PBP Options History — January 2010 In January 2010, PBP traded between $20.62 and $21.71. ATM implied volatility averaged 48.8%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 40.9% (HV 20d: 7.9%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days.
Notable Days 2010-01-29 : Largest IV spike — 409.4% change2010-01-29 : Highest IV Rank — 63.1%2010-01-29 : Largest Expected Move — 35.8%Monthly Statistics Metric Avg Min Max Open Close Price $21.37 $20.62 $21.71 $21.67 $20.62 ATM IV 48.8% 20.9% 124.8% 30.3% 124.8% Expected Move 11.8% 5.1% 35.8% 5.2% 35.8% HV 20d 7.9% 4.7% 12.8% 6.3% 12.8% HV 60d 12.1% 11.7% 13.5% 13.5% 12.4% IV Rank 22.5% 7.6% 63.1% 12.6% 63.1% IV Percentile 46.5% 16.7% 86.6% 38.3% 86.6% Term Structure -11.3% -39.3% 0.3% -1.5% -39.3% Bid-Ask Spread % 167.41 154.01 191.04 155.23 185.44 Gamma HHI 0.50 0.50 0.51 0.51 0.50 Net GEX -1.2K -1.4K -519 -1.4K -519 Net DEX 20.4K 18.5K 24.8K 19.6K 20.2K Net VEX -106 -118 -92 -107 -109 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 2010-01-04 $21.67 $0.00 30.3% 5.2% 6.3% 12.6% 0.0% 0.0% -1.5% -1.4K 19.6K -107 0.00 155.23 N/A N/A 0 0 0 20 2010-01-05 $21.69 $0.00 32.6% 5.5% 5.3% 13.8% 0.0% 0.0% -1.9% -1.4K 19.5K -110 0.00 164.33 N/A N/A 0 0 0 20 2010-01-06 $21.66 $0.00 33.1% 5.5% 5.3% 14.1% 0.0% 0.0% -2.9% -1.4K 19.7K -110 0.00 158.88 N/A N/A 0 0 0 20 2010-01-07 $21.64 $0.00 31.9% 5.1% 5.4% 13.5% 0.0% 0.0% -1.9% -1.4K 19.8K -104 0.00 154.01 N/A N/A 0 0 0 20 2010-01-08 $21.66 $0.00 34.0% 5.2% 5.3% 14.6% 0.0% 0.0% -2.0% -1.4K 19.7K -106 0.00 156.02 N/A N/A 0 0 0 20 2010-01-11 $21.70 $0.00 44.5% 5.7% 5.1% 20.2% 0.0% 0.0% -3.2% -1.4K 19.5K -105 0.00 161.47 N/A N/A 0 0 0 20 2010-01-12 $21.69 $0.00 42.4% 5.3% 5.1% 19.1% 0.0% 0.0% 0.3% -1.4K 19.6K -105 0.00 163.77 N/A N/A 0 0 0 20 2010-01-13 $21.67 $0.00 47.1% 5.4% 4.7% 21.6% 0.0% 0.0% -3.2% -1.4K 19.7K -105 0.00 154.80 N/A N/A 0 0 0 20 2010-01-14 $21.71 $0.00 88.2% 25.3% 4.7% 43.5% 0.0% 0.0% -34.9% -560 18.5K -118 0.00 191.04 N/A N/A 0 0 0 20 2010-01-15 $21.45 $0.00 20.9% 6.0% 6.5% 7.6% 0.0% 0.0% -4.4% -1.4K 20.9K -104 0.00 159.31 N/A N/A 0 0 0 20 2010-01-19 $21.63 $0.00 23.0% 6.6% 7.1% 8.7% 0.0% 0.0% -3.7% -1.4K 20.0K -106 0.00 164.47 N/A N/A 0 0 0 20 2010-01-20 $21.55 $0.00 22.7% 6.5% 6.8% 8.6% 0.0% 0.0% -4.2% -1.4K 20.5K -103 0.00 163.76 N/A N/A 0 0 0 20 2010-01-21 $21.30 $0.00 100.8% 28.9% 7.9% 50.3% 0.0% 0.0% -31.8% -534 19.1K -115 0.00 189.19 N/A N/A 0 0 0 20 2010-01-22 $20.78 $0.00 108.2% 31.0% 11.6% 54.2% 0.0% 0.0% -28.5% -525 20.0K -113 0.00 186.34 N/A N/A 0 0 0 20 2010-01-25 $20.98 $0.00 26.0% 7.4% 12.2% 10.3% 0.0% 0.0% -5.9% -1.3K 23.4K -100 0.00 165.66 N/A N/A 0 0 0 20 2010-01-26 $20.90 $0.00 66.6% 19.1% 12.2% 32.0% 0.0% 0.0% -32.9% -534 19.8K -113 0.00 186.34 N/A N/A 0 0 0 20 2010-01-27 $20.99 $0.00 25.7% 7.4% 12.3% 10.2% 0.0% 0.0% -7.0% -1.3K 23.5K -98 0.00 162.39 N/A N/A 0 0 0 20 2010-01-28 $20.79 $0.00 24.5% 7.0% 12.6% 9.5% 0.0% 0.0% -6.0% -1.3K 24.8K -92 0.00 158.36 N/A N/A 0 0 0 20 2010-01-29 $20.62 $0.00 124.8% 35.8% 12.8% 63.1% 0.0% 0.0% -39.3% -519 20.2K -109 0.00 185.44 N/A N/A 0 0 0 20
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