178.3K0.1593.34N/AN/A1328,6854,949