PBP Options History — November 2009 In November 2009, PBP traded between $20.03 and $21.21. ATM implied volatility averaged 64.6%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 47.8% (HV 20d: 16.8%). Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 1 of 18 days.
Notable Days 2009-11-13 : Largest IV spike — 224.5% change2009-11-02 : Highest IV Rank — 69.4%2009-11-02 : Largest Expected Move — 39.2%Monthly Statistics Metric Avg Min Max Open Close Price $20.73 $20.03 $21.21 $20.03 $20.97 ATM IV 64.6% 29.4% 136.6% 136.6% 126.0% Expected Move 18.5% 8.4% 39.2% 39.2% 36.1% HV 20d 16.8% 14.3% 18.5% 17.3% 14.3% HV 60d 14.8% 14.3% 15.0% 14.3% 14.8% IV Rank 30.9% 12.2% 69.4% 69.4% 63.8% IV Percentile 57.8% 38.6% 85.6% 85.6% 85.3% Term Structure -25.1% -60.5% 19.5% -49.1% -60.5% Bid-Ask Spread % 194.77 175.04 200.00 196.79 190.75 Gamma HHI 0.50 0.50 0.50 0.50 0.50 Net GEX -58 -540 0 0 -496 Net DEX 2.1K 0 19.2K 0 19.2K Net VEX -15 -131 0 0 -130 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2.222 0 20 0 20
Daily Data (18 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 2009-11-02 $20.03 $0.00 136.6% 39.2% 17.3% 69.4% 0.0% 0.0% -49.1% 0 0 0 0.00 196.79 N/A N/A 0 0 0 0 2009-11-03 $20.10 $0.00 31.9% 9.2% 17.0% 13.5% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-04 $20.12 $0.00 31.9% 9.2% 17.0% 13.5% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-05 $20.46 $0.00 31.4% 9.0% 17.9% 13.2% 0.0% 0.0% -0.9% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-06 $20.45 $0.00 30.6% 8.8% 17.8% 12.8% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-09 $20.74 $0.00 29.6% 8.5% 18.4% 12.3% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-10 $20.74 $0.00 29.7% 8.5% 18.4% 12.3% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-11 $20.83 $0.00 29.4% 8.4% 18.4% 12.2% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-12 $20.75 $0.00 29.9% 8.6% 18.5% 12.4% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-13 $20.79 $0.00 97.0% 27.8% 17.9% 48.2% 0.0% 0.0% -22.3% 0 0 0 0.00 191.04 N/A N/A 0 0 0 0 2009-11-16 $20.94 $0.00 100.9% 28.9% 16.0% 50.3% 0.0% 0.0% -24.1% 0 0 0 0.00 191.04 N/A N/A 0 0 0 0 2009-11-17 $20.89 $0.00 33.3% 9.5% 15.7% 14.2% 0.0% 0.0% 19.5% 0 0 0 0.00 175.04 N/A N/A 0 0 0 0 2009-11-18 $20.98 $0.00 104.0% 29.8% 15.7% 52.0% 0.0% 0.0% -25.7% 0 0 0 0.00 190.77 N/A N/A 0 0 0 0 2009-11-19 $20.93 $0.00 59.0% 16.9% 15.6% 28.0% 0.0% 0.0% -26.9% 0 0 0 0.00 191.21 N/A N/A 0 0 0 0 2009-11-20 $21.00 $0.00 107.4% 30.8% 15.4% 53.8% 0.0% 0.0% -27.7% 0 0 0 0.00 190.77 N/A N/A 0 0 0 0 2009-11-23 $21.15 $0.00 36.6% 10.5% 15.2% 16.0% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2009-11-25 $21.21 $0.00 117.4% 33.6% 15.1% 59.1% 0.0% 0.0% -33.0% -540 19.1K -131 0.00 188.44 N/A N/A 0 0 0 20 2009-11-27 $20.97 $0.00 126.0% 36.1% 14.3% 63.8% 0.0% 0.0% -60.5% -496 19.2K -130 0.00 190.75 N/A N/A 0 0 0 20
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