PBP Options History — October 2010

In October 2010, PBP traded between $21.15 and $21.43. ATM implied volatility averaged 86.8%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 79.9% (HV 20d: 6.9%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2010-10-05: Highest Volume — 10 contracts
2010-10-05: Largest IV spike — 363.6% change
2010-10-13: Highest IV Rank — 92.6%
2010-10-08: Largest Expected Move — 39.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.34	$21.15	$21.43	$21.20	$21.39
Max Pain	$18.57	$18.00	$20.00	$20.00	$18.00
ATM IV	86.8%	26.3%	184.8%	92.5%	63.5%
Expected Move	20.6%	7.5%	39.8%	26.5%	18.2%
HV 20d	6.9%	5.0%	8.4%	5.0%	8.1%
HV 60d	8.1%	7.1%	10.0%	10.0%	7.5%
IV Rank	40.9%	9.0%	92.6%	44.0%	28.7%
IV Percentile	67.0%	25.4%	98.8%	69.8%	57.5%
Term Structure	-31.9%	-69.0%	65.4%	65.4%	-36.9%
VWIV	147.6%	147.6%	147.6%	147.6%	147.6%
Skew 25d	12.8%	12.8%	12.8%	12.8%	12.8%
Skew 10d	12.8%	12.8%	12.8%	12.8%	12.8%
Call IV 25d	91.4%	91.4%	91.4%	91.4%	91.4%
Put IV 25d	104.3%	104.3%	104.3%	104.3%	104.3%
Bid-Ask Spread %	186.90	173.59	200.00	189.19	183.33
Gamma HHI	0.46	0.31	0.73	0.66	0.41
Net GEX	477	185	1.9K	962	188
Net DEX	-18.8K	-43.6K	-8.1K	-35.1K	-8.4K
Net VEX	-32	-61	-25	-61	-25
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	0.476	0	10	0	0
Total OI	13.19	6	27	27	6

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
2010-10-01	$21.20	$20.00	92.5%	26.5%	5.0%	44.0%	0.0%	12.8%	65.4%	962	-35.1K	-61	189.19	N/A	N/A	0	26	1
2010-10-04	$21.15	$20.00	26.3%	7.5%	5.0%	9.0%	0.0%	0.0%	6.4%	1.9K	-43.6K	-39	173.59	N/A	N/A	0	26	1
2010-10-05	$21.36	$20.00	121.8%	34.9%	5.9%	59.4%	147.6%	0.0%	-54.6%	772	-35.0K	-56	200.00	N/A	N/A	10	26	1
2010-10-06	$21.32	$20.00	126.0%	36.1%	5.9%	61.6%	0.0%	0.0%	-58.3%	466	-21.0K	-42	200.00	N/A	N/A	0	16	1
2010-10-07	$21.32	$20.00	99.9%	28.6%	5.9%	47.9%	0.0%	0.0%	-44.2%	589	-21.5K	-41	200.00	N/A	N/A	0	16	1
2010-10-08	$21.40	$20.00	138.7%	39.8%	6.0%	68.3%	0.0%	0.0%	-69.0%	496	-21.4K	-40	200.00	N/A	N/A	0	16	1
2010-10-11	$21.40	$18.00	142.7%	16.4%	5.9%	70.4%	0.0%	0.0%	-33.0%	765	-26.1K	-31	183.33	N/A	N/A	0	16	1
2010-10-12	$21.37	$18.00	160.4%	17.0%	6.0%	79.7%	0.0%	0.0%	-34.6%	751	-26.3K	-30	182.86	N/A	N/A	0	16	1
2010-10-13	$21.38	$18.00	184.8%	16.7%	5.9%	92.6%	0.0%	0.0%	-33.5%	658	-26.7K	-29	183.33	N/A	N/A	0	16	1
2010-10-14	$21.43	$18.00	58.5%	16.8%	6.0%	26.0%	0.0%	0.0%	-33.4%	447	-27.4K	-27	183.97	N/A	N/A	0	16	1
2010-10-15	$21.22	$18.00	57.4%	16.5%	6.7%	25.4%	0.0%	0.0%	-30.9%	313	-27.2K	-26	175.50	N/A	N/A	0	16	1
2010-10-18	$21.41	$18.00	59.1%	16.9%	7.0%	26.3%	0.0%	0.0%	-33.0%	188	-8.5K	-26	186.57	N/A	N/A	0	6	0
2010-10-19	$21.17	$18.00	60.0%	17.2%	8.1%	26.8%	0.0%	0.0%	-34.4%	187	-8.1K	-26	187.50	N/A	N/A	0	6	0
2010-10-20	$21.32	$18.00	60.0%	17.2%	8.4%	26.8%	0.0%	0.0%	-33.9%	187	-8.3K	-26	186.57	N/A	N/A	0	6	0
2010-10-21	$21.35	$18.00	60.2%	17.3%	8.4%	26.9%	0.0%	0.0%	-33.9%	188	-8.4K	-26	185.29	N/A	N/A	0	6	0
2010-10-22	$21.42	$18.00	60.4%	17.3%	8.1%	27.0%	0.0%	0.0%	-33.8%	188	-8.5K	-26	186.57	N/A	N/A	0	6	0
2010-10-25	$21.40	$18.00	62.1%	17.8%	8.1%	27.9%	0.0%	0.0%	-35.9%	187	-8.4K	-25	182.55	N/A	N/A	0	6	0
2010-10-26	$21.39	$18.00	61.8%	17.7%	8.1%	27.7%	0.0%	0.0%	-34.8%	188	-8.4K	-25	185.29	N/A	N/A	0	6	0
2010-10-27	$21.43	$18.00	63.4%	18.2%	8.1%	28.6%	0.0%	0.0%	-36.2%	185	-8.5K	-25	186.13	N/A	N/A	0	6	0
2010-10-28	$21.41	$18.00	63.1%	18.1%	8.1%	28.5%	0.0%	0.0%	-36.6%	188	-8.5K	-25	183.33	N/A	N/A	0	6	0
2010-10-29	$21.39	$18.00	63.5%	18.2%	8.1%	28.7%	0.0%	0.0%	-36.9%	188	-8.4K	-25	183.33	N/A	N/A	0	6	0