PL Options History — October 2014

In October 2014, PL traded between $69.22 and $69.69. ATM implied volatility averaged 7.6%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 0.4%. IV traded above realized volatility by 5.9% (HV 20d: 1.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 7.96.

Notable Days

  • 2014-10-15: Highest Volume — 1,048 contracts
  • 2014-10-08: Largest IV spike — 1774.5% change
  • 2014-10-15: Highest IV Rank — 75.5%
  • 2014-10-15: Largest Expected Move — 1.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.46$69.22$69.69$69.37$69.69
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV7.6%1.7%47.5%2.2%2.1%
Expected Move0.4%0.3%1.1%0.3%0.4%
HV 20d1.6%1.2%2.2%1.3%2.2%
HV 60d1.8%1.7%2.1%1.7%2.1%
IV Rank10.1%0.4%75.5%1.3%1.2%
IV Percentile21.0%0.8%97.6%5.6%7.5%
Term Structure-0.8%-12.2%4.4%-0.6%0.3%
VWIV9.1%1.4%12.8%1.5%10.9%
Skew 25d4.9%-5.4%12.6%3.1%6.9%
Skew 10d-2.3%-45.5%10.0%3.6%-45.5%
Call IV 25d5.3%1.6%13.1%4.9%1.9%
Put IV 25d10.3%5.5%16.2%7.9%8.8%
Bid-Ask Spread %79.4864.91108.4872.0869.07
Gamma HHI0.880.820.930.900.88
Net GEX3.7M2.6M5.3M3.3M4.0M
Net DEX-28.6M-31.9M-26.5M-29.6M-29.1M
Net VEX-160.6K-173.9K-146.5K-168.8K-150.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.960.0092.000.030.73
Total Volume289.696121,04835444
Total OI15,937.91315,25416,55416,15915,579

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$69.37$65.002.2%0.3%1.3%1.3%1.5%3.1%-0.6%3.3M-29.6M-168.8K0.0372.08N/AN/A3419,7236,436
2014-10-02$69.44$65.002.5%0.3%1.3%1.8%1.4%5.4%-0.6%3.4M-29.8M-171.3K0.0072.71N/AN/A0189,7566,436
2014-10-03$69.46$65.002.6%0.4%1.3%2.0%10.3%5.7%-0.6%5.0M-26.8M-173.9K28.0067.36N/AN/A41129,7566,424
2014-10-06$69.42$65.002.8%0.4%1.3%2.3%4.5%3.9%-0.5%3.4M-29.3M-169.4K1.7275.73N/AN/A36629,7566,415
2014-10-07$69.40$65.001.7%0.4%1.3%0.4%0.0%4.2%-0.5%3.0M-29.1M-167.3K0.0077.16N/AN/A1409,7836,435
2014-10-08$69.47$65.0030.9%0.5%1.3%48.4%10.5%-2.8%-0.5%2.6M-31.9M-164.0K0.3964.91N/AN/A5001969,9326,447
2014-10-09$69.38$65.002.8%0.3%1.4%2.3%0.0%-5.4%-12.2%2.7M-29.9M-168.3K0.0069.29N/AN/A0849,7986,430
2014-10-10$69.38$65.002.7%0.6%1.3%2.2%0.0%-3.0%-3.7%3.1M-29.6M-163.6K2.10108.48N/AN/A10219,7986,493
2014-10-13$69.38$65.0037.1%0.3%1.2%58.5%0.0%6.9%-1.8%2.6M-29.9M-164.4K4.5571.02N/AN/A11509,8086,503
2014-10-14$69.41$65.004.7%0.4%1.2%5.4%8.1%4.8%-0.6%3.0M-30.4M-159.8K0.5090.80N/AN/A5182599,9436,559
2014-10-15$69.22$65.0047.5%1.1%1.5%75.5%12.8%5.8%-0.7%3.6M-26.5M-167.2K1.10105.21N/AN/A5005489,9696,585
2014-10-16$69.37$65.003.1%0.5%1.7%2.8%12.7%6.8%-0.6%2.9M-29.8M-163.7K19.0693.95N/AN/A173249,8486,532
2014-10-17$69.44$65.003.2%0.4%1.7%3.0%8.5%7.9%-0.6%5.3M-27.0M-160.5K2.0097.36N/AN/A551109,8546,448
2014-10-20$69.45$65.003.1%0.3%1.7%2.8%9.4%9.4%0.5%3.5M-26.7M-163.2K92.0074.64N/AN/A21849,3725,882
2014-10-21$69.58$65.002.3%0.3%1.8%1.5%10.1%9.2%4.4%3.9M-28.7M-154.8K1.3972.99N/AN/A1892639,4706,003
2014-10-22$69.41$65.001.9%0.4%2.0%0.9%9.8%9.2%-0.5%3.8M-26.9M-159.6K1.3972.48N/AN/A1892629,4746,008
2014-10-23$69.42$65.001.9%0.4%2.0%0.8%10.1%12.6%-0.5%4.1M-26.5M-157.8K1.3872.03N/AN/A1872589,4756,010
2014-10-24$69.54$65.002.3%0.3%2.1%1.6%10.3%3.2%0.4%4.2M-27.8M-154.1K1.1773.05N/AN/A1872189,4766,016
2014-10-27$69.53$65.001.8%0.3%2.1%0.7%9.7%6.7%-0.2%4.2M-27.1M-150.8K5.2765.73N/AN/A15799,3846,014
2014-10-28$69.59$65.001.7%0.4%2.0%0.6%10.2%5.7%0.4%4.4M-28.2M-147.3K3.0080.11N/AN/A399,3986,043
2014-10-29$69.66$65.002.0%0.5%2.0%1.0%11.3%6.4%-0.5%4.5M-29.5M-146.9K0.7479.88N/AN/A1981479,4976,045
2014-10-30$69.56$65.0010.8%0.4%2.1%15.3%11.2%1.1%0.1%4.4M-28.4M-146.5K0.74102.09N/AN/A1981479,4966,063
2014-10-31$69.69$65.002.1%0.4%2.2%1.2%10.9%6.9%0.3%4.0M-29.1M-150.7K0.7369.07N/AN/A2571879,4966,083