PBP Options History — July 2009 In July 2009, PBP traded between $17.96 and $19.47. ATM implied volatility averaged 37.5%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 21.6% (HV 20d: 15.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-07-13 : Highest Volume — 13 contracts2009-07-29 : Largest IV spike — 612.7% change2009-07-29 : Largest Expected Move — 35.4%Monthly Statistics Metric Avg Min Max Open Close Price $18.85 $17.96 $19.47 $18.65 $19.47 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 37.5% 8.7% 175.8% 25.6% 18.6% Expected Move 9.1% 2.5% 35.4% 7.3% 5.3% HV 20d 15.9% 11.2% 18.7% 11.2% 14.5% HV 60d 13.5% 12.3% 14.5% 12.3% 13.4% Term Structure -3.6% -80.7% 53.2% -8.9% -0.4% VWIV 15.1% 7.4% 22.8% 7.4% 22.8% Bid-Ask Spread % 154.42 73.17 200.00 124.03 128.10 Gamma HHI 0.51 0.36 0.71 0.45 0.60 Net GEX -433 -2.3K 479 -555 -727 Net DEX -9.3K -38.9K 32.5K 14.7K -38.9K Net VEX -206 -284 0 -282 -186 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 0.636 0 13 0 0 Total OI 82.273 0 115 92 94
Daily Data (22 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 2009-07-01 $18.65 $17.50 25.6% 7.3% 11.2% 0.0% 0.0% 0.0% -8.9% -555 14.7K -282 0.00 124.03 N/A N/A 0 0 31 61 2009-07-02 $18.26 $17.50 45.6% 13.1% 13.4% 0.0% 0.0% 0.0% -28.9% -1.2K 26.7K -246 0.00 176.98 N/A N/A 0 0 31 61 2009-07-06 $18.31 $0.00 175.8% 27.9% 13.5% 0.0% 0.0% 0.0% -28.3% -552 17.7K -284 0.00 191.04 N/A N/A 0 0 31 61 2009-07-07 $18.03 $0.00 23.8% 18.1% 13.8% 0.0% 0.0% 0.0% -80.7% -2.3K 32.5K -222 0.00 137.66 N/A N/A 0 0 31 61 2009-07-08 $17.97 $0.00 47.2% 7.3% 13.8% 0.0% 0.0% 0.0% -9.4% -1.5K 29.3K -221 0.00 147.96 N/A N/A 0 0 31 61 2009-07-09 $18.07 $0.00 11.5% 3.3% 13.7% 0.0% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-07-10 $17.96 $0.00 61.7% 17.7% 13.5% 0.0% 0.0% 0.0% 53.2% -1.7K 23.6K -258 0.00 186.99 N/A N/A 0 0 31 61 2009-07-13 $18.43 $0.00 78.7% 4.7% 16.7% 0.0% 7.4% 0.0% 18.3% -1.2K 23.3K -224 0.00 164.16 N/A N/A 13 0 31 61 2009-07-14 $18.53 $0.00 10.9% 3.1% 16.8% 0.0% 0.0% 0.0% 0.0% 0 0 0 0.00 0.00 N/A N/A 0 0 0 0 2009-07-15 $18.96 $0.00 8.7% 2.5% 18.7% 0.0% 0.0% 0.0% 0.0% 0 0 0 0.00 0.00 N/A N/A 0 0 0 0 2009-07-16 $19.05 $17.50 13.8% 3.9% 18.6% 0.0% 0.0% 0.0% 8.2% 479 -31.3K -215 0.00 145.13 N/A N/A 0 0 54 61 2009-07-17 $19.04 $17.50 20.9% 6.0% 18.4% 0.0% 0.0% 0.0% 9.6% 338 -28.7K -236 0.00 162.58 N/A N/A 0 0 54 61 2009-07-20 $19.22 $17.50 21.2% 6.1% 18.3% 0.0% 0.0% 0.0% 18.0% 479 -26.5K -268 0.00 168.51 N/A N/A 0 0 43 50 2009-07-21 $19.23 $17.50 12.0% 3.5% 17.0% 0.0% 0.0% 0.0% 14.0% 19 -30.5K -250 0.00 161.67 N/A N/A 0 0 43 50 2009-07-22 $19.19 $17.50 18.4% 5.3% 17.0% 0.0% 0.0% 0.0% 11.6% -158 -29.5K -221 0.00 155.56 N/A N/A 0 0 43 50 2009-07-23 $19.38 $17.50 27.8% 8.0% 17.1% 0.0% 22.8% 0.0% -4.2% -46 -30.6K -232 0.00 163.95 N/A N/A 1 0 43 50 2009-07-24 $19.36 $17.50 25.3% 7.3% 17.0% 0.0% 0.0% 0.0% -3.8% 66 -31.3K -236 0.00 162.22 N/A N/A 0 0 44 50 2009-07-27 $19.43 $17.50 20.7% 5.9% 17.0% 0.0% 0.0% 0.0% -1.9% 100 -32.8K -244 0.00 130.98 N/A N/A 0 0 44 50 2009-07-28 $19.42 $17.50 17.3% 5.0% 17.0% 0.0% 0.0% 0.0% 0.0% -634 -37.2K -197 0.00 122.25 N/A N/A 0 0 44 50 2009-07-29 $19.39 $17.50 123.4% 35.4% 16.9% 0.0% 0.0% 0.0% -41.5% -70 -20.3K -273 0.00 185.44 N/A N/A 0 0 44 50 2009-07-30 $19.42 $17.50 16.0% 4.6% 16.9% 0.0% 0.0% 0.0% 6.1% -275 -33.8K -229 0.00 73.17 N/A N/A 0 0 44 50 2009-07-31 $19.47 $17.50 18.6% 5.3% 14.5% 0.0% 0.0% 0.0% -0.4% -727 -38.9K -186 0.00 128.10 N/A N/A 0 0 44 50
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