PBP Options History — December 2009 In December 2009, PBP traded between $21.15 and $21.59. ATM implied volatility averaged 63.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 54.7% (HV 20d: 8.7%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days.
Notable Days 2009-12-21 : Largest IV spike — 413.8% change2009-12-29 : Highest IV Rank — 64.2%2009-12-29 : Largest Expected Move — 36.3%Monthly Statistics Metric Avg Min Max Open Close Price $21.38 $21.15 $21.59 $21.20 $21.51 ATM IV 63.4% 20.6% 126.8% 42.9% 109.2% Expected Move 16.8% 5.9% 36.3% 12.3% 31.3% HV 20d 8.7% 7.4% 13.0% 13.0% 7.5% HV 60d 14.4% 13.4% 14.9% 14.9% 13.4% IV Rank 30.3% 7.4% 64.2% 19.4% 54.8% IV Percentile 54.2% 16.7% 86.7% 48.8% 78.6% Term Structure -29.5% -92.1% -4.0% -24.0% -33.6% Bid-Ask Spread % 158.58 120.41 175.15 169.28 174.86 Gamma HHI 0.50 0.50 0.50 0.50 0.50 Net GEX -819 -1.2K -549 -923 -581 Net DEX 19.8K 18.7K 20.9K 20.7K 18.9K Net VEX -123 -127 -114 -125 -121 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 20 20 20 20 20
Daily Data (19 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 2009-12-01 $21.20 $0.00 42.9% 12.3% 13.0% 19.4% 0.0% 0.0% -24.0% -923 20.7K -125 0.00 169.28 N/A N/A 0 0 0 20 2009-12-03 $21.19 $0.00 42.1% 12.1% 10.1% 18.9% 0.0% 0.0% -21.1% -888 20.6K -127 0.00 162.27 N/A N/A 0 0 0 20 2009-12-04 $21.23 $0.00 86.1% 14.9% 10.1% 42.4% 0.0% 0.0% -32.2% -735 19.9K -126 0.00 167.72 N/A N/A 0 0 0 20 2009-12-07 $21.22 $0.00 65.8% 10.6% 10.1% 31.6% 0.0% 0.0% -21.6% -891 20.5K -126 0.00 161.38 N/A N/A 0 0 0 20 2009-12-09 $21.15 $0.00 55.5% 8.5% 10.3% 26.1% 0.0% 0.0% -15.6% -943 20.9K -123 0.00 154.43 N/A N/A 0 0 0 20 2009-12-10 $21.22 $0.00 31.2% 9.0% 8.9% 13.1% 0.0% 0.0% -17.0% -946 20.7K -122 0.00 156.60 N/A N/A 0 0 0 20 2009-12-14 $21.36 $0.00 21.9% 6.3% 9.0% 8.1% 0.0% 0.0% -4.1% -965 20.2K -122 0.00 127.28 N/A N/A 0 0 0 20 2009-12-15 $21.39 $0.00 22.3% 6.4% 7.8% 8.4% 0.0% 0.0% -4.3% -970 20.0K -122 0.00 125.74 N/A N/A 0 0 0 20 2009-12-16 $21.39 $0.00 28.5% 8.2% 7.8% 11.6% 0.0% 0.0% -9.4% -871 19.9K -122 0.00 159.00 N/A N/A 0 0 0 20 2009-12-17 $21.44 $0.00 65.6% 18.8% 7.8% 31.5% 0.0% 0.0% -46.7% -675 19.2K -125 0.00 165.13 N/A N/A 0 0 0 20 2009-12-18 $21.30 $0.00 20.6% 5.9% 8.1% 7.4% 0.0% 0.0% -4.0% -1.0K 20.8K -119 0.00 120.41 N/A N/A 0 0 0 20 2009-12-21 $21.41 $0.00 105.8% 30.3% 8.2% 53.0% 0.0% 0.0% -40.9% -549 18.9K -125 0.00 175.15 N/A N/A 0 0 0 20 2009-12-22 $21.49 $0.00 107.7% 30.9% 7.9% 54.0% 0.0% 0.0% -42.3% -552 18.8K -126 0.00 174.86 N/A N/A 0 0 0 20 2009-12-23 $21.52 $0.00 109.9% 31.5% 7.8% 55.1% 0.0% 0.0% -92.1% -554 18.8K -126 0.00 174.86 N/A N/A 0 0 0 20 2009-12-24 $21.51 $0.00 112.3% 32.2% 7.8% 56.4% 0.0% 0.0% -81.4% -551 18.8K -125 0.00 174.11 N/A N/A 0 0 0 20 2009-12-28 $21.59 $0.00 25.1% 7.2% 7.7% 9.9% 0.0% 0.0% -5.8% -1.2K 19.9K -115 0.00 146.62 N/A N/A 0 0 0 20 2009-12-29 $21.56 $0.00 126.8% 36.3% 7.7% 64.2% 0.0% 0.0% -58.1% -555 18.7K -123 0.00 174.86 N/A N/A 0 0 0 20 2009-12-30 $21.55 $0.00 25.8% 7.4% 7.4% 10.2% 0.0% 0.0% -6.9% -1.2K 20.1K -114 0.00 148.38 N/A N/A 0 0 0 20 2009-12-31 $21.51 $0.00 109.2% 31.3% 7.5% 54.8% 0.0% 0.0% -33.6% -581 18.9K -121 0.00 174.86 N/A N/A 0 0 0 20
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