PBP Options History — September 2010

In September 2010, PBP traded between $20.81 and $21.18. ATM implied volatility averaged 70.4%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 61.7% (HV 20d: 8.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2010-09-22: Highest Volume — 1 contracts
2010-09-08: Largest IV spike — 532.2% change
2010-09-08: Highest IV Rank — 89.8%
2010-09-30: Largest Expected Move — 25.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.05	$20.81	$21.18	$20.81	$21.18
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	70.4%	20.8%	179.3%	25.6%	89.9%
Expected Move	18.0%	6.0%	25.8%	7.3%	25.8%
HV 20d	8.6%	5.3%	9.4%	9.1%	5.3%
HV 60d	14.2%	10.0%	15.6%	15.6%	10.0%
IV Rank	32.7%	6.1%	89.8%	9.6%	42.6%
IV Percentile	58.3%	7.9%	98.0%	25.8%	69.0%
Term Structure	33.8%	0.6%	64.5%	28.8%	64.5%
Skew 25d	27.1%	-4.0%	168.7%	3.4%	12.4%
Skew 10d	23.0%	-4.3%	142.4%	3.8%	12.4%
Call IV 25d	55.4%	16.2%	90.7%	30.0%	90.7%
Put IV 25d	82.5%	18.9%	185.3%	33.4%	103.1%
Bid-Ask Spread %	179.55	123.94	196.61	156.74	189.19
Gamma HHI	0.66	0.64	0.74	0.66	0.66
Net GEX	1.0K	831	2.0K	914	960
Net DEX	-35.7K	-43.6K	-33.4K	-33.8K	-35.0K
Net VEX	-77	-94	-43	-94	-62
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	0.048	0	1	0	0
Total OI	27.714	27	28	28	27

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	Call OI	Put OI
2010-09-01	$20.81	$0.00	25.6%	7.3%	9.1%	9.6%	0.0%	3.4%	28.8%	914	-33.8K	-94	156.74	N/A	N/A	0	27	1
2010-09-02	$20.92	$0.00	78.1%	22.4%	9.2%	37.0%	0.0%	129.6%	19.2%	831	-34.3K	-94	196.61	N/A	N/A	0	27	1
2010-09-03	$21.00	$20.00	146.4%	18.9%	9.3%	72.6%	0.0%	168.7%	13.7%	832	-34.8K	-92	189.67	N/A	N/A	0	27	1
2010-09-07	$20.94	$20.00	28.4%	18.6%	9.4%	11.0%	0.0%	13.7%	21.0%	1.0K	-34.6K	-89	152.79	N/A	N/A	0	27	1
2010-09-08	$20.98	$20.00	179.3%	18.8%	9.4%	89.8%	0.0%	15.7%	21.1%	939	-34.9K	-88	189.67	N/A	N/A	0	27	1
2010-09-09	$21.04	$20.00	36.6%	10.5%	9.0%	15.3%	0.0%	76.3%	0.6%	1.3K	-36.6K	-83	187.03	N/A	N/A	0	27	1
2010-09-10	$21.09	$20.00	67.2%	19.3%	9.0%	31.3%	0.0%	16.2%	21.4%	888	-35.5K	-87	189.67	N/A	N/A	0	27	1
2010-09-13	$21.07	$20.00	70.2%	20.1%	9.0%	32.9%	0.0%	16.2%	20.6%	853	-35.2K	-84	189.67	N/A	N/A	0	27	1
2010-09-14	$21.10	$20.00	71.2%	20.4%	9.0%	33.4%	0.0%	15.7%	20.6%	952	-35.8K	-83	181.56	N/A	N/A	0	27	1
2010-09-15	$21.08	$20.00	44.5%	12.8%	8.8%	19.5%	0.0%	8.8%	12.3%	1.3K	-37.2K	-79	133.88	N/A	N/A	0	27	1
2010-09-16	$21.08	$20.00	65.3%	18.7%	8.8%	30.3%	0.0%	16.5%	36.5%	883	-35.4K	-81	189.04	N/A	N/A	0	27	1
2010-09-17	$20.96	$20.00	67.1%	19.2%	9.1%	31.3%	0.0%	16.3%	34.9%	947	-34.8K	-80	189.28	N/A	N/A	0	27	1
2010-09-20	$21.10	$20.00	71.2%	20.4%	9.3%	33.1%	0.0%	10.3%	59.6%	864	-35.4K	-78	190.07	N/A	N/A	0	27	1
2010-09-21	$21.04	$20.00	71.8%	20.6%	9.2%	33.5%	0.0%	9.4%	57.6%	883	-35.1K	-77	189.04	N/A	N/A	0	27	1
2010-09-22	$21.01	$20.00	21.0%	6.0%	8.3%	6.8%	0.0%	-4.0%	27.0%	2.0K	-39.8K	-65	176.32	N/A	N/A	1	27	1
2010-09-23	$20.97	$20.00	75.3%	21.6%	8.3%	34.9%	0.0%	8.6%	57.4%	860	-33.4K	-70	189.67	N/A	N/A	0	26	1
2010-09-24	$21.13	$20.00	77.2%	22.1%	8.5%	35.9%	0.0%	11.1%	61.4%	930	-34.6K	-69	189.19	N/A	N/A	0	26	1
2010-09-27	$21.16	$20.00	20.8%	6.0%	8.1%	6.1%	0.0%	1.2%	7.4%	1.9K	-43.6K	-43	123.94	N/A	N/A	0	26	1
2010-09-28	$21.16	$20.00	85.0%	24.4%	7.5%	40.0%	0.0%	11.9%	63.3%	951	-34.8K	-64	189.43	N/A	N/A	0	26	1
2010-09-29	$21.15	$20.00	86.1%	24.7%	7.5%	40.5%	0.0%	11.7%	61.8%	971	-34.8K	-63	188.08	N/A	N/A	0	26	1
2010-09-30	$21.18	$20.00	89.9%	25.8%	5.3%	42.6%	0.0%	12.4%	64.5%	960	-35.0K	-62	189.19	N/A	N/A	0	26	1