PL Options History — July 2014

In July 2014, PL traded between $69.35 and $69.54. ATM implied volatility averaged 7.3%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 3.1% (HV 20d: 4.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 6.25.

Notable Days

  • 2014-07-03: Highest Volume — 1,530 contracts
  • 2014-07-11: Largest IV spike — 797.4% change
  • 2014-07-30: Highest IV Rank — 30.2%
  • 2014-07-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.42$69.35$69.54$69.42$69.38
Max Pain$69.32$65.00$70.00$65.00$70.00
ATM IV7.3%1.5%19.9%4.6%2.6%
Expected Move2.4%0.4%5.7%1.3%0.8%
HV 20d4.1%1.0%59.1%59.1%1.0%
HV 60d43.2%42.3%44.5%44.5%42.3%
IV Rank9.7%0.2%30.2%5.2%2.0%
IV Percentile11.4%0.4%42.9%6.7%4.4%
Term Structure0.4%-2.1%16.7%-0.6%16.7%
VWIV13.2%5.1%29.6%6.7%11.4%
Skew 25d5.6%-1.5%11.2%-1.5%6.0%
Skew 10d-6.4%-41.3%6.7%-21.5%5.0%
Call IV 25d4.2%1.8%9.6%9.6%5.4%
Put IV 25d9.7%5.6%16.1%8.1%11.4%
Bid-Ask Spread %87.1482.7888.8588.8588.57
Gamma HHI0.910.720.990.970.98
Net GEX2.6M1.3M3.5M2.2M2.6M
Net DEX-24.6M-27.8M-19.8M-27.8M-23.8M
Net VEX-175.3K-197.5K-158.2K-177.6K-160.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.250.0050.000.909.70
Total Volume135.90901,53019214
Total OI13,765.54512,05415,19213,64912,536

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$69.42$65.004.6%1.3%59.1%5.2%6.7%-1.5%-0.6%2.2M-27.8M-177.6K0.9088.85N/AN/A1098,6984,951
2014-07-02$69.44$65.001.8%0.5%2.2%0.7%0.0%3.5%0.7%2.2M-27.4M-177.5K0.1085.09N/AN/A2128,7084,953
2014-07-03$69.45$65.002.1%0.6%2.2%1.2%0.0%1.6%-2.1%3.5M-24.3M-175.9K50.0088.34N/AN/A301,5008,6984,955
2014-07-07$69.36$70.003.2%3.7%2.1%3.0%0.0%6.6%-0.6%2.6M-23.1M-197.5K0.0088.44N/AN/A0208,6986,455
2014-07-08$69.43$70.003.6%3.7%2.1%3.6%0.0%7.0%-0.6%2.5M-27.1M-169.8K10.0087.96N/AN/A1108,6986,475
2014-07-09$69.45$70.002.8%2.8%2.1%2.4%0.0%6.5%-0.1%2.2M-27.5M-172.4K0.0087.64N/AN/A108,6986,485
2014-07-10$69.48$70.001.5%0.4%1.7%0.2%0.0%3.8%-0.6%3.3M-24.0M-185.7K0.0087.41N/AN/A008,6976,485
2014-07-11$69.54$70.0013.7%3.9%1.7%20.2%0.0%7.2%-0.6%3.5M-24.3M-181.4K0.0087.55N/AN/A1008,6976,485
2014-07-14$69.46$70.001.8%0.5%1.5%0.7%0.0%3.8%-0.7%3.4M-23.7M-184.0K2.8986.98N/AN/A361048,7076,485
2014-07-15$69.47$70.001.7%0.5%1.3%0.5%0.0%3.5%-0.4%2.0M-26.0M-170.9K0.4083.30N/AN/A1048,7176,387
2014-07-16$69.39$70.001.9%0.5%1.4%0.8%0.0%3.4%-0.5%1.6M-27.1M-187.8K0.0083.37N/AN/A0378,7276,390
2014-07-17$69.35$70.0014.6%4.2%1.4%21.6%29.6%7.0%-0.9%3.4M-23.4M-180.7K6.5088.36N/AN/A4268,7276,422
2014-07-18$69.39$70.003.5%1.0%1.4%3.5%5.1%4.6%0.7%1.3M-26.5M-193.6K0.0086.64N/AN/A0228,7316,422
2014-07-21$69.40$70.0015.7%4.5%1.3%23.5%0.0%8.0%1.7%3.1M-20.1M-184.9K0.0087.91N/AN/A0258,0643,990
2014-07-22$69.39$70.003.4%1.0%1.3%3.3%0.0%4.7%-0.7%2.2M-24.2M-166.5K0.0087.86N/AN/A3008,0644,015
2014-07-23$69.38$70.003.5%1.0%1.3%3.4%0.0%4.1%-0.8%3.4M-19.8M-174.7K0.0086.88N/AN/A01598,0644,015
2014-07-24$69.37$70.0017.0%4.9%1.2%25.6%0.0%8.4%-0.8%2.5M-23.9M-162.5K0.0088.14N/AN/A0628,0944,082
2014-07-25$69.40$70.003.0%0.9%1.2%2.7%0.0%3.4%1.7%2.5M-23.9M-162.5K0.0087.89N/AN/A0598,0944,144
2014-07-28$69.40$70.0018.8%5.4%1.2%28.5%0.0%9.5%-1.0%2.2M-24.2M-165.9K0.4188.49N/AN/A61258,0944,179
2014-07-29$69.40$70.0019.3%5.5%1.1%29.3%0.0%11.2%-0.6%2.7M-24.1M-158.2K0.0082.78N/AN/A01718,1444,204
2014-07-30$69.41$70.0019.9%5.7%1.0%30.2%0.0%10.2%-0.0%2.3M-24.2M-166.0K0.3188.65N/AN/A250778,1444,364
2014-07-31$69.38$70.002.6%0.8%1.0%2.0%11.4%6.0%16.7%2.6M-23.8M-160.4K9.7088.57N/AN/A201948,1444,392