PBP Options History — August 2009 In August 2009, PBP traded between $19.45 and $19.82. ATM implied volatility averaged 50.8%. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 44.3% (HV 20d: 6.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-08-26 : Highest Volume — 2 contracts2009-08-12 : Largest IV spike — 2341.1% change2009-08-20 : Largest Expected Move — 32.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.63 $19.45 $19.82 $19.45 $19.70 Max Pain $17.73 $17.50 $20.00 $17.50 $17.50 ATM IV 50.8% 6.7% 172.3% 16.3% 22.0% Expected Move 12.3% 1.9% 32.1% 4.7% 6.3% HV 20d 6.6% 2.8% 14.6% 14.6% 4.0% HV 60d 12.6% 11.6% 13.4% 13.4% 11.7% Term Structure 7.9% -33.1% 62.8% 3.9% 42.9% VWIV 20.8% 6.7% 42.6% 13.1% 42.6% Bid-Ask Spread % 183.11 119.21 200.00 119.21 200.00 Gamma HHI 0.71 0.35 1.00 0.38 1.00 Net GEX -37 -585 426 -298 33 Net DEX -12.1K -37.7K 7.1K -34.2K -1.5K Net VEX -106 -254 0 -225 -4 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 0.19 0 2 0 0 Total OI 43.381 0 95 94 1
Daily Data (21 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 2009-08-03 $19.45 $17.50 16.3% 4.7% 14.6% 0.0% 0.0% 0.0% 3.9% -298 -34.2K -225 0.00 119.21 N/A N/A 0 0 44 50 2009-08-04 $19.49 $20.00 13.1% 3.8% 12.8% 0.0% 13.1% 0.0% 0.0% 138 -610 -2 0.00 200.00 N/A N/A 1 0 1 0 2009-08-05 $19.55 $0.00 6.7% 1.9% 12.6% 0.0% 6.7% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 1 0 0 0 2009-08-06 $19.53 $17.50 53.5% 15.3% 12.7% 0.0% 0.0% 0.0% -22.8% 426 -29.9K -246 0.00 170.18 N/A N/A 0 0 45 50 2009-08-07 $19.57 $0.00 155.4% 26.3% 12.1% 0.0% 0.0% 0.0% -21.3% -50 -23.8K -254 0.00 184.62 N/A N/A 0 0 45 50 2009-08-10 $19.59 $17.50 0.0% 0.0% 9.1% 0.0% 0.0% 0.0% 0.0% 32 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-11 $19.54 $17.50 7.1% 2.0% 9.3% 0.0% 0.0% 0.0% 0.0% 29 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-12 $19.59 $0.00 172.3% 27.9% 5.4% 0.0% 0.0% 0.0% -24.6% -3 -24.3K -241 0.00 182.67 N/A N/A 0 0 45 50 2009-08-13 $19.60 $0.00 23.0% 6.6% 5.3% 0.0% 0.0% 0.0% 56.1% 150 -35.5K -220 0.00 158.24 N/A N/A 0 0 45 50 2009-08-14 $19.57 $0.00 28.4% 8.1% 5.3% 0.0% 0.0% 0.0% 47.8% 396 -32.6K -222 0.00 164.19 N/A N/A 0 0 45 50 2009-08-17 $19.57 $17.50 6.7% 1.9% 4.4% 0.0% 0.0% 0.0% 0.0% 29 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-18 $19.60 $17.50 0.0% 0.0% 4.4% 0.0% 0.0% 0.0% 0.0% 33 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-19 $19.60 $17.50 0.0% 0.0% 4.3% 0.0% 0.0% 0.0% 0.0% 33 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-20 $19.61 $0.00 111.9% 32.1% 2.8% 0.0% 0.0% 0.0% -32.8% -336 -37.0K -200 0.00 184.40 N/A N/A 0 0 45 50 2009-08-21 $19.69 $0.00 111.2% 31.9% 3.0% 0.0% 0.0% 0.0% -33.1% -331 -37.7K -197 0.00 184.13 N/A N/A 0 0 45 50 2009-08-24 $19.67 $17.50 29.1% 0.0% 2.8% 0.0% 0.0% 0.0% 0.0% 33 -1.5K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-25 $19.78 $0.00 18.4% 5.3% 3.3% 0.0% 0.0% 0.0% 62.8% -576 7.1K -191 0.00 148.72 N/A N/A 0 0 21 50 2009-08-26 $19.81 $0.00 38.5% 11.0% 3.2% 0.0% 42.6% 0.0% 42.9% -585 6.8K -189 0.00 165.86 N/A N/A 2 0 21 50 2009-08-27 $19.80 $0.00 22.0% 6.3% 3.2% 0.0% 0.0% 0.0% 0.0% 32 -1.5K -4 0.00 0.00 N/A N/A 0 0 1 0 2009-08-28 $19.82 $17.50 0.0% 0.0% 3.2% 0.0% 0.0% 0.0% 0.0% 32 -1.5K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-08-31 $19.70 $17.50 0.0% 0.0% 4.0% 0.0% 0.0% 0.0% 0.0% 33 -1.5K -4 0.00 200.00 N/A N/A 0 0 1 0
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