PL Options History — January 2015

In January 2015, PL traded between $69.67 and $69.96. ATM implied volatility averaged 5.0%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 3.5% (HV 20d: 1.5%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.03.

Notable Days

  • 2015-01-16: Highest Volume — 827 contracts
  • 2015-01-21: Largest IV spike — 570.7% change
  • 2015-01-21: Highest IV Rank — 56.9%
  • 2015-01-21: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.81$69.67$69.96$69.69$69.96
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV5.0%0.5%30.6%1.6%0.5%
Expected Move2.0%0.1%8.8%0.4%0.1%
HV 20d1.5%0.9%2.2%2.1%0.9%
HV 60d1.8%1.6%2.0%2.0%1.6%
IV Rank7.7%0.0%56.9%1.1%0.0%
IV Percentile22.4%0.0%91.7%8.7%0.0%
Term Structure-11.5%-33.3%7.9%-0.1%0.2%
VWIV21.6%9.7%34.8%16.4%34.8%
Skew 25d1.8%-14.0%56.8%56.8%4.2%
Skew 10d2.8%-22.9%70.3%70.3%4.1%
Call IV 25d14.0%3.0%36.4%3.0%4.8%
Put IV 25d15.8%5.3%59.8%59.8%8.9%
Bid-Ask Spread %96.8271.51123.3578.5173.54
Gamma HHI0.830.660.970.950.67
Net GEX12.3M-605.2K33.7M20.1M-560.5K
Net DEX-9.2M-28.5M766.5K-21.1M350.2K
Net VEX-45.5K-74.7K-34.1K-64.3K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.005.711.163.53
Total Volume413.60827647689
Total OI11,319.754,13217,16117,1614,443

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$69.69$65.001.6%0.4%2.1%1.1%16.4%56.8%-0.1%20.1M-21.1M-64.3K1.1678.51N/AN/A3003479,5317,630
2015-01-05$69.68$65.001.8%0.6%2.1%1.5%0.0%2.5%-0.7%21.4M-18.3M-58.0K0.0089.15N/AN/A0209,4457,630
2015-01-06$69.67$65.001.8%2.1%2.1%1.5%0.0%10.3%-0.4%5.9M-28.5M-74.7K0.0084.54N/AN/A009,4457,621
2015-01-07$69.79$65.001.9%3.7%2.2%1.7%0.0%-10.1%-0.6%25.9M-23.5M-61.2K0.50114.69N/AN/A40209,4457,609
2015-01-08$69.76$65.001.7%0.5%2.2%1.2%10.7%-11.6%7.9%28.1M-20.6M-52.2K0.60112.11N/AN/A2861729,4917,617
2015-01-09$69.74$65.001.7%0.4%2.2%1.2%10.0%-11.2%0.3%27.2M-15.5M-50.6K0.60110.92N/AN/A2861729,2707,616
2015-01-12$69.73$65.002.5%0.5%2.2%2.8%16.2%-14.0%-0.5%25.3M-13.1M-43.0K0.60110.71N/AN/A2861729,2707,616
2015-01-13$69.72$65.002.8%0.4%2.2%3.2%9.7%-11.3%-0.2%22.4M-11.4M-38.9K0.95112.98N/AN/A2862719,2707,616
2015-01-14$69.74$65.0017.3%5.0%1.4%29.1%25.9%-1.5%-27.4%25.2M-12.0M-38.3K0.95123.35N/AN/A2862719,2707,716
2015-01-15$69.73$65.001.6%0.5%1.4%1.2%16.9%-10.0%-0.5%15.5M-8.5M-34.1K1.04111.50N/AN/A2442549,2357,716
2015-01-16$69.79$65.004.7%1.4%1.0%7.2%0.0%-2.4%-1.0%33.7M-13.9M-37.5K0.86116.66N/AN/A4453829,1407,739
2015-01-20$69.77$65.004.6%1.3%1.0%6.9%0.0%-6.5%-5.6%-605.2K579.3K-37.2K1.00121.08N/AN/A1001008033,329
2015-01-21$69.83$65.0030.6%8.8%1.0%56.9%0.0%13.9%-30.0%-601.1K-7.7K-38.7K5.71121.87N/AN/A7409033,429
2015-01-22$69.89$65.0020.5%5.9%1.0%37.5%0.0%27.0%-14.8%-593.7K-307.2K-38.5K3.1394.55N/AN/A1695299703,469
2015-01-23$69.94$65.000.5%0.2%0.9%0.0%29.3%-1.7%-28.6%-593.9K-393.1K-38.8K3.1371.51N/AN/A1695299703,469
2015-01-26$69.95$65.000.7%0.0%0.9%0.3%0.0%0.4%-31.2%-556.3K766.5K-41.2K5.6774.10N/AN/A3179103,469
2015-01-27$69.96$65.000.7%0.0%0.9%0.3%0.0%0.5%-31.8%-561.9K675.0K-41.1K0.0071.54N/AN/A209133,476
2015-01-28$69.96$65.000.7%0.0%0.9%0.3%33.3%0.5%-32.5%-558.0K332.6K-41.0K3.5371.62N/AN/A1525379753,476
2015-01-29$69.96$65.000.7%0.0%0.9%0.3%34.0%0.5%-33.3%-558.4K284.1K-40.8K3.5371.54N/AN/A1525379773,476
2015-01-30$69.96$0.000.5%0.1%0.9%0.0%34.8%4.2%0.2%-560.5K350.2K-40.5K3.5373.54N/AN/A1525379673,476