PL Options History — November 2014

In November 2014, PL traded between $69.66 and $69.97. ATM implied volatility averaged 3.5%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 0.3%. IV traded above realized volatility by 1.4% (HV 20d: 2.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2014-11-12: Highest Volume — 2,511 contracts
2014-11-18: Largest IV spike — 1316.2% change
2014-11-20: Highest IV Rank — 23.3%
2014-11-07: Largest Expected Move — 0.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.76	$69.66	$69.97	$69.76	$69.71
Max Pain	$67.89	$65.00	$70.00	$65.00	$70.00
ATM IV	3.5%	1.1%	15.4%	2.5%	1.8%
Expected Move	0.3%	0.2%	0.5%	0.4%	0.2%
HV 20d	2.1%	1.8%	2.3%	2.2%	1.8%
HV 60d	1.8%	1.6%	1.9%	1.9%	1.8%
IV Rank	3.7%	0.0%	23.3%	1.7%	1.2%
IV Percentile	11.3%	0.0%	41.3%	12.7%	4.4%
Term Structure	-0.3%	-1.0%	0.6%	0.6%	-0.4%
VWIV	7.1%	1.7%	10.7%	9.1%	6.8%
Skew 25d	-1.4%	-23.8%	41.5%	1.5%	-5.3%
Skew 10d	-18.2%	-62.2%	35.5%	-26.9%	-24.1%
Call IV 25d	12.3%	3.3%	30.4%	7.6%	12.9%
Put IV 25d	10.9%	5.3%	48.7%	9.0%	7.6%
Bid-Ask Spread %	73.24	57.70	88.58	72.43	77.80
Gamma HHI	0.87	0.83	0.92	0.88	0.84
Net GEX	4.2M	3.1M	4.6M	3.9M	4.3M
Net DEX	-29.4M	-32.8M	-26.6M	-30.5M	-27.4M
Net VEX	-139.8K	-148.4K	-131.3K	-145.3K	-131.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.00	3.88	0.59	0.00
Total Volume	540.421	0	2,511	459	1
Total OI	16,469.316	15,716	17,309	15,716	16,778

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$69.76	$65.00	2.5%	0.4%	2.2%	1.7%	9.1%	1.5%	0.6%	3.9M	-30.5M	-145.3K	0.59	72.43	N/A	N/A	289	170	9,558	6,158
2014-11-04	$69.80	$65.00	2.4%	0.3%	2.2%	1.6%	9.7%	-1.3%	0.4%	4.1M	-31.2M	-144.2K	0.46	70.53	N/A	N/A	331	151	9,589	6,148
2014-11-05	$69.81	$65.00	2.2%	0.4%	2.2%	1.4%	10.1%	-11.5%	-0.6%	4.2M	-31.6M	-142.9K	0.54	87.71	N/A	N/A	379	203	9,651	6,217
2014-11-06	$69.82	$65.00	1.8%	0.4%	2.1%	0.7%	10.3%	41.5%	-0.6%	4.3M	-31.5M	-142.5K	0.58	82.15	N/A	N/A	379	219	9,651	6,237
2014-11-07	$69.71	$65.00	2.1%	0.5%	2.2%	1.2%	10.7%	8.1%	-0.3%	4.0M	-30.0M	-146.4K	0.58	79.46	N/A	N/A	379	219	9,651	6,237
2014-11-10	$69.71	$65.00	2.3%	0.4%	2.2%	1.6%	10.5%	8.3%	-0.3%	4.0M	-30.1M	-141.3K	0.53	78.52	N/A	N/A	379	200	9,651	6,237
2014-11-11	$69.84	$65.00	3.4%	0.4%	2.3%	3.3%	6.3%	8.2%	-0.2%	4.0M	-31.6M	-137.0K	0.47	70.19	N/A	N/A	405	191	9,583	6,146
2014-11-12	$69.97	$65.00	2.2%	0.2%	2.0%	1.4%	7.8%	5.6%	-0.5%	4.6M	-32.8M	-138.6K	3.88	88.58	N/A	N/A	515	1,996	9,729	6,248
2014-11-13	$69.88	$70.00	5.7%	0.5%	2.0%	7.1%	1.7%	3.7%	-0.2%	3.1M	-30.0M	-134.2K	0.46	63.71	N/A	N/A	522	241	9,699	7,610
2014-11-14	$69.70	$70.00	1.4%	0.2%	2.3%	0.0%	2.3%	-6.6%	-0.2%	4.5M	-26.6M	-148.4K	0.86	57.70	N/A	N/A	36	31	9,256	7,663
2014-11-17	$69.66	$70.00	1.1%	0.2%	2.3%	0.0%	5.4%	-4.7%	-0.3%	4.5M	-27.5M	-144.9K	0.59	66.94	N/A	N/A	430	252	9,474	7,646
2014-11-18	$69.71	$70.00	14.9%	0.2%	2.2%	22.5%	5.5%	10.0%	-0.3%	4.6M	-28.6M	-140.9K	0.56	75.28	N/A	N/A	393	222	9,464	7,575
2014-11-19	$69.72	$70.00	1.2%	0.2%	2.0%	0.2%	8.2%	-21.4%	-0.3%	4.4M	-27.6M	-140.0K	2.33	66.79	N/A	N/A	15	35	9,301	7,537
2014-11-20	$69.75	$70.00	15.4%	0.2%	2.0%	23.3%	4.5%	11.3%	-0.2%	4.5M	-29.5M	-136.4K	0.54	70.04	N/A	N/A	396	215	9,422	7,530
2014-11-21	$69.71	$70.00	1.9%	0.2%	1.9%	1.4%	4.8%	-9.3%	-1.0%	4.6M	-28.5M	-137.9K	0.54	69.84	N/A	N/A	396	215	9,422	7,530
2014-11-24	$69.75	$70.00	1.3%	0.2%	1.9%	0.5%	0.0%	-23.8%	-0.3%	4.3M	-28.1M	-134.7K	0.50	72.34	N/A	N/A	2	1	9,212	7,503
2014-11-25	$69.70	$70.00	1.3%	0.2%	1.9%	0.4%	6.8%	-17.6%	-0.3%	4.4M	-27.9M	-136.3K	1.12	67.33	N/A	N/A	217	243	9,321	7,505
2014-11-26	$69.75	$70.00	1.4%	0.2%	1.9%	0.6%	0.0%	-23.1%	-0.3%	4.3M	-28.1M	-133.6K	0.00	74.26	N/A	N/A	0	0	9,225	7,553
2014-11-28	$69.71	$70.00	1.8%	0.2%	1.8%	1.2%	0.0%	-5.3%	-0.4%	4.3M	-27.4M	-131.3K	0.00	77.80	N/A	N/A	1	0	9,225	7,553