PBP Options History — August 2010

Name: PBP Options Analytics - August 2010
Creator: Options Analysis Suite

In August 2010, PBP traded between $20.38 and $20.73. ATM implied volatility averaged 95.2%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 85.6% (HV 20d: 9.6%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2010-08-09: Highest Volume — 3 contracts
2010-08-18: Largest IV spike — 383.1% change
2010-08-09: Highest IV Rank — 82.2%
2010-08-04: Largest Expected Move — 39.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.60	$20.38	$20.73	$20.65	$20.48
ATM IV	95.2%	21.2%	164.7%	71.8%	111.1%
Expected Move	26.8%	6.1%	39.6%	20.6%	31.9%
HV 20d	9.6%	4.4%	17.4%	17.4%	7.0%
HV 60d	17.2%	15.4%	21.1%	21.1%	15.4%
IV Rank	46.0%	7.6%	82.2%	33.9%	54.2%
IV Percentile	72.4%	14.2%	95.9%	71.1%	84.2%
Term Structure	-23.2%	-76.0%	68.9%	68.9%	-49.2%
Skew 25d	67.8%	-104.0%	124.8%	-11.3%	124.8%
Skew 10d	73.1%	-2.1%	124.8%	25.2%	124.8%
Call IV 25d	62.3%	32.5%	161.6%	154.1%	57.9%
Put IV 25d	130.1%	27.6%	182.7%	142.8%	182.7%
Bid-Ask Spread %	191.03	136.85	200.00	199.05	199.22
Gamma HHI	0.71	0.60	0.79	0.79	0.60
Net GEX	735	620	1.8K	637	708
Net DEX	-29.8K	-33.7K	-26.5K	-26.5K	-31.9K
Net VEX	-88	-96	-82	-86	-95
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	0.227	0	3	0	0
Total OI	25.364	23	28	23	28

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2010-08-02	$20.65	$0.00	71.8%	20.6%	17.4%	33.9%	0.0%	-11.3%	68.9%	637	-26.5K	-86	199.05	N/A	N/A	0	22	1
2010-08-03	$20.68	$0.00	134.5%	38.6%	17.4%	66.5%	0.0%	18.6%	-52.1%	636	-26.7K	-85	196.09	N/A	N/A	0	22	1
2010-08-04	$20.73	$0.00	138.3%	39.6%	14.0%	68.5%	0.0%	17.5%	-54.8%	646	-26.9K	-84	198.18	N/A	N/A	0	22	1
2010-08-05	$20.68	$0.00	35.7%	10.2%	14.0%	15.1%	0.0%	-104.0%	52.9%	915	-27.2K	-82	166.58	N/A	N/A	0	22	1
2010-08-06	$20.69	$0.00	147.3%	24.9%	13.4%	73.2%	0.0%	83.7%	-25.6%	637	-26.7K	-83	197.82	N/A	N/A	0	22	1
2010-08-09	$20.70	$0.00	164.7%	25.9%	13.4%	82.2%	0.0%	86.9%	-27.5%	637	-26.7K	-82	197.82	N/A	N/A	3	22	1
2010-08-10	$20.69	$0.00	25.6%	16.7%	12.4%	9.8%	0.0%	54.8%	-76.0%	1.1K	-32.0K	-91	146.02	N/A	N/A	0	25	1
2010-08-11	$20.56	$0.00	30.3%	26.6%	12.6%	12.3%	0.0%	85.8%	-29.2%	716	-30.3K	-95	177.88	N/A	N/A	0	25	1
2010-08-12	$20.58	$0.00	50.5%	14.5%	12.4%	22.8%	0.0%	84.9%	57.1%	708	-30.5K	-95	199.22	N/A	N/A	0	25	1
2010-08-13	$20.54	$0.00	95.4%	27.4%	8.4%	46.2%	0.0%	89.2%	-30.9%	705	-30.3K	-94	199.22	N/A	N/A	0	25	1
2010-08-16	$20.57	$0.00	99.6%	28.5%	8.3%	48.3%	0.0%	93.6%	-33.5%	638	-30.5K	-93	199.22	N/A	N/A	0	25	1
2010-08-17	$20.70	$0.00	21.2%	6.1%	8.0%	7.6%	0.0%	-4.9%	48.5%	1.8K	-33.7K	-83	136.85	N/A	N/A	0	25	1
2010-08-18	$20.72	$0.00	102.4%	29.4%	6.7%	49.8%	0.0%	98.8%	-35.2%	641	-31.2K	-90	197.82	N/A	N/A	0	25	1
2010-08-19	$20.72	$0.00	104.1%	29.8%	5.2%	50.7%	0.0%	100.5%	-36.4%	641	-31.2K	-90	197.82	N/A	N/A	0	25	1
2010-08-20	$20.66	$0.00	106.0%	30.4%	5.2%	51.7%	0.0%	101.4%	-37.8%	640	-31.0K	-89	199.22	N/A	N/A	0	25	1
2010-08-23	$20.59	$0.00	112.1%	32.1%	4.4%	54.9%	0.0%	105.8%	-42.2%	632	-30.6K	-88	199.22	N/A	N/A	0	25	1
2010-08-24	$20.38	$0.00	94.6%	27.1%	5.7%	45.7%	0.0%	104.0%	-35.4%	620	-29.6K	-87	199.22	N/A	N/A	0	25	1
2010-08-25	$20.45	$0.00	120.1%	34.4%	5.8%	59.0%	0.0%	107.5%	-36.7%	622	-29.9K	-86	199.22	N/A	N/A	0	25	1
2010-08-26	$20.41	$0.00	98.5%	28.2%	5.9%	47.8%	0.0%	109.0%	-38.6%	621	-29.8K	-86	200.00	N/A	N/A	0	25	1
2010-08-27	$20.59	$0.00	121.9%	34.9%	6.7%	60.0%	0.0%	115.0%	-49.5%	626	-30.6K	-85	199.22	N/A	N/A	2	25	1
2010-08-30	$20.44	$0.00	108.3%	31.0%	7.0%	52.9%	0.0%	29.9%	-46.9%	715	-31.7K	-96	197.74	N/A	N/A	0	27	1
2010-08-31	$20.48	$0.00	111.1%	31.9%	7.0%	54.2%	0.0%	124.8%	-49.2%	708	-31.9K	-95	199.22	N/A	N/A	0	27	1