PBP Options History — March 2009 In March 2009, PBP traded between $16.88 and $17.17. ATM implied volatility averaged 83.6%. The 30-day expected move averaged 24.0%. Net GEX was positive for 0 of 3 trading days. Term structure was in contango for 1 of 3 days. Put/call ratio averaged 0.00.
Notable Days 2009-03-27 : Highest Volume — 30 contracts2009-03-30 : Largest IV spike — 164.1% change2009-03-30 : Largest Expected Move — 42.4%Monthly Statistics Metric Avg Min Max Open Close Price $17.04 $16.88 $17.17 $17.17 $17.06 ATM IV 83.6% 47.0% 147.8% 56.0% 47.0% Expected Move 24.0% 13.5% 42.4% 16.0% 13.5% Term Structure -5.2% -37.0% 43.4% -22.0% 43.4% Bid-Ask Spread % 190.77 185.53 194.06 185.53 194.06 Gamma HHI 0.42 0.34 0.51 0.34 0.51 Net GEX -477 -831 0 0 -601 Net DEX 17.4K 0 28.0K 0 24.4K Net VEX -96 -162 0 0 -162 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 13.333 0 30 30 0 Total OI 23.333 0 40 0 40
Daily Data (3 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 2009-03-27 $17.17 $0.00 56.0% 16.0% 0.0% 0.0% 0.0% 0.0% -22.0% 0 0 0 0.00 185.53 N/A N/A 0 30 0 0 2009-03-30 $16.88 $0.00 147.8% 42.4% 0.0% 0.0% 0.0% 0.0% -37.0% -831 28.0K -127 0.00 192.71 N/A N/A 10 0 0 30 2009-03-31 $17.06 $0.00 47.0% 13.5% 0.0% 0.0% 0.0% 0.0% 43.4% -601 24.4K -162 0.00 194.06 N/A N/A 0 0 10 30
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