PBP Options History — May 2010 In May 2010, PBP traded between $19.74 and $21.67. ATM implied volatility averaged 76.0%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 56.0% (HV 20d: 20.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2010-05-18 : Largest IV spike — 438.7% change2010-05-11 : Highest IV Rank — 91.2%2010-05-06 : Largest Expected Move — 42.7%Monthly Statistics Metric Avg Min Max Open Close Price $20.64 $19.74 $21.67 $21.67 $20.15 Max Pain $20.31 $20.00 $22.50 $20.00 $20.00 ATM IV 76.0% 15.6% 177.3% 125.7% 19.3% Expected Move 18.3% 4.5% 42.7% 36.0% 5.5% HV 20d 20.0% 6.1% 26.4% 6.1% 26.4% HV 60d 13.5% 10.1% 15.9% 10.1% 15.9% IV Rank 37.0% 4.8% 91.2% 63.6% 6.7% IV Percentile 56.3% 6.5% 98.4% 91.1% 13.0% Term Structure -25.0% -54.9% 4.0% -49.7% -32.2% Skew 25d -23.5% -24.9% -22.2% -24.9% -22.2% Skew 10d -23.5% -24.9% -22.2% -24.9% -22.2% Call IV 25d 146.2% 146.0% 146.5% 146.0% 146.5% Put IV 25d 122.7% 121.0% 124.4% 121.0% 124.4% Bid-Ask Spread % 191.29 168.37 200.00 200.00 200.00 Gamma HHI 0.90 0.66 1.00 0.80 1.00 Net GEX -163 -1.1K 484 -401 484 Net DEX 2.7K -14.4K 14.1K 6.8K -11.1K Net VEX -102 -142 -50 -142 -50 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 24.9 10 33 33 10
Daily Data (20 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 2010-05-03 $21.67 $0.00 125.7% 36.0% 6.1% 63.6% 0.0% 0.0% -49.7% -401 6.8K -142 0.00 200.00 N/A N/A 0 0 10 23 2010-05-04 $21.38 $20.00 21.1% 6.0% 7.7% 7.7% 0.0% 0.0% 0.0% 403 -14.4K -52 0.00 200.00 N/A N/A 0 0 10 0 2010-05-05 $21.24 $0.00 41.7% 11.9% 8.0% 18.7% 0.0% 0.0% -22.5% -1.1K 10.1K -125 0.00 173.17 N/A N/A 0 0 10 23 2010-05-06 $20.70 $0.00 149.1% 42.7% 11.8% 76.1% 0.0% 0.0% -54.9% -326 10.3K -138 0.00 185.14 N/A N/A 0 0 10 23 2010-05-07 $20.31 $0.00 152.5% 25.8% 12.9% 77.9% 0.0% 0.0% -19.3% -320 11.8K -135 0.00 183.86 N/A N/A 0 0 10 23 2010-05-10 $21.16 $0.00 169.9% 26.7% 20.4% 87.2% 0.0% 0.0% -19.1% -346 8.7K -136 0.00 188.03 N/A N/A 0 0 10 23 2010-05-11 $21.18 $0.00 177.3% 27.0% 20.4% 91.2% 0.0% 0.0% -19.6% -347 8.6K -137 0.00 188.03 N/A N/A 0 0 10 23 2010-05-12 $21.41 $0.00 52.2% 8.8% 20.8% 24.3% 0.0% 0.0% -3.8% -883 7.8K -122 0.00 168.37 N/A N/A 0 0 10 23 2010-05-13 $21.26 $0.00 66.6% 19.1% 21.0% 32.0% 0.0% 0.0% -22.8% -606 9.4K -133 0.00 194.12 N/A N/A 0 0 10 23 2010-05-14 $20.78 $22.50 15.6% 4.5% 22.3% 4.8% 0.0% 0.0% 4.0% -987 14.1K -114 0.00 200.00 N/A N/A 0 0 10 22 2010-05-17 $20.88 $20.00 19.2% 5.5% 22.4% 6.7% 0.0% 0.0% 0.0% 440 -13.2K -51 0.00 200.00 N/A N/A 0 0 10 0 2010-05-18 $20.61 $0.00 103.5% 29.7% 22.7% 51.7% 0.0% 0.0% -26.1% -323 10.8K -129 0.00 185.31 N/A N/A 0 0 10 23 2010-05-19 $20.48 $0.00 105.6% 30.3% 22.4% 52.8% 0.0% 0.0% -27.6% -318 11.3K -127 0.00 184.62 N/A N/A 0 0 10 23 2010-05-20 $19.74 $0.00 109.5% 31.4% 25.4% 54.9% 0.0% -24.9% -31.6% -280 13.7K -122 0.00 186.82 N/A N/A 0 0 10 23 2010-05-21 $19.89 $0.00 111.0% 31.8% 25.6% 55.7% 0.0% -22.2% -32.2% -280 13.3K -123 0.00 188.37 N/A N/A 0 0 10 23 2010-05-24 $19.94 $20.00 20.2% 5.8% 25.6% 7.2% 0.0% 0.0% 0.0% 481 -10.5K -50 0.00 200.00 N/A N/A 0 0 10 0 2010-05-25 $19.93 $20.00 20.3% 5.8% 25.6% 7.3% 0.0% 0.0% 0.0% 483 -10.5K -50 0.00 200.00 N/A N/A 0 0 10 0 2010-05-26 $19.94 $20.00 20.3% 5.8% 25.4% 7.3% 0.0% 0.0% 0.0% 484 -10.5K -50 0.00 200.00 N/A N/A 0 0 10 0 2010-05-27 $20.25 $20.00 18.6% 5.3% 26.4% 6.4% 0.0% 0.0% 0.0% 480 -11.4K -50 0.00 200.00 N/A N/A 0 0 10 0 2010-05-28 $20.15 $20.00 19.3% 5.5% 26.4% 6.7% 0.0% 0.0% 0.0% 484 -11.1K -50 0.00 200.00 N/A N/A 0 0 10 0
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