PBP Options History — July 2010

In July 2010, PBP traded between $19.17 and $20.61. ATM implied volatility averaged 116.5%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 94.8% (HV 20d: 21.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2010-07-23: Highest Volume — 2 contracts
2010-07-29: Largest IV spike — 356.8% change
2010-07-08: Highest IV Rank — 100.0%
2010-07-02: Largest Expected Move — 45.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.18	$19.17	$20.61	$19.24	$20.56
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	116.5%	25.8%	198.8%	151.6%	122.0%
Expected Move	27.8%	7.4%	45.0%	43.5%	35.0%
HV 20d	21.7%	17.5%	24.3%	19.1%	17.5%
HV 60d	21.0%	19.3%	21.9%	19.3%	21.7%
IV Rank	57.6%	10.0%	100.0%	77.4%	60.0%
IV Percentile	82.8%	34.6%	100.0%	95.5%	89.4%
Term Structure	-49.1%	-85.9%	-5.2%	-78.7%	-43.0%
VWIV	139.4%	139.4%	139.4%	139.4%	139.4%
Skew 25d	1.7%	-61.5%	21.4%	-34.9%	21.4%
Skew 10d	1.7%	-61.5%	21.4%	-34.9%	21.4%
Call IV 25d	111.0%	18.3%	144.6%	108.0%	144.6%
Put IV 25d	112.7%	24.0%	165.9%	73.1%	165.9%
Bid-Ask Spread %	190.80	151.34	198.69	191.04	198.69
Gamma HHI	0.68	0.28	0.97	0.56	0.80
Net GEX	-47	-5.8K	815	341	696
Net DEX	-19.2K	-27.0K	-8.6K	-9.9K	-26.0K
Net VEX	-103	-122	-83	-122	-87
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	0.19	0	2	1	0
Total OI	30.381	22	37	36	23

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-07-01	$19.24	$22.50	151.6%	43.5%	19.1%	77.4%	139.4%	-34.9%	-78.7%	341	-9.9K	-122	191.04	N/A	N/A	0	1	23	13
2010-07-02	$19.17	$22.50	156.8%	45.0%	18.6%	80.2%	0.0%	-7.8%	-83.8%	319	-8.6K	-122	191.04	N/A	N/A	0	0	23	14
2010-07-06	$19.25	$0.00	182.8%	23.9%	18.6%	94.1%	0.0%	-6.8%	-71.5%	359	-8.6K	-118	190.85	N/A	N/A	0	0	23	14
2010-07-07	$19.86	$0.00	189.1%	25.6%	21.5%	97.4%	0.0%	3.5%	-75.9%	394	-12.1K	-120	195.52	N/A	N/A	0	0	23	14
2010-07-08	$19.96	$0.00	198.8%	25.8%	21.6%	100.0%	0.0%	5.2%	-76.3%	393	-12.7K	-119	196.30	N/A	N/A	0	0	23	14
2010-07-09	$20.21	$0.00	90.4%	25.9%	21.2%	43.5%	0.0%	9.5%	-75.9%	-1.6K	-14.2K	-117	197.18	N/A	N/A	0	0	23	14
2010-07-12	$20.20	$0.00	93.7%	26.9%	21.1%	45.3%	0.0%	9.7%	-79.0%	-2.1K	-14.6K	-112	197.18	N/A	N/A	0	0	23	14
2010-07-13	$20.51	$0.00	143.2%	20.6%	21.9%	71.0%	0.0%	15.2%	-85.9%	43	-15.9K	-111	198.69	N/A	N/A	0	0	23	14
2010-07-14	$20.45	$0.00	129.4%	27.4%	21.7%	63.9%	0.0%	14.3%	-79.9%	-136	-15.5K	-110	197.75	N/A	N/A	0	0	23	14
2010-07-15	$20.57	$0.00	25.8%	7.4%	21.8%	10.0%	0.0%	5.7%	-14.5%	-93	-20.4K	-101	160.53	N/A	N/A	0	0	23	14
2010-07-16	$20.07	$0.00	59.6%	17.1%	23.5%	27.5%	0.0%	-61.5%	-5.3%	-5.8K	-13.3K	-104	197.18	N/A	N/A	0	0	23	14
2010-07-19	$20.13	$0.00	103.4%	29.6%	23.5%	50.3%	0.0%	9.3%	-27.0%	740	-25.2K	-98	197.18	N/A	N/A	0	0	23	1
2010-07-20	$20.32	$0.00	104.4%	29.9%	23.8%	50.9%	0.0%	13.1%	-27.2%	686	-26.4K	-97	198.18	N/A	N/A	0	0	23	1
2010-07-21	$20.10	$0.00	106.8%	30.6%	23.9%	52.1%	0.0%	-50.2%	-29.1%	635	-25.5K	-97	197.18	N/A	N/A	0	0	23	1
2010-07-22	$20.36	$0.00	107.7%	30.9%	24.3%	52.6%	0.0%	14.3%	-29.1%	643	-26.7K	-96	198.18	N/A	N/A	0	0	23	1
2010-07-23	$20.43	$0.00	109.3%	31.3%	23.5%	53.4%	0.0%	16.0%	-29.9%	642	-27.0K	-96	198.69	N/A	N/A	2	0	23	1
2010-07-26	$20.61	$0.00	112.1%	32.1%	23.6%	54.9%	0.0%	20.7%	-35.7%	674	-24.8K	-85	198.69	N/A	N/A	0	0	21	1
2010-07-27	$20.60	$0.00	114.3%	32.8%	23.6%	56.0%	0.0%	14.6%	-37.3%	815	-24.9K	-84	151.34	N/A	N/A	0	0	21	1
2010-07-28	$20.55	$0.00	26.1%	7.5%	23.6%	10.1%	0.0%	2.6%	-5.2%	668	-24.5K	-83	160.86	N/A	N/A	1	0	21	1
2010-07-29	$20.55	$0.00	119.3%	34.2%	17.7%	58.6%	0.0%	20.7%	-41.0%	691	-26.0K	-88	194.60	N/A	N/A	0	0	22	1
2010-07-30	$20.56	$0.00	122.0%	35.0%	17.5%	60.0%	0.0%	21.4%	-43.0%	696	-26.0K	-87	198.69	N/A	N/A	0	0	22	1