PL Options History — December 2014

In December 2014, PL traded between $69.35 and $69.81. ATM implied volatility averaged 1.6%, placing in the 0.9% IV rank vs the trailing year. The 30-day expected move averaged 0.4%. IV traded below realized volatility by 0.3% (HV 20d: 1.9%). 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 9 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-12-23: Highest Volume — 821 contracts
  • 2014-12-15: Largest IV spike — 55.1% change
  • 2014-12-08: Highest IV Rank — 2.4%
  • 2014-12-22: Largest Expected Move — 1.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.63$69.35$69.81$69.69$69.65
Max Pain$69.41$65.00$70.00$70.00$65.00
ATM IV1.6%1.0%2.5%1.5%1.4%
Expected Move0.4%0.2%1.2%0.2%0.7%
HV 20d1.9%1.3%2.2%1.7%2.1%
HV 60d1.9%1.7%2.0%1.8%2.0%
IV Rank0.9%0.0%2.4%0.7%0.8%
IV Percentile5.3%0.0%21.0%2.8%6.0%
Term Structure0.0%-1.4%2.7%-0.5%-0.0%
VWIV8.7%4.7%16.7%8.1%16.7%
Skew 25d11.6%-8.0%49.7%30.2%48.0%
Skew 10d7.7%-25.7%66.7%1.1%66.7%
Call IV 25d8.8%2.0%26.8%12.7%9.1%
Put IV 25d20.4%5.4%57.0%42.9%57.0%
Bid-Ask Spread %78.4260.57104.7965.6783.67
Gamma HHI0.870.820.950.850.95
Net GEX7.1M3.9M19.1M4.6M19.1M
Net DEX-26.4M-29.8M-18.9M-27.7M-18.9M
Net VEX-106.9K-128.5K-66.6K-128.5K-66.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.001.511.240.00
Total Volume48208214322
Total OI16,984.27316,75517,13716,86017,073

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$69.69$70.001.5%0.2%1.7%0.7%8.1%30.2%-0.5%4.6M-27.7M-128.5K1.2465.67N/AN/A1932399,3337,527
2014-12-02$69.73$70.002.0%0.2%1.7%1.6%6.2%-6.4%-1.4%4.7M-28.4M-125.9K1.2272.24N/AN/A1962399,3347,526
2014-12-03$69.75$70.001.7%0.2%1.7%1.0%9.4%17.4%-0.4%4.8M-28.3M-126.7K1.2473.98N/AN/A1932399,3377,526
2014-12-04$69.73$70.001.7%0.2%1.7%1.0%0.0%27.5%-0.5%4.3M-27.9M-124.8K0.0076.81N/AN/A109,2317,524
2014-12-05$69.74$70.001.7%0.2%1.7%1.1%5.7%2.2%0.1%4.7M-28.7M-123.4K1.1771.55N/AN/A2042399,3397,526
2014-12-08$69.78$70.002.5%0.2%1.6%2.4%9.4%2.1%-0.1%5.3M-29.8M-115.7K1.0775.21N/AN/A2232399,3517,526
2014-12-09$69.81$70.002.1%0.2%1.6%1.8%5.5%31.4%0.1%18.5M-27.7M-95.8K0.8374.21N/AN/A2652199,3817,526
2014-12-10$69.71$70.002.1%0.2%1.5%1.7%6.4%6.8%0.0%4.9M-28.8M-117.8K0.8372.16N/AN/A2652199,4197,526
2014-12-11$69.69$70.001.4%0.4%1.4%0.5%4.7%-8.0%0.4%5.0M-28.8M-114.0K0.83104.79N/AN/A2652199,4197,526
2014-12-12$69.65$70.001.0%0.4%1.3%0.0%7.2%-8.0%0.3%4.8M-27.9M-115.1K0.89103.99N/AN/A2472199,4197,526
2014-12-15$69.35$70.001.5%0.3%1.8%1.0%13.0%11.0%-0.6%3.9M-23.9M-117.7K0.6970.66N/AN/A4032789,4197,526
2014-12-16$69.35$70.001.5%0.3%1.8%1.0%12.2%8.8%-0.6%4.7M-23.5M-109.0K0.8371.99N/AN/A3983329,3537,586
2014-12-17$69.55$70.001.6%0.3%2.1%1.1%8.6%-7.9%-0.2%5.1M-26.5M-108.8K0.7793.67N/AN/A4293329,4187,666
2014-12-18$69.48$70.001.5%0.2%2.1%0.9%8.8%8.5%-0.5%4.9M-26.0M-109.7K0.6360.57N/AN/A4292729,4787,659
2014-12-19$69.50$70.001.4%0.2%2.1%0.7%0.0%9.0%-0.5%4.3M-25.3M-110.2K0.6981.31N/AN/A35249,3717,659
2014-12-22$69.54$0.001.6%1.2%2.1%1.0%0.0%9.2%2.7%4.7M-26.8M-101.8K0.7763.92N/AN/A3372609,4747,637
2014-12-23$69.65$0.001.2%0.9%2.2%0.3%0.0%8.8%2.3%4.4M-27.9M-104.1K1.5162.31N/AN/A3274949,4747,637
2014-12-24$69.62$0.001.1%0.4%2.2%0.2%0.0%8.1%0.1%4.7M-27.6M-100.6K1.5189.04N/AN/A3274949,4847,630
2014-12-26$69.65$0.001.2%0.4%2.2%0.5%0.0%4.7%0.1%16.2M-22.5M-76.7K1.1783.75N/AN/A2973479,4847,632
2014-12-29$69.63$0.001.3%0.4%2.1%0.5%16.7%2.6%-0.3%5.0M-27.8M-92.0K1.0984.80N/AN/A3173479,4697,630
2014-12-30$69.64$65.001.4%0.6%2.1%0.7%0.0%49.7%-0.0%17.9M-19.9M-67.5K0.0088.95N/AN/A009,4437,630
2014-12-31$69.65$65.001.4%0.7%2.1%0.8%0.0%48.0%-0.0%19.1M-18.9M-66.6K0.0083.67N/AN/A209,4437,630