PBP Options History — February 2010 In February 2010, PBP traded between $20.29 and $21.36. ATM implied volatility averaged 31.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 14.5% (HV 20d: 17.4%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days.
Notable Days 2010-02-04 : Largest IV spike — 56.1% change2010-02-09 : Highest IV Rank — 24.1%2010-02-04 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $20.94 $20.29 $21.36 $20.89 $21.36 ATM IV 31.8% 22.3% 51.9% 26.5% 25.1% Expected Move 7.9% 6.4% 11.2% 7.6% 7.2% HV 20d 17.4% 13.9% 19.7% 13.9% 16.3% HV 60d 12.5% 11.6% 12.8% 12.6% 12.7% IV Rank 13.4% 8.3% 24.1% 10.6% 9.8% IV Percentile 35.0% 18.1% 61.5% 26.7% 24.5% Term Structure -5.2% -18.8% 2.3% -8.4% -1.6% Bid-Ask Spread % 165.07 155.89 176.04 159.74 164.38 Gamma HHI 0.50 0.50 0.51 0.51 0.50 Net GEX -1.2K -1.5K -978 -1.4K -1.4K Net DEX 23.2K 21.6K 25.1K 24.3K 21.6K Net VEX -94 -98 -88 -94 -88 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 2010-02-01 $20.89 $0.00 26.5% 7.6% 13.9% 10.6% 0.0% 0.0% -8.4% -1.4K 24.3K -94 0.00 159.74 N/A N/A 0 0 0 20 2010-02-02 $21.09 $0.00 29.2% 8.4% 14.1% 12.0% 0.0% 0.0% -8.8% -1.4K 23.1K -96 0.00 160.62 N/A N/A 0 0 0 20 2010-02-03 $21.00 $0.00 25.0% 7.2% 14.1% 9.8% 0.0% 0.0% -1.7% -1.3K 23.3K -96 0.00 161.09 N/A N/A 0 0 0 20 2010-02-04 $20.40 $0.00 39.0% 11.2% 17.1% 17.3% 0.0% 0.0% -18.8% -1.1K 24.7K -92 0.00 166.67 N/A N/A 0 0 0 20 2010-02-05 $20.48 $0.00 46.2% 8.9% 17.3% 21.1% 0.0% 0.0% -7.6% -1.0K 24.4K -97 0.00 168.13 N/A N/A 0 0 0 20 2010-02-08 $20.29 $0.00 40.1% 6.7% 17.4% 17.9% 0.0% 0.0% -4.1% -1.1K 25.1K -91 0.00 160.16 N/A N/A 0 0 0 20 2010-02-09 $20.57 $0.00 51.9% 8.4% 18.3% 24.1% 0.0% 0.0% -5.7% -1.1K 24.2K -96 0.00 168.35 N/A N/A 0 0 0 20 2010-02-10 $20.52 $0.00 51.7% 8.2% 18.3% 24.1% 0.0% 0.0% -5.4% -1.0K 24.5K -96 0.00 168.87 N/A N/A 0 0 0 20 2010-02-11 $20.71 $0.00 25.0% 7.2% 18.8% 9.8% 0.0% 0.0% -5.3% -1.2K 24.3K -95 0.00 164.62 N/A N/A 0 0 0 20 2010-02-12 $20.66 $0.00 34.5% 9.9% 18.7% 14.8% 0.0% 0.0% -8.4% -978 23.3K -98 0.00 176.04 N/A N/A 0 0 0 20 2010-02-16 $21.03 $0.00 29.2% 8.4% 19.7% 12.0% 0.0% 0.0% -8.4% -1.2K 22.8K -96 0.00 166.19 N/A N/A 0 0 0 20 2010-02-17 $21.11 $0.00 25.0% 7.2% 19.4% 9.8% 0.0% 0.0% -4.9% -1.4K 22.9K -92 0.00 162.44 N/A N/A 0 0 0 20 2010-02-18 $21.29 $0.00 29.2% 8.4% 19.7% 12.0% 0.0% 0.0% 2.3% -1.3K 21.6K -98 0.00 172.53 N/A N/A 0 0 0 20 2010-02-19 $21.30 $0.00 28.1% 8.1% 19.3% 11.4% 0.0% 0.0% 1.4% -1.3K 21.6K -97 0.00 168.62 N/A N/A 0 0 0 20 2010-02-22 $21.29 $0.00 22.3% 6.4% 16.9% 8.3% 0.0% 0.0% -2.4% -1.5K 22.1K -89 0.00 155.89 N/A N/A 0 0 0 20 2010-02-23 $21.17 $0.00 27.5% 7.9% 16.8% 11.1% 0.0% 0.0% -6.8% -1.4K 22.6K -88 0.00 163.99 N/A N/A 0 0 0 20 2010-02-24 $21.29 $0.00 23.8% 6.8% 16.8% 9.1% 0.0% 0.0% -2.0% -1.3K 21.8K -91 0.00 163.99 N/A N/A 0 0 0 20 2010-02-25 $21.34 $0.00 25.1% 7.2% 16.8% 9.8% 0.0% 0.0% -1.4% -1.4K 21.7K -91 0.00 163.92 N/A N/A 0 0 0 20 2010-02-26 $21.36 $0.00 25.1% 7.2% 16.3% 9.8% 0.0% 0.0% -1.6% -1.4K 21.6K -88 0.00 164.38 N/A N/A 0 0 0 20
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