PBP Options History — March 2010 In March 2010, PBP traded between $21.45 and $21.77. ATM implied volatility averaged 33.1%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 25.4% (HV 20d: 7.7%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2010-03-08 : Highest Volume — 13 contracts2010-03-24 : Largest IV spike — 205.4% change2010-03-24 : Highest IV Rank — 55.1%2010-03-24 : Largest Expected Move — 31.5%Monthly Statistics Metric Avg Min Max Open Close Price $21.64 $21.45 $21.77 $21.45 $21.64 ATM IV 33.1% 17.7% 109.8% 26.0% 34.9% Expected Move 9.0% 5.1% 31.5% 7.5% 10.0% HV 20d 7.7% 4.0% 15.9% 15.9% 4.3% HV 60d 12.3% 12.1% 12.7% 12.7% 12.1% IV Rank 14.1% 5.9% 55.1% 10.3% 15.1% IV Percentile 36.1% 10.8% 83.2% 27.6% 49.8% Term Structure -7.6% -43.7% -1.5% -1.5% -7.1% Bid-Ask Spread % 171.04 153.70 200.00 169.12 170.44 Gamma HHI 0.69 0.50 0.98 0.50 0.75 Net GEX -773 -1.5K 0 -1.3K -995 Net DEX 6.7K 0 20.9K 20.9K 4.1K Net VEX -128 -159 0 -92 -140 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.609 0 13 0 0 Total OI 28.217 0 34 20 31
Daily Data (23 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 2010-03-01 $21.45 $0.00 26.0% 7.5% 15.9% 10.3% 0.0% 0.0% -1.5% -1.3K 20.9K -92 0.00 169.12 N/A N/A 0 0 0 20 2010-03-02 $21.53 $0.00 17.7% 5.1% 15.4% 5.9% 0.0% 0.0% -3.3% -1.5K 20.7K -90 0.00 164.84 N/A N/A 0 0 0 20 2010-03-03 $21.50 $0.00 25.5% 7.3% 15.2% 10.1% 0.0% 0.0% -3.8% -1.4K 20.8K -90 0.00 165.70 N/A N/A 0 0 0 20 2010-03-04 $21.59 $0.00 22.4% 6.4% 15.1% 8.4% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2010-03-05 $21.67 $0.00 32.1% 6.5% 9.9% 13.6% 0.0% 0.0% -4.5% -1.3K 19.8K -92 0.00 166.25 N/A N/A 0 0 0 20 2010-03-08 $21.71 $0.00 52.0% 13.1% 9.9% 24.2% 0.0% 0.0% -15.6% -800 19.1K -98 0.00 185.74 N/A N/A 13 0 0 20 2010-03-09 $21.72 $0.00 32.6% 6.4% 8.9% 13.9% 0.0% 0.0% -5.1% -484 2.4K -152 0.00 166.51 N/A N/A 0 0 13 20 2010-03-10 $21.73 $0.00 39.6% 6.7% 8.0% 17.6% 0.0% 0.0% -5.3% -531 1.8K -149 0.00 162.93 N/A N/A 0 0 13 20 2010-03-11 $21.75 $0.00 21.0% 6.0% 7.8% 7.6% 0.0% 0.0% -3.5% -462 2.2K -148 0.00 163.68 N/A N/A 0 0 13 20 2010-03-12 $21.74 $0.00 25.0% 7.2% 7.6% 9.8% 0.0% 0.0% -3.8% -465 2.0K -152 0.00 168.77 N/A N/A 0 0 13 20 2010-03-15 $21.76 $0.00 21.3% 6.1% 7.4% 7.8% 0.0% 0.0% -6.0% -506 1.7K -140 0.00 153.70 N/A N/A 0 1 13 20 2010-03-16 $21.75 $0.00 21.1% 6.0% 4.8% 7.7% 0.0% 0.0% -5.3% -551 3.5K -151 0.00 163.23 N/A N/A 0 0 13 21 2010-03-17 $21.77 $0.00 22.6% 6.5% 4.7% 8.5% 0.0% 0.0% -6.9% -650 1.0K -144 0.00 161.55 N/A N/A 0 0 13 21 2010-03-18 $21.76 $0.00 21.9% 6.3% 4.0% 8.2% 0.0% 0.0% -6.2% -621 1.1K -143 0.00 163.37 N/A N/A 0 0 13 21 2010-03-19 $21.56 $0.00 24.5% 7.0% 5.4% 9.5% 0.0% 0.0% -5.6% -689 2.8K -145 0.00 166.02 N/A N/A 0 0 13 21 2010-03-22 $21.56 $0.00 23.7% 6.8% 5.4% 9.1% 0.0% 0.0% -5.3% -900 4.5K -147 0.00 170.71 N/A N/A 0 0 10 21 2010-03-23 $21.59 $0.00 35.9% 10.3% 4.9% 15.6% 0.0% 0.0% -4.6% -865 4.4K -147 0.00 181.44 N/A N/A 0 0 10 21 2010-03-24 $21.56 $0.00 109.8% 31.5% 4.6% 55.1% 0.0% 0.0% -43.7% -325 5.0K -159 0.00 187.16 N/A N/A 0 0 10 21 2010-03-25 $21.56 $0.00 30.5% 8.7% 4.6% 12.7% 0.0% 0.0% -4.6% -882 4.2K -143 0.00 170.20 N/A N/A 0 0 10 21 2010-03-26 $21.56 $0.00 46.7% 13.4% 4.6% 21.4% 0.0% 0.0% -7.7% -747 4.8K -147 0.00 184.49 N/A N/A 0 0 10 21 2010-03-29 $21.63 $0.00 42.7% 12.2% 4.5% 19.2% 0.0% 0.0% -10.8% -838 4.1K -144 0.00 180.72 N/A N/A 0 0 10 21 2010-03-30 $21.66 $0.00 31.4% 9.0% 4.3% 13.2% 0.0% 0.0% -6.4% -933 3.5K -138 0.00 167.25 N/A N/A 0 0 10 21 2010-03-31 $21.64 $0.00 34.9% 10.0% 4.3% 15.1% 0.0% 0.0% -7.1% -995 4.1K -140 0.00 170.44 N/A N/A 0 0 10 21
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