PBP Options History — April 2010 In April 2010, PBP traded between $21.55 and $21.83. ATM implied volatility averaged 39.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 33.9% (HV 20d: 5.1%). Net GEX was positive for 0 of 17 trading days. Term structure was in contango for 0 of 17 days.
Notable Days 2010-04-21 : Highest Volume — 2 contracts2010-04-29 : Largest IV spike — 397.2% change2010-04-29 : Highest IV Rank — 56.2%2010-04-29 : Largest Expected Move — 32.1%Monthly Statistics Metric Avg Min Max Open Close Price $21.74 $21.55 $21.83 $21.68 $21.71 ATM IV 39.0% 15.8% 111.8% 38.2% 111.8% Expected Move 8.3% 4.5% 32.1% 10.9% 32.1% HV 20d 5.1% 4.1% 6.4% 4.1% 6.2% HV 60d 11.6% 10.3% 12.1% 12.1% 10.3% IV Rank 17.3% 4.9% 56.2% 16.8% 56.2% IV Percentile 43.1% 7.3% 88.2% 51.2% 88.2% Term Structure -6.8% -39.8% -2.1% -7.4% -39.8% Bid-Ask Spread % 173.73 158.61 200.00 173.99 191.04 Gamma HHI 0.85 0.79 0.98 0.79 0.98 Net GEX -838 -1.3K 0 -919 -392 Net DEX 2.9K 0 6.7K 3.7K 6.7K Net VEX -117 -146 0 -142 -146 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.118 0 2 0 0 Total OI 27.706 0 33 31 33
Daily Data (17 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 2010-04-01 $21.68 $0.00 38.2% 10.9% 4.1% 16.8% 0.0% 0.0% -7.4% -919 3.7K -142 0.00 173.99 N/A N/A 0 0 10 21 2010-04-05 $21.78 $0.00 39.5% 6.4% 4.2% 17.5% 0.0% 0.0% -2.2% -977 2.8K -135 0.00 168.15 N/A N/A 0 0 10 21 2010-04-06 $21.79 $0.00 43.8% 6.7% 4.2% 19.8% 0.0% 0.0% -2.1% -937 2.8K -136 0.00 171.10 N/A N/A 0 0 10 21 2010-04-07 $21.75 $0.00 36.2% 5.9% 4.2% 15.8% 0.0% 0.0% -2.8% -962 2.6K -134 0.00 168.56 N/A N/A 0 0 10 21 2010-04-08 $21.80 $0.00 42.0% 6.2% 4.3% 18.9% 0.0% 0.0% -2.3% -933 2.2K -132 0.00 170.87 N/A N/A 0 0 10 21 2010-04-09 $21.79 $0.00 35.6% 5.1% 4.3% 15.4% 0.0% 0.0% -2.1% -1.1K 2.2K -131 0.00 158.61 N/A N/A 0 0 10 21 2010-04-13 $21.78 $0.00 55.9% 5.9% 4.3% 26.3% 0.0% 0.0% -2.5% -976 2.2K -128 0.00 167.95 N/A N/A 0 0 10 21 2010-04-14 $21.79 $0.00 67.8% 6.6% 4.3% 32.7% 0.0% 0.0% -6.2% -944 2.0K -128 0.00 169.37 N/A N/A 0 0 10 21 2010-04-15 $21.83 $0.00 21.7% 6.2% 4.3% 8.0% 0.0% 0.0% -3.0% -956 1.9K -129 0.00 169.60 N/A N/A 0 0 10 21 2010-04-16 $21.55 $0.00 22.1% 6.3% 6.3% 8.2% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2010-04-19 $21.61 $0.00 40.1% 11.5% 6.4% 17.8% 0.0% 0.0% -14.9% -730 4.2K -134 0.00 174.17 N/A N/A 0 0 10 21 2010-04-20 $21.71 $0.00 22.7% 6.5% 5.7% 8.5% 0.0% 0.0% -2.8% -1.0K 2.9K -127 0.00 167.52 N/A N/A 0 0 10 21 2010-04-21 $21.73 $0.00 22.6% 6.5% 5.7% 8.5% 0.0% 0.0% -2.7% -1.0K 2.8K -124 0.00 166.77 N/A N/A 0 2 10 21 2010-04-22 $21.72 $0.00 24.9% 7.2% 5.7% 9.8% 0.0% 0.0% -7.4% -1.2K 5.6K -134 0.00 171.03 N/A N/A 0 0 10 23 2010-04-23 $21.83 $0.00 15.8% 4.5% 5.9% 4.9% 0.0% 0.0% 0.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2010-04-26 $21.77 $0.00 22.5% 6.4% 6.0% 8.4% 0.0% 0.0% -3.3% -1.3K 5.0K -130 0.00 164.63 N/A N/A 0 0 10 23 2010-04-29 $21.71 $0.00 111.8% 32.1% 6.2% 56.2% 0.0% 0.0% -39.8% -392 6.7K -146 0.00 191.04 N/A N/A 0 0 10 23
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