PL Options History — September 2014

In September 2014, PL traded between $69.39 and $69.60. ATM implied volatility averaged 15.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 0.7%. IV traded above realized volatility by 14.1% (HV 20d: 1.7%). 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 1 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2014-09-02: Highest Volume — 577 contracts
  • 2014-09-24: Largest IV spike — 671.4% change
  • 2014-09-10: Highest IV Rank — 84.7%
  • 2014-09-15: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.49$69.39$69.60$69.51$69.41
Max Pain$65.95$65.00$70.00$65.00$65.00
ATM IV15.8%1.9%53.1%20.7%2.0%
Expected Move0.7%0.2%1.6%1.2%0.3%
HV 20d1.7%1.2%2.6%2.5%1.3%
HV 60d1.8%1.7%2.0%1.9%1.7%
IV Rank23.6%0.8%84.7%31.7%1.0%
IV Percentile35.0%2.8%99.2%52.0%4.4%
Term Structure-4.6%-43.0%0.1%-9.3%-0.5%
VWIV4.5%0.9%11.9%8.7%1.1%
Skew 25d3.2%-12.0%10.0%5.6%4.6%
Skew 10d3.0%1.8%6.1%3.0%4.2%
Call IV 25d5.2%1.8%24.5%10.1%3.1%
Put IV 25d8.4%5.9%15.7%15.7%7.8%
Bid-Ask Spread %76.7869.4684.6976.7472.24
Gamma HHI0.870.800.890.890.89
Net GEX3.9M2.4M4.7M4.2M4.6M
Net DEX-26.8M-29.1M-25.1M-25.4M-25.8M
Net VEX-182.7K-189.2K-172.3K-182.2K-178.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0012.553.544.50
Total Volume103.524057757788
Total OI15,605.95214,66716,13514,66716,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$69.51$65.0020.7%1.2%2.5%31.7%8.7%5.6%-9.3%4.2M-25.4M-182.2K3.5476.74N/AN/A1274509,0825,585
2014-09-03$69.45$65.0035.3%1.6%2.6%55.6%1.0%-11.3%-38.6%2.6M-27.4M-185.4K0.3573.98N/AN/A136479,1496,035
2014-09-04$69.51$65.0042.0%1.6%2.6%66.5%4.2%-12.0%-43.0%2.4M-28.4M-189.2K1.0076.77N/AN/A119,2856,006
2014-09-05$69.51$65.0028.1%0.3%2.6%43.7%0.9%3.3%-0.3%2.8M-29.0M-185.9K0.0083.16N/AN/A109,3466,007
2014-09-08$69.53$65.0048.5%0.3%2.1%77.2%0.0%3.1%-0.3%2.9M-29.1M-182.9K0.0076.61N/AN/A2509,3476,007
2014-09-09$69.45$65.0050.7%0.3%2.2%80.7%0.0%3.2%-0.4%2.8M-28.4M-182.6K0.0072.49N/AN/A009,3476,007
2014-09-10$69.52$65.0053.1%1.6%2.2%84.7%0.0%4.9%-0.3%4.1M-25.9M-185.6K0.0078.43N/AN/A2809,3476,007
2014-09-11$69.51$65.002.4%0.3%2.0%1.6%0.0%3.7%-0.4%4.3M-26.0M-185.6K0.0076.76N/AN/A009,3476,007
2014-09-12$69.60$65.003.1%1.6%1.2%2.8%0.0%3.4%-0.7%4.3M-27.0M-182.2K0.0082.28N/AN/A009,3476,007
2014-09-15$69.53$65.008.7%1.6%1.3%12.0%8.5%7.9%-0.4%4.0M-26.1M-182.1K12.5581.68N/AN/A202519,3476,007
2014-09-16$69.58$65.002.3%0.3%1.3%1.5%1.4%4.0%-0.4%4.4M-26.5M-182.8K0.0071.72N/AN/A01199,3656,248
2014-09-17$69.49$70.001.9%0.3%1.4%0.8%1.0%4.2%-0.5%4.4M-25.1M-184.5K0.8176.33N/AN/A63519,3656,363
2014-09-18$69.52$70.002.0%0.4%1.4%0.9%0.0%3.8%-0.5%4.5M-26.5M-179.1K1.0074.20N/AN/A119,4286,382
2014-09-19$69.48$70.001.9%0.3%1.4%0.9%0.0%4.2%-0.5%4.7M-25.4M-183.5K0.0080.80N/AN/A0349,4286,380
2014-09-22$69.50$70.002.4%1.2%1.4%1.7%5.9%3.8%0.1%4.4M-25.9M-182.4K0.1184.69N/AN/A415459,4286,350
2014-09-23$69.44$65.002.2%0.4%1.3%1.3%8.1%4.3%-0.3%4.4M-26.5M-184.7K1.1581.01N/AN/A20239,6766,393
2014-09-24$69.44$65.0017.0%0.3%1.3%25.5%0.0%10.0%-0.3%3.7M-25.6M-184.0K0.0273.70N/AN/A12729,5076,416
2014-09-25$69.39$65.002.2%0.2%1.3%1.3%11.9%5.1%-0.4%3.2M-29.0M-172.3K0.2077.98N/AN/A54119,6236,414
2014-09-26$69.47$65.002.4%0.3%1.4%1.7%0.0%4.7%-0.3%4.3M-26.9M-182.5K0.0069.46N/AN/A019,6776,425
2014-09-29$69.49$65.002.4%0.3%1.4%1.7%1.2%5.8%-0.4%4.5M-26.8M-179.5K0.0771.38N/AN/A3029,6776,426
2014-09-30$69.41$65.002.0%0.3%1.3%1.0%1.1%4.6%-0.5%4.6M-25.8M-178.6K4.5072.24N/AN/A16729,7076,428