PL Options History — March 2015

In March 2015, PL traded between $69.95 and $69.95. ATM implied volatility averaged 41.2%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 41.1% (HV 20d: 0.1%). Max pain ranged from $65.00 to $100.00. Net GEX was positive for 0 of 5 trading days. Term structure was in contango for 0 of 5 days. Put/call ratio averaged 4.55.

Notable Days

  • 2015-03-02: Highest Volume — 655 contracts
  • 2015-03-06: Largest IV spike — 3.5% change
  • 2015-03-06: Highest IV Rank — 82.5%
  • 2015-03-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.95$69.95$69.95$69.95$69.95
Max Pain$86.00$65.00$100.00$100.00$65.00
ATM IV41.2%38.7%43.9%38.7%43.9%
Expected Move11.4%11.1%11.8%11.1%11.8%
HV 20d0.1%0.1%0.1%0.1%0.1%
HV 60d1.3%1.3%1.3%1.3%1.3%
IV Rank77.3%72.6%82.5%72.6%82.5%
IV Percentile97.3%96.8%97.6%96.8%97.6%
Term Structure-1.9%-1.9%-1.8%-1.8%-1.9%
VWIV29.2%13.2%41.1%38.7%13.3%
Bid-Ask Spread %27.6814.4047.6114.4047.61
Gamma HHI0.690.690.690.690.69
Net GEX-446.4K-447.2K-445.6K-445.6K-447.2K
Net DEX-1.4M-1.4M-1.3M-1.3M-1.4M
Net VEX-22.1K-23.3K-21.4K-23.3K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.554.554.554.554.55
Total Volume655655655655655
Total OI3,9593,9593,9593,9593,959

Daily Data (5 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$69.95$100.0038.7%11.1%0.1%72.6%38.7%0.0%0.0%-445.6K-1.3M-23.3K4.5514.40N/AN/A1185379313,028
2015-03-03$69.95$100.0039.8%11.4%0.1%74.7%39.8%0.0%0.0%-445.9K-1.3M-22.2K4.5514.40N/AN/A1185379313,028
2015-03-04$69.95$100.0041.1%11.8%0.1%77.1%41.1%0.0%0.0%-446.4K-1.4M-21.9K4.5514.40N/AN/A1185379313,028
2015-03-05$69.95$65.0042.4%0.0%0.1%79.6%13.2%0.0%-1.8%-446.7K-1.4M-21.7K4.5547.61N/AN/A1185379313,028
2015-03-06$69.95$65.0043.9%0.0%0.0%82.5%13.3%0.0%-1.9%-447.2K-1.4M-21.4K4.5547.61N/AN/A1185379313,028