PBP Options History — September 2009 In September 2009, PBP traded between $19.36 and $20.21. ATM implied volatility averaged 48.7%. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 38.5% (HV 20d: 10.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2009-09-08 : Highest Volume — 4 contracts2009-09-16 : Largest IV spike — 416.0% change2009-09-28 : Largest Expected Move — 39.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.94 $19.36 $20.21 $19.39 $20.07 Max Pain $18.69 $17.50 $20.00 $17.50 $20.00 ATM IV 48.7% 7.2% 180.0% 9.8% 41.3% Expected Move 13.3% 2.1% 39.1% 2.8% 11.8% HV 20d 10.2% 6.9% 14.0% 7.0% 12.4% HV 60d 11.9% 11.2% 12.3% 12.1% 11.2% Term Structure -26.7% -55.8% 12.6% -44.1% -12.2% VWIV 98.4% 98.4% 98.4% 98.4% 98.4% Bid-Ask Spread % 190.80 142.96 200.00 200.00 142.96 Gamma HHI 0.82 0.34 1.00 1.00 0.65 Net GEX -234 -1.3K 583 33 -1.1K Net DEX -136 -11.2K 13.1K -1.4K -9.8K Net VEX -48 -167 -3 -4 -72 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 0.286 0 4 0 0 Total OI 27.667 1 73 1 71
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 2009-09-01 $19.39 $17.50 9.8% 2.8% 7.0% 0.0% 0.0% 0.0% 0.0% 33 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-09-02 $19.36 $20.00 16.5% 4.7% 6.9% 0.0% 0.0% 0.0% 0.0% 279 -2.3K -7 0.00 200.00 N/A N/A 0 0 3 0 2009-09-03 $19.57 $17.50 7.2% 2.1% 8.0% 0.0% 0.0% 0.0% 0.0% 30 -1.4K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-09-04 $19.77 $17.50 0.0% 0.0% 8.7% 0.0% 0.0% 0.0% 0.0% 33 -1.5K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-09-08 $19.84 $20.00 180.0% 27.5% 8.8% 0.0% 98.4% 0.0% -44.1% -541 4.3K -167 0.00 184.97 N/A N/A 4 0 23 50 2009-09-09 $19.98 $17.50 7.9% 0.0% 9.0% 0.0% 0.0% 0.0% 0.0% 32 -1.5K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-09-10 $19.96 $17.50 22.1% 6.3% 9.0% 0.0% 0.0% 0.0% 0.0% 33 -1.6K -4 0.00 200.00 N/A N/A 0 0 1 0 2009-09-11 $20.21 $17.50 19.7% 5.7% 9.9% 0.0% 0.0% 0.0% 0.0% 31 -1.6K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-09-14 $20.08 $17.50 21.3% 6.1% 10.2% 0.0% 0.0% 0.0% 0.0% 32 -1.6K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-09-15 $20.14 $17.50 20.7% 5.9% 10.3% 0.0% 0.0% 0.0% 0.0% 32 -1.6K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-09-16 $20.10 $20.00 107.0% 30.7% 10.3% 0.0% 0.0% 0.0% -52.6% 97 2.3K -145 0.00 181.86 N/A N/A 0 0 23 50 2009-09-17 $20.14 $20.00 108.7% 31.2% 10.3% 0.0% 0.0% 0.0% -53.8% -240 1.9K -143 0.00 181.44 N/A N/A 0 0 23 50 2009-09-18 $20.02 $20.00 110.6% 31.7% 10.6% 0.0% 0.0% 0.0% -55.8% 583 2.1K -140 0.00 185.19 N/A N/A 2 0 23 50 2009-09-21 $20.05 $17.50 16.7% 4.8% 10.6% 0.0% 0.0% 0.0% 11.8% 31 -1.6K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-09-22 $20.11 $17.50 16.1% 4.6% 10.6% 0.0% 0.0% 0.0% 12.3% 31 -1.6K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-09-23 $20.14 $17.50 15.7% 4.5% 10.5% 0.0% 0.0% 0.0% 12.6% 31 -1.6K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-09-24 $19.86 $20.00 59.5% 17.1% 11.7% 0.0% 0.0% 0.0% -40.4% -1.2K 10.1K -62 0.00 200.00 N/A N/A 0 0 11 20 2009-09-25 $19.72 $20.00 27.1% 7.8% 12.0% 0.0% 0.0% 0.0% 0.0% -1.2K 13.1K -60 0.00 200.00 N/A N/A 0 0 11 20 2009-09-28 $20.12 $20.00 136.3% 39.1% 14.0% 0.0% 0.0% 0.0% -54.7% -592 3.5K -114 0.00 179.27 N/A N/A 0 0 21 50 2009-09-29 $20.02 $20.00 30.3% 8.7% 13.9% 0.0% 0.0% 0.0% -16.1% -1.3K -11.2K -64 0.00 151.18 N/A N/A 0 0 21 50 2009-09-30 $20.07 $20.00 41.3% 11.8% 12.4% 0.0% 0.0% 0.0% -12.2% -1.1K -9.8K -72 0.00 142.96 N/A N/A 0 0 21 50
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