PBP Options History — November 2010 In November 2010, PBP traded between $21.42 and $21.83. ATM implied volatility averaged 71.3%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 64.7% (HV 20d: 6.6%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2010-11-24 : Largest IV spike — 4.4% change2010-11-29 : Highest IV Rank — 35.2%2010-11-29 : Largest Expected Move — 23.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.69 $21.42 $21.83 $21.42 $21.76 Max Pain $18.00 $18.00 $18.00 $18.00 $18.00 ATM IV 71.3% 64.6% 80.1% 64.6% 80.1% Expected Move 20.4% 18.5% 23.0% 18.5% 23.0% HV 20d 6.6% 4.7% 8.1% 8.1% 6.9% HV 60d 7.3% 6.7% 7.6% 7.5% 6.7% IV Rank 31.4% 29.2% 35.2% 29.2% 35.2% IV Percentile 62.5% 57.9% 65.9% 57.9% 65.9% Term Structure -40.4% -48.0% -10.3% -37.5% -10.3% Bid-Ask Spread % 173.29 169.22 183.33 183.33 170.81 Gamma HHI 0.41 0.38 0.42 0.41 0.38 Net GEX 191 152 195 188 152 Net DEX -8.9K -9.1K -8.5K -8.5K -9.1K Net VEX -23 -25 -21 -25 -21 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 6 6 6 6 6
Daily Data (20 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 2010-11-01 $21.42 $18.00 64.6% 18.5% 8.1% 29.2% 0.0% 0.0% -37.5% 188 -8.5K -25 0.00 183.33 N/A N/A 0 0 6 0 2010-11-02 $21.52 $18.00 64.8% 18.6% 7.4% 29.3% 0.0% 0.0% -37.2% 189 -8.6K -24 0.00 182.55 N/A N/A 0 0 6 0 2010-11-03 $21.60 $18.00 65.0% 18.6% 7.5% 29.4% 0.0% 0.0% -37.1% 189 -8.7K -24 0.00 182.55 N/A N/A 0 0 6 0 2010-11-04 $21.67 $18.00 66.6% 19.1% 7.5% 30.3% 0.0% 0.0% -39.8% 188 -8.8K -24 0.00 177.21 N/A N/A 0 0 6 0 2010-11-05 $21.73 $18.00 66.8% 19.2% 7.5% 30.4% 0.0% 0.0% -39.7% 194 -9.0K -24 0.00 169.22 N/A N/A 0 0 6 0 2010-11-08 $21.75 $18.00 68.1% 19.5% 7.5% 31.1% 0.0% 0.0% -40.5% 194 -9.0K -23 0.00 170.91 N/A N/A 0 0 6 0 2010-11-09 $21.68 $18.00 68.8% 19.7% 7.6% 31.4% 0.0% 0.0% -41.2% 194 -8.9K -23 0.00 170.91 N/A N/A 0 0 6 0 2010-11-10 $21.75 $18.00 69.0% 19.8% 7.6% 31.6% 0.0% 0.0% -41.1% 194 -9.0K -23 0.00 170.91 N/A N/A 0 0 6 0 2010-11-11 $21.74 $18.00 69.5% 19.9% 7.6% 29.4% 0.0% 0.0% -41.5% 194 -9.0K -23 0.00 170.91 N/A N/A 0 0 6 0 2010-11-12 $21.68 $18.00 71.7% 20.6% 6.7% 30.6% 0.0% 0.0% -43.7% 191 -8.9K -23 0.00 171.01 N/A N/A 0 0 6 0 2010-11-15 $21.72 $18.00 71.6% 20.5% 6.0% 30.6% 0.0% 0.0% -43.0% 194 -9.0K -23 0.00 170.91 N/A N/A 0 0 6 0 2010-11-16 $21.56 $18.00 71.1% 20.4% 5.1% 30.3% 0.0% 0.0% -41.3% 194 -8.8K -22 0.00 175.40 N/A N/A 0 0 6 0 2010-11-17 $21.65 $18.00 71.4% 20.5% 4.7% 30.4% 0.0% 0.0% -41.1% 195 -8.9K -22 0.00 172.12 N/A N/A 0 0 6 0 2010-11-18 $21.73 $18.00 73.2% 21.0% 4.8% 31.4% 0.0% 0.0% -44.0% 194 -9.0K -22 0.00 170.91 N/A N/A 0 0 6 0 2010-11-19 $21.75 $18.00 73.7% 21.1% 4.7% 31.7% 0.0% 0.0% -44.3% 194 -9.0K -22 0.00 170.91 N/A N/A 0 0 6 0 2010-11-22 $21.82 $18.00 76.1% 21.8% 4.8% 33.0% 0.0% 0.0% -45.5% 192 -9.0K -22 0.00 170.91 N/A N/A 0 0 6 0 2010-11-23 $21.63 $18.00 75.5% 21.7% 5.9% 32.7% 0.0% 0.0% -43.9% 195 -8.9K -21 0.00 173.93 N/A N/A 0 0 6 0 2010-11-24 $21.83 $18.00 78.8% 22.6% 6.6% 34.5% 0.0% 0.0% -47.9% 192 -9.1K -21 0.00 169.48 N/A N/A 0 0 6 0 2010-11-26 $21.72 $18.00 78.9% 22.6% 6.9% 34.6% 0.0% 0.0% -48.0% 194 -9.0K -21 0.00 170.91 N/A N/A 0 0 6 0 2010-11-29 $21.76 $18.00 80.1% 23.0% 6.9% 35.2% 0.0% 0.0% -10.3% 152 -9.1K -21 0.00 170.81 N/A N/A 0 0 6 0
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