PL Options History — August 2014

In August 2014, PL traded between $69.20 and $69.69. ATM implied volatility averaged 13.6%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 11.6% (HV 20d: 1.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 5.74.

Notable Days

  • 2014-08-13: Highest Volume — 4,016 contracts
  • 2014-08-26: Largest IV spike — 581.1% change
  • 2014-08-13: Highest IV Rank — 41.3%
  • 2014-08-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.39$69.20$69.69$69.36$69.40
Max Pain$65.25$65.00$70.00$70.00$65.00
ATM IV13.6%2.9%26.6%21.1%21.4%
Expected Move1.8%0.3%6.0%6.0%1.6%
HV 20d1.9%0.9%2.5%1.0%2.5%
HV 60d36.8%2.0%42.3%42.3%2.0%
IV Rank19.9%2.5%41.3%32.3%32.8%
IV Percentile27.5%6.3%81.3%52.0%58.3%
Term Structure-2.9%-36.9%-0.1%-0.8%-36.9%
VWIV7.6%1.0%16.3%5.4%1.0%
Skew 25d3.3%-16.3%9.7%9.3%-16.3%
Skew 10d-2.8%-50.9%3.9%3.8%-1.7%
Call IV 25d6.3%2.7%24.6%5.7%24.6%
Put IV 25d9.6%6.0%15.0%15.0%8.3%
Bid-Ask Spread %86.4066.3093.6788.1079.70
Gamma HHI0.930.861.000.990.86
Net GEX3.4M2.3M12.2M2.3M2.8M
Net DEX-22.7M-27.7M-6.2M-23.3M-27.7M
Net VEX-165.7K-188.2K-90.2K-165.9K-178.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.740.0041.450.2037.50
Total Volume346114,0166177
Total OI13,712.8112,67616,83412,67614,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$69.36$70.0021.1%6.0%1.0%32.3%0.0%9.3%-0.8%2.3M-23.3M-165.9K0.2088.10N/AN/A51108,1444,532
2014-08-04$69.42$65.002.9%3.4%0.9%2.5%0.0%5.5%-0.3%2.6M-24.0M-159.3K0.7388.14N/AN/A26198,1954,542
2014-08-05$69.41$65.005.5%1.0%0.9%6.7%0.0%3.3%-0.3%2.6M-23.8M-158.1K0.0088.25N/AN/A0918,2004,551
2014-08-06$69.43$65.0025.4%3.6%0.9%39.3%0.0%4.7%-1.7%2.6M-23.9M-158.0K0.0093.61N/AN/A0208,2004,588
2014-08-07$69.38$65.0015.1%1.3%0.9%22.5%0.0%2.5%-1.1%2.6M-23.6M-159.1K0.1093.67N/AN/A1018,2004,607
2014-08-08$69.65$65.0010.1%1.4%1.6%14.3%0.0%3.1%-1.3%2.6M-25.2M-160.6K0.0393.47N/AN/A6628,2114,606
2014-08-11$69.66$65.009.7%1.1%1.6%13.6%0.0%2.3%-1.7%12.2M-15.5M-90.2K0.0091.34N/AN/A1808,2254,604
2014-08-12$69.69$65.0011.4%1.1%1.6%16.4%0.0%3.7%-0.3%3.7M-22.1M-172.3K0.0088.51N/AN/A25008,2654,604
2014-08-13$69.50$65.0026.6%2.8%1.8%41.3%0.0%5.1%-1.2%3.4M-20.8M-173.6K0.9993.35N/AN/A2,0162,0008,2654,604
2014-08-14$69.20$65.004.8%1.4%2.4%5.5%0.0%0.9%-3.2%2.6M-9.5M-159.6K12.2092.81N/AN/A56110,2096,604
2014-08-15$69.22$65.0013.4%3.8%2.4%19.7%0.0%6.9%-0.1%3.9M-6.2M-160.4K0.0287.76N/AN/A215510,2096,625
2014-08-18$69.28$0.0014.4%1.5%2.4%21.3%5.4%7.5%-0.4%2.5M-24.6M-166.7K0.1293.29N/AN/A247308,3204,464
2014-08-19$69.24$65.0014.3%0.7%2.4%21.1%8.5%8.0%-0.5%2.6M-24.8M-166.5K0.3176.44N/AN/A210668,4284,481
2014-08-20$69.24$65.0014.8%0.3%2.4%22.0%8.3%7.6%-0.5%2.7M-25.5M-170.3K1.9266.30N/AN/A3356448,6384,540
2014-08-21$69.25$65.0015.0%1.5%2.4%22.4%0.0%7.8%-0.5%2.9M-26.3M-177.0K0.5883.25N/AN/A69408,9735,166
2014-08-22$69.24$65.0015.3%1.5%2.4%22.8%0.0%8.0%-0.5%2.7M-26.7M-180.0K0.0076.52N/AN/A2009,0425,196
2014-08-25$69.36$65.003.0%1.5%2.5%2.6%0.0%-6.8%-0.5%4.6M-24.4M-174.8K0.0082.56N/AN/A0499,0625,196
2014-08-26$69.37$65.0020.2%1.9%2.5%30.7%16.3%4.4%-7.7%2.6M-27.3M-183.6K0.0092.49N/AN/A01279,0625,182
2014-08-27$69.40$65.0016.9%0.4%2.5%25.5%8.8%9.7%-0.5%3.6M-24.7M-188.2K41.4586.51N/AN/A114569,0625,152
2014-08-28$69.39$65.003.5%0.4%2.5%3.4%4.6%-8.8%-1.1%2.9M-27.6M-176.6K1.3878.31N/AN/A8119,0735,526
2014-08-29$69.40$65.0021.4%1.6%2.5%32.8%1.0%-16.3%-36.9%2.8M-27.7M-178.8K37.5079.70N/AN/A2759,0815,535