PL Options History — February 2015

In February 2015, PL traded between $69.95 and $69.95. ATM implied volatility averaged 25.9%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 25.4% (HV 20d: 0.5%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 0 of 16 trading days. Term structure was in contango for 2 of 16 days. Put/call ratio averaged 4.10.

Notable Days

2015-02-03: Highest Volume — 689 contracts
2015-02-09: Largest IV spike — 7195.5% change
2015-02-10: Highest IV Rank — 95.0%
2015-02-27: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.95	$69.95	$69.95	$69.95	$69.95
Max Pain	$100.00	$100.00	$100.00	$100.00	$100.00
ATM IV	25.9%	0.6%	50.5%	0.6%	35.9%
Expected Move	7.0%	0.2%	10.3%	0.2%	10.3%
HV 20d	0.5%	0.1%	0.9%	0.9%	0.1%
HV 60d	1.5%	1.3%	1.6%	1.6%	1.3%
IV Rank	48.2%	0.2%	95.0%	0.2%	67.2%
IV Percentile	70.3%	0.8%	99.2%	0.8%	95.6%
Term Structure	-4.9%	-19.8%	0.2%	0.2%	-19.8%
VWIV	30.7%	22.3%	39.9%	38.7%	35.9%
Skew 25d	3.7%	0.3%	6.0%	4.7%	6.0%
Skew 10d	4.5%	2.9%	5.9%	4.1%	5.9%
Call IV 25d	5.2%	4.7%	6.0%	5.2%	4.7%
Put IV 25d	8.9%	6.3%	10.8%	9.9%	10.8%
Bid-Ask Spread %	28.71	14.25	73.49	73.49	14.40
Gamma HHI	0.73	0.69	0.78	0.69	0.70
Net GEX	-569.0K	-635.5K	-443.1K	-600.6K	-444.3K
Net DEX	596.3K	-1.3M	2.3M	1.4M	-1.3M
Net VEX	-29.7K	-38.1K	-24.8K	-38.1K	-24.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.10	3.53	4.55	3.53	4.55
Total Volume	669.375	655	689	689	655
Total OI	4,087.375	3,959	4,412	4,264	3,959

Daily Data (16 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
2015-02-03	$69.95	$0.00	0.6%	0.2%	0.9%	0.2%	38.7%	4.7%	0.2%	-600.6K	1.4M	-38.1K	3.53	73.49	N/A	N/A	152	537	788	3,476
2015-02-04	$69.95	$0.00	0.6%	0.2%	0.9%	0.2%	39.9%	4.8%	0.2%	-635.1K	2.3M	-36.6K	3.53	73.49	N/A	N/A	152	537	638	3,476
2015-02-05	$69.95	$100.00	0.6%	0.2%	0.8%	0.2%	22.3%	2.5%	-0.2%	-635.5K	2.3M	-36.4K	3.53	69.83	N/A	N/A	152	537	638	3,476
2015-02-06	$69.95	$100.00	0.7%	0.0%	0.6%	0.3%	24.4%	0.3%	-19.8%	-627.2K	1.2M	-31.2K	3.53	69.83	N/A	N/A	152	537	638	3,476
2015-02-09	$69.95	$100.00	48.1%	7.3%	0.6%	90.5%	25.4%	6.0%	0.0%	-623.1K	257.7K	-26.7K	3.53	14.25	N/A	N/A	152	537	638	3,476
2015-02-10	$69.95	$100.00	50.5%	7.6%	0.6%	95.0%	26.7%	0.0%	0.0%	-606.2K	1.2M	-30.3K	4.20	14.40	N/A	N/A	128	537	614	3,476
2015-02-11	$69.95	$100.00	27.0%	7.7%	0.6%	50.4%	27.1%	0.0%	0.0%	-611.5K	1.4M	-30.0K	4.20	14.40	N/A	N/A	128	537	592	3,476
2015-02-12	$69.95	$100.00	27.4%	7.9%	0.6%	51.1%	27.4%	0.0%	0.0%	-611.7K	1.4M	-29.7K	4.20	14.40	N/A	N/A	128	537	592	3,476
2015-02-13	$69.95	$100.00	27.8%	8.0%	0.6%	51.8%	27.8%	0.0%	0.0%	-612.1K	1.3M	-29.5K	4.20	14.40	N/A	N/A	128	537	592	3,476
2015-02-17	$69.95	$100.00	29.5%	8.5%	0.6%	55.1%	29.5%	0.0%	0.0%	-613.5K	1.3M	-28.6K	4.20	14.40	N/A	N/A	128	537	592	3,476
2015-02-18	$69.95	$100.00	30.0%	8.6%	0.5%	56.0%	30.0%	0.0%	0.0%	-613.9K	1.3M	-28.4K	4.20	14.40	N/A	N/A	128	537	592	3,476
2015-02-23	$69.95	$100.00	32.9%	9.4%	0.5%	61.5%	32.9%	0.0%	0.0%	-539.4K	-813.8K	-29.6K	4.55	14.40	N/A	N/A	118	537	936	3,476
2015-02-24	$69.95	$100.00	33.5%	9.6%	0.4%	62.8%	33.5%	0.0%	0.0%	-443.1K	-1.2M	-25.6K	4.55	14.40	N/A	N/A	118	537	931	3,028
2015-02-25	$69.95	$100.00	34.3%	9.8%	0.3%	64.1%	34.3%	0.0%	0.0%	-443.5K	-1.2M	-25.3K	4.55	14.40	N/A	N/A	118	537	931	3,028
2015-02-26	$69.95	$100.00	35.0%	10.0%	0.1%	65.6%	35.0%	0.0%	0.0%	-443.8K	-1.3M	-25.1K	4.55	14.40	N/A	N/A	118	537	931	3,028
2015-02-27	$69.95	$100.00	35.9%	10.3%	0.1%	67.2%	35.9%	0.0%	0.0%	-444.3K	-1.3M	-24.8K	4.55	14.40	N/A	N/A	118	537	931	3,028