PBP Options History — October 2009 In October 2009, PBP traded between $19.53 and $20.69. ATM implied volatility averaged 42.2%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 25.6% (HV 20d: 16.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 7 of 22 days.
Notable Days 2009-10-05 : Largest IV spike — 514.5% change2009-10-08 : Highest IV Rank — 100.0%2009-10-16 : Largest Expected Move — 28.3%Monthly Statistics Metric Avg Min Max Open Close Price $20.23 $19.53 $20.69 $19.58 $19.93 Max Pain $18.13 $17.50 $20.00 $20.00 $17.50 ATM IV 42.2% 9.2% 193.8% 27.5% 26.8% Expected Move 9.0% 2.6% 28.3% 7.9% 7.7% HV 20d 16.6% 15.1% 18.4% 15.6% 18.3% HV 60d 12.0% 10.9% 14.2% 12.4% 14.2% IV Rank 20.2% 1.3% 100.0% 49.2% 10.8% IV Percentile 39.9% 4.2% 100.0% 72.2% 30.3% Term Structure 5.1% -35.8% 38.7% -4.5% -5.0% Bid-Ask Spread % 192.09 150.22 200.00 150.22 196.88 Gamma HHI 0.87 0.41 1.00 0.77 1.00 Net GEX -534 -4.1K 37 -1.4K 0 Net DEX -4.0K -24.2K 779 -2.0K 0 Net VEX -15 -81 0 -59 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 22.727 0 71 71 0
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 2009-10-01 $19.58 $20.00 27.5% 7.9% 15.6% 0.0% 0.0% 0.0% -4.5% -1.4K -2.0K -59 0.00 150.22 N/A N/A 0 0 21 50 2009-10-02 $19.53 $0.00 15.7% 4.5% 15.1% 0.0% 0.0% 0.0% 0.0% 37 -1.5K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-10-05 $19.87 $0.00 96.7% 12.5% 16.0% 49.2% 0.0% 0.0% 4.3% -864 779 -81 0.00 196.36 N/A N/A 0 0 21 50 2009-10-06 $20.07 $0.00 43.2% 6.6% 16.3% 20.0% 0.0% 0.0% 34.8% -1.2K -11.5K -54 0.00 166.22 N/A N/A 0 0 21 50 2009-10-07 $20.07 $0.00 39.6% 5.9% 16.1% 18.0% 0.0% 0.0% 38.7% -1.3K -12.5K -48 0.00 161.76 N/A N/A 0 0 21 50 2009-10-08 $20.18 $0.00 193.8% 25.6% 16.2% 100.0% 0.0% 0.0% -29.2% -1.8K -16.9K -40 0.00 196.36 N/A N/A 0 0 21 50 2009-10-09 $20.32 $17.50 14.2% 4.1% 15.8% 4.0% 0.0% 0.0% 14.5% 30 -1.7K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-10-12 $20.33 $0.00 68.6% 7.6% 15.6% 33.1% 0.0% 0.0% 24.1% -1.1K -15.8K -36 0.00 167.50 N/A N/A 0 0 21 50 2009-10-13 $20.37 $17.50 13.6% 3.9% 15.6% 3.7% 0.0% 0.0% 15.3% 30 -1.7K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-10-14 $20.46 $17.50 11.5% 3.3% 15.6% 2.6% 0.0% 0.0% 17.0% 29 -1.7K -3 0.00 200.00 N/A N/A 0 0 1 0 2009-10-15 $20.44 $0.00 28.7% 8.2% 15.6% 11.8% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-16 $20.20 $0.00 98.8% 28.3% 16.1% 49.2% 0.0% 0.0% -35.8% -4.1K -24.2K -10 0.00 194.25 N/A N/A 0 0 20 50 2009-10-19 $20.69 $0.00 28.1% 8.0% 18.1% 11.4% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-20 $20.54 $0.00 28.8% 8.2% 18.4% 11.8% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-21 $20.47 $0.00 29.1% 8.4% 18.4% 12.0% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-22 $20.60 $0.00 28.7% 8.2% 17.7% 11.7% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-23 $20.46 $0.00 29.3% 8.4% 17.7% 12.1% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-26 $20.31 $0.00 30.3% 8.7% 16.5% 12.6% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-27 $20.27 $0.00 30.5% 8.7% 16.4% 12.7% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-28 $19.93 $0.00 9.2% 2.6% 17.6% 1.3% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-10-29 $20.34 $0.00 35.8% 10.3% 16.5% 15.5% 0.0% 0.0% -13.1% 0 0 0 0.00 196.36 N/A N/A 0 0 0 0 2009-10-30 $19.93 $0.00 26.8% 7.7% 18.3% 10.8% 0.0% 0.0% -5.0% 0 0 0 0.00 196.88 N/A N/A 0 0 0 0
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