PBP Options History — May 2009 In May 2009, PBP traded between $17.63 and $18.29. ATM implied volatility averaged 61.0%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 48.9% (HV 20d: 12.1%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-05-21 : Highest Volume — 1 contracts2009-05-13 : Largest IV spike — 243.3% change2009-05-04 : Largest Expected Move — 24.7%Monthly Statistics Metric Avg Min Max Open Close Price $18.01 $17.63 $18.29 $17.63 $18.29 ATM IV 61.0% 23.8% 184.3% 68.8% 23.8% Expected Move 12.2% 6.5% 24.7% 19.7% 6.8% HV 20d 12.1% 9.2% 14.1% 13.8% 10.1% Term Structure 24.2% -31.5% 70.7% -31.5% 25.4% VWIV 17.2% 17.2% 17.2% 17.2% 17.2% Bid-Ask Spread % 179.06 138.12 196.36 186.16 161.78 Gamma HHI 0.60 0.44 0.87 0.54 0.71 Net GEX -899 -1.2K -557 -825 -1.1K Net DEX 29.2K 20.2K 39.9K 32.9K 20.2K Net VEX -341 -384 -285 -367 -307 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 0.05 0 1 0 0 Total OI 92 92 92 92 92
Daily Data (20 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 2009-05-01 $17.63 $0.00 68.8% 19.7% 13.8% 0.0% 0.0% 0.0% -31.5% -825 32.9K -367 0.00 186.16 N/A N/A 0 0 31 61 2009-05-04 $17.79 $0.00 138.3% 24.7% 13.9% 0.0% 0.0% 0.0% -11.7% -699 26.5K -384 0.00 196.36 N/A N/A 0 0 31 61 2009-05-05 $17.86 $0.00 158.9% 16.2% 13.9% 0.0% 0.0% 0.0% 57.1% -688 25.3K -384 0.00 194.35 N/A N/A 0 0 31 61 2009-05-06 $17.91 $0.00 44.3% 6.6% 13.8% 0.0% 0.0% 0.0% 6.2% -997 38.9K -287 0.00 180.61 N/A N/A 0 0 31 61 2009-05-07 $17.90 $0.00 52.5% 6.5% 13.6% 0.0% 0.0% 0.0% 8.3% -968 39.9K -285 0.00 163.45 N/A N/A 0 0 31 61 2009-05-08 $17.97 $0.00 45.7% 6.7% 13.6% 0.0% 0.0% 0.0% 10.9% -920 36.6K -297 0.00 138.12 N/A N/A 0 0 31 61 2009-05-11 $17.97 $0.00 64.3% 18.4% 13.6% 0.0% 0.0% 0.0% 64.1% -1.0K 30.1K -346 0.00 194.44 N/A N/A 0 0 31 61 2009-05-12 $18.00 $0.00 53.7% 15.4% 13.5% 0.0% 0.0% 0.0% 62.7% -707 24.5K -375 0.00 194.35 N/A N/A 0 0 31 61 2009-05-13 $18.08 $0.00 184.3% 11.5% 13.6% 0.0% 0.0% 0.0% 28.9% -857 27.6K -361 0.00 188.72 N/A N/A 0 0 31 61 2009-05-14 $17.96 $0.00 51.8% 14.8% 13.9% 0.0% 0.0% 0.0% 15.1% -1.0K 31.7K -349 0.00 194.35 N/A N/A 0 0 31 61 2009-05-15 $17.84 $0.00 44.0% 12.6% 14.1% 0.0% 0.0% 0.0% 42.4% -629 25.3K -369 0.00 194.69 N/A N/A 0 0 31 61 2009-05-18 $18.18 $0.00 29.2% 8.4% 10.8% 0.0% 0.0% 0.0% 20.4% -920 27.8K -353 0.00 170.19 N/A N/A 0 0 31 61 2009-05-19 $18.21 $0.00 28.4% 8.1% 10.7% 0.0% 0.0% 0.0% 9.2% -1.1K 28.6K -335 0.00 174.13 N/A N/A 0 0 31 61 2009-05-20 $18.18 $0.00 26.5% 7.6% 10.0% 0.0% 0.0% 0.0% 16.1% -1.1K 29.9K -337 0.00 167.62 N/A N/A 0 0 31 61 2009-05-21 $18.13 $0.00 49.5% 14.2% 9.2% 0.0% 17.2% 0.0% 53.8% -623 22.1K -367 0.00 192.59 N/A N/A 1 0 31 61 2009-05-22 $17.96 $0.00 29.2% 8.4% 10.1% 0.0% 0.0% 0.0% 12.3% -1.1K 33.6K -325 0.00 180.08 N/A N/A 0 0 31 61 2009-05-26 $18.06 $0.00 69.7% 20.0% 10.2% 0.0% 0.0% 0.0% 70.7% -557 20.5K -359 0.00 193.07 N/A N/A 0 0 31 61 2009-05-27 $18.04 $0.00 33.3% 9.5% 10.3% 0.0% 0.0% 0.0% 16.1% -992 31.1K -328 0.00 174.81 N/A N/A 0 0 31 61 2009-05-28 $18.20 $0.00 24.3% 7.0% 10.1% 0.0% 0.0% 0.0% 7.5% -1.2K 30.1K -309 0.00 141.22 N/A N/A 0 0 31 61 2009-05-29 $18.29 $0.00 23.8% 6.8% 10.1% 0.0% 0.0% 0.0% 25.4% -1.1K 20.2K -307 0.00 161.78 N/A N/A 0 0 31 61
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