PL Options History — September 2022

In September 2022, PL traded between $5.01 and $7.15. ATM implied volatility averaged 89.6%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 3.9% (HV 20d: 85.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2022-09-14: Highest Volume — 10,077 contracts
  • 2022-09-13: Largest IV drop — 39.8% change
  • 2022-09-12: Highest IV Rank — 98.1%
  • 2022-09-02: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.78$5.01$7.15$5.03$5.46
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV89.6%72.0%159.3%95.6%78.9%
Expected Move23.1%20.6%27.5%27.4%22.6%
HV 20d85.7%62.4%102.7%62.7%96.3%
HV 60d67.0%58.5%71.8%64.2%71.8%
IV Rank55.0%44.1%98.1%58.8%48.4%
IV Percentile47.9%24.6%99.6%63.5%31.7%
Term Structure-1.0%-12.7%7.1%-12.7%-8.7%
VWIV83.4%74.2%95.7%95.6%86.1%
Skew 25d-3.5%-14.7%13.9%-14.7%-14.7%
Skew 10d4.0%-18.1%32.1%-14.3%1.8%
Call IV 25d83.8%65.9%94.3%89.8%90.9%
Put IV 25d80.3%72.3%91.6%75.1%76.2%
Bid-Ask Spread %14.368.5823.4612.0710.97
Gamma HHI0.410.370.550.390.42
Net GEX63.6K26.7K156.2K26.7K50.8K
Net DEX-2.9M-6.8M-1.2M-1.2M-2.2M
Net VEX-17.4K-28.3K-11.1K-12.2K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.031.420.351.16
Total Volume1,653.61914110,0771,0251,072
Total OI26,270.14322,53332,60022,53327,882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$5.03$5.0095.6%27.4%62.7%58.8%95.6%-14.7%-12.7%26.7K-1.2M-12.2K0.3512.07N/AN/A75726818,2434,290
2022-09-02$5.01$5.0095.8%27.5%62.4%58.9%95.7%-13.0%-12.1%27.2K-1.3M-12.5K0.0317.35N/AN/A5251518,4194,429
2022-09-06$5.21$5.00109.1%24.4%64.6%67.1%85.3%-4.9%-0.5%31.3K-1.6M-12.3K1.4213.90N/AN/A21430418,5634,437
2022-09-07$5.40$5.00103.5%24.2%65.6%63.6%84.1%-0.1%-0.4%34.9K-1.9M-12.8K0.6112.71N/AN/A27516918,5954,556
2022-09-08$5.19$5.00108.0%24.5%65.8%66.4%85.7%8.7%-3.7%29.3K-1.6M-11.9K0.7012.54N/AN/A835818,6044,551
2022-09-09$5.37$5.00114.7%23.3%66.9%70.6%87.8%-3.5%1.9%32.7K-1.8M-13.0K0.0414.44N/AN/A2311018,6274,603
2022-09-12$5.41$5.00159.3%25.6%64.6%98.1%89.8%0.9%-3.3%31.9K-1.7M-11.1K0.7112.40N/AN/A58641618,8104,604
2022-09-13$6.14$5.0096.0%21.7%80.1%59.0%79.3%-4.8%7.1%59.7K-3.3M-14.0K0.3017.51N/AN/A4,2701,28119,1314,845
2022-09-14$7.07$5.0079.1%22.7%93.5%48.6%79.7%7.8%0.9%156.2K-5.7M-20.9K0.0620.53N/AN/A9,52854920,9785,504
2022-09-15$7.15$5.0076.5%21.9%92.1%46.9%76.8%7.3%0.4%122.5K-6.8M-28.3K0.1210.22N/AN/A4,55055426,3135,628
2022-09-16$6.56$5.0075.3%21.6%97.6%46.2%74.4%-6.6%4.7%103.7K-5.0M-25.1K0.769.20N/AN/A72254926,7945,806
2022-09-19$6.67$5.0077.5%22.2%92.3%47.6%76.4%13.9%-0.5%112.8K-5.1M-24.9K1.308.58N/AN/A29438123,1693,657
2022-09-20$6.08$5.0074.5%21.3%97.8%45.7%78.9%-5.5%4.8%83.8K-3.4M-21.3K0.4614.32N/AN/A34415923,3133,712
2022-09-21$6.08$5.0075.7%21.7%97.8%46.4%83.3%-4.0%0.8%68.1K-3.3M-19.9K0.0614.09N/AN/A1,3157623,4093,708
2022-09-22$5.66$5.0072.0%20.6%100.8%44.1%79.2%-9.9%5.0%63.6K-2.6M-19.0K0.2123.46N/AN/A63913224,0193,685
2022-09-23$5.57$5.0073.1%21.0%99.6%44.8%74.2%-7.6%0.0%59.3K-2.5M-18.5K0.3115.48N/AN/A40012324,1163,721
2022-09-26$5.62$5.0080.0%22.9%98.6%49.1%83.6%-5.3%-2.4%61.9K-2.6M-18.4K1.0814.53N/AN/A47951723,9213,741
2022-09-27$5.54$5.0079.2%22.7%98.6%48.6%88.4%-8.2%-1.6%58.2K-2.4M-17.6K1.2814.96N/AN/A37948523,9783,769
2022-09-28$5.81$5.0081.0%23.2%100.0%49.7%79.2%-3.0%-2.6%70.4K-2.9M-18.7K1.3316.12N/AN/A36548723,9623,769
2022-09-29$5.44$5.0076.7%22.0%102.7%47.1%87.1%-7.0%2.5%51.1K-2.2M-16.6K0.9916.22N/AN/A58558024,0383,774
2022-09-30$5.46$5.0078.9%22.6%96.3%48.4%86.1%-14.7%-8.7%50.8K-2.2M-16.7K1.1610.97N/AN/A49757524,0073,875