PBP Options History — June 2010 In June 2010, PBP traded between $19.30 and $20.63. ATM implied volatility averaged 80.3%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 61.1% (HV 20d: 19.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2010-06-23 : Highest Volume — 10 contracts2010-06-02 : Largest IV spike — 600.0% change2010-06-08 : Highest IV Rank — 92.2%2010-06-02 : Largest Expected Move — 41.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.23 $19.30 $20.63 $19.99 $19.30 Max Pain $21.88 $20.00 $22.50 $20.00 $22.50 ATM IV 80.3% 20.5% 179.2% 20.5% 87.5% Expected Move 20.1% 5.9% 41.1% 5.9% 25.1% HV 20d 19.1% 12.9% 27.0% 26.4% 19.2% HV 60d 17.1% 15.9% 19.3% 15.9% 19.3% IV Rank 39.3% 7.4% 92.2% 7.4% 43.2% IV Percentile 67.1% 15.0% 98.8% 15.0% 78.9% Term Structure -57.2% -83.8% -7.5% -53.7% -74.1% VWIV 24.2% 24.2% 24.2% 24.2% 24.2% Skew 25d -2.4% -33.5% 10.0% -18.7% -33.5% Skew 10d -2.9% -33.5% 10.0% -18.7% -33.5% Call IV 25d 66.6% 40.2% 185.2% 185.2% 106.4% Put IV 25d 64.2% 35.8% 166.5% 166.5% 72.8% Bid-Ask Spread % 188.45 154.97 200.00 200.00 191.04 Gamma HHI 0.75 0.47 1.00 1.00 0.47 Net GEX -374 -1.3K 510 495 -176 Net DEX 7.1K -12.0K 17.4K -10.7K 8.2K Net VEX -102 -140 -47 -49 -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 0.636 0 10 0 0 Total OI 31.955 10 48 10 48
Daily Data (22 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 2010-06-01 $19.99 $20.00 20.5% 5.9% 26.4% 7.4% 0.0% 0.0% 0.0% 495 -10.7K -49 0.00 200.00 N/A N/A 0 0 10 0 2010-06-02 $20.27 $0.00 143.4% 41.1% 26.9% 73.1% 0.0% -18.7% -53.7% -295 12.1K -115 0.00 190.32 N/A N/A 0 0 10 23 2010-06-03 $20.33 $0.00 47.4% 13.6% 27.0% 21.7% 0.0% -4.5% -26.7% -1.0K 17.4K -106 0.00 173.55 N/A N/A 0 0 10 23 2010-06-04 $20.04 $22.50 153.7% 26.0% 25.9% 78.6% 0.0% 5.6% -70.0% -282 13.0K -112 0.00 197.39 N/A N/A 0 0 10 23 2010-06-07 $19.87 $22.50 172.6% 27.1% 25.2% 88.6% 0.0% 4.3% -74.2% -271 13.6K -109 0.00 196.36 N/A N/A 0 0 10 23 2010-06-08 $20.10 $22.50 179.2% 27.3% 20.4% 92.2% 0.0% 6.0% -73.8% -285 12.8K -109 0.00 196.75 N/A N/A 0 0 10 23 2010-06-09 $20.02 $20.00 21.0% 6.0% 20.4% 7.6% 0.0% 0.0% 0.0% 510 -10.7K -47 0.00 200.00 N/A N/A 0 0 10 0 2010-06-10 $20.35 $22.50 97.0% 27.8% 21.0% 48.3% 0.0% 7.9% -74.4% -295 11.9K -108 0.00 194.35 N/A N/A 0 0 10 23 2010-06-11 $20.45 $22.50 98.1% 28.1% 21.1% 48.8% 0.0% 8.6% -74.9% -300 11.5K -107 0.00 194.35 N/A N/A 0 0 10 23 2010-06-14 $20.49 $22.50 102.3% 29.3% 19.6% 51.1% 0.0% 9.0% -78.5% -305 11.5K -104 0.00 166.72 N/A N/A 0 0 10 23 2010-06-15 $20.63 $22.50 25.0% 7.2% 19.7% 9.8% 0.0% 10.0% -7.5% -1.3K 16.6K -91 0.00 159.02 N/A N/A 0 0 10 23 2010-06-16 $20.63 $22.50 105.1% 30.1% 19.1% 52.6% 0.0% 10.0% -80.4% -315 11.1K -102 0.00 154.97 N/A N/A 0 0 10 23 2010-06-17 $20.58 $22.50 37.4% 10.7% 19.0% 16.4% 0.0% 9.7% -30.4% -1.1K 15.7K -95 0.00 171.38 N/A N/A 0 0 10 23 2010-06-18 $20.60 $22.50 108.8% 31.2% 13.0% 54.5% 0.0% 9.8% -83.8% -305 10.9K -101 0.00 192.59 N/A N/A 0 0 10 23 2010-06-21 $20.55 $22.50 68.1% 19.5% 12.9% 32.8% 0.0% -12.4% -31.6% -612 13.4K -96 0.00 192.13 N/A N/A 1 0 10 23 2010-06-22 $20.35 $22.50 67.1% 19.2% 13.6% 32.3% 0.0% -15.3% -40.3% -589 13.2K -99 0.00 192.00 N/A N/A 0 0 11 23 2010-06-23 $20.27 $22.50 69.3% 19.9% 13.7% 33.5% 0.0% -16.6% -42.5% -567 13.5K -98 0.00 191.60 N/A N/A 10 0 11 23 2010-06-24 $19.94 $20.00 24.2% 7.0% 15.0% 9.4% 24.2% 0.0% 0.0% -162 -10.8K -109 0.00 200.00 N/A N/A 0 1 20 10 2010-06-25 $20.07 $20.00 26.4% 7.6% 14.1% 10.5% 0.0% 0.0% 0.0% -291 -11.4K -110 0.00 200.00 N/A N/A 0 0 20 11 2010-06-28 $20.08 $22.50 81.9% 23.5% 14.0% 40.2% 0.0% -20.3% -55.1% -312 5.5K -139 0.00 191.40 N/A N/A 2 0 21 25 2010-06-29 $20.11 $20.00 29.7% 8.5% 13.7% 12.3% 0.0% 0.0% 0.0% -406 -12.0K -107 0.00 200.00 N/A N/A 0 0 20 11 2010-06-30 $19.30 $22.50 87.5% 25.1% 19.2% 43.2% 0.0% -33.5% -74.1% -176 8.2K -140 0.00 191.04 N/A N/A 0 0 23 25
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