PBP Options History — December 2010

In December 2010, PBP traded between $20.83 and $22.19. ATM implied volatility averaged 103.2%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 29.6%. IV traded above realized volatility by 94.0% (HV 20d: 9.2%). Max pain ranged from $16.64 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2010-12-20: Highest Volume — 1 contracts
2010-12-31: Largest IV drop — 18.8% change
2010-12-30: Highest IV Rank — 66.7%
2010-12-30: Largest Expected Move — 39.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.88	$20.83	$22.19	$21.90	$20.89
Max Pain	$17.75	$16.64	$18.00	$18.00	$16.64
ATM IV	103.2%	83.8%	137.9%	83.8%	111.9%
Expected Move	29.6%	24.0%	39.5%	24.0%	32.1%
HV 20d	9.2%	4.2%	21.4%	7.2%	21.2%
HV 60d	7.9%	6.4%	13.7%	6.8%	13.6%
IV Rank	47.8%	37.2%	66.7%	37.2%	52.6%
IV Percentile	76.9%	66.7%	90.9%	66.7%	82.9%
Term Structure	-38.2%	-58.3%	-15.5%	-15.5%	-47.4%
VWIV	26.3%	26.3%	26.3%	26.3%	26.3%
Bid-Ask Spread %	160.95	151.57	165.21	165.21	159.26
Gamma HHI	0.38	0.36	0.41	0.38	0.36
Net GEX	150	113	195	151	117
Net DEX	-8.8K	-9.6K	-7.4K	-9.3K	-7.7K
Net VEX	-17	-20	-12	-20	-12
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	0.045	0	1	0	0
Total OI	5.636	5	6	6	5

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
2010-12-01	$21.90	$18.00	83.8%	24.0%	7.2%	37.2%	0.0%	0.0%	-15.5%	151	-9.3K	-20	165.21	N/A	N/A	0	6
2010-12-02	$21.95	$18.00	84.5%	24.2%	7.1%	37.6%	0.0%	0.0%	-52.9%	194	-9.3K	-20	165.21	N/A	N/A	0	6
2010-12-03	$22.04	$18.00	85.0%	24.4%	7.1%	37.9%	0.0%	0.0%	-52.8%	195	-9.4K	-20	165.21	N/A	N/A	0	6
2010-12-06	$22.05	$18.00	89.5%	25.7%	7.1%	40.4%	0.0%	0.0%	-58.3%	194	-9.4K	-19	160.07	N/A	N/A	0	6
2010-12-07	$22.14	$18.00	90.2%	25.8%	7.1%	40.7%	0.0%	0.0%	-20.4%	151	-9.6K	-19	160.07	N/A	N/A	0	6
2010-12-08	$22.11	$18.00	91.3%	26.2%	7.2%	41.3%	0.0%	0.0%	-21.2%	151	-9.5K	-19	160.07	N/A	N/A	0	6
2010-12-09	$22.12	$18.00	92.3%	26.5%	7.0%	41.9%	0.0%	0.0%	-21.7%	151	-9.5K	-19	160.07	N/A	N/A	0	6
2010-12-10	$22.15	$18.00	94.3%	27.0%	7.0%	42.9%	0.0%	0.0%	-21.1%	149	-9.6K	-19	162.74	N/A	N/A	0	6
2010-12-13	$22.16	$18.00	94.7%	27.2%	6.9%	43.2%	0.0%	0.0%	-24.1%	151	-9.6K	-18	160.07	N/A	N/A	0	6
2010-12-14	$22.17	$18.00	95.9%	27.5%	6.8%	43.8%	0.0%	0.0%	-41.9%	166	-9.6K	-18	160.07	N/A	N/A	0	6
2010-12-15	$22.11	$18.00	97.5%	27.9%	6.9%	44.7%	0.0%	0.0%	-43.3%	166	-9.5K	-18	160.07	N/A	N/A	0	6
2010-12-16	$22.12	$18.00	98.8%	28.3%	6.2%	45.4%	0.0%	0.0%	-44.1%	166	-9.6K	-18	160.07	N/A	N/A	0	6
2010-12-17	$22.07	$18.00	99.3%	28.5%	6.2%	45.7%	0.0%	0.0%	-43.3%	165	-9.5K	-18	163.95	N/A	N/A	0	6
2010-12-20	$22.06	$18.00	105.0%	30.1%	6.2%	48.8%	26.3%	0.0%	-44.2%	166	-9.5K	-17	165.21	N/A	N/A	1	6
2010-12-21	$22.13	$18.00	108.7%	31.2%	6.2%	50.8%	0.0%	0.0%	-49.2%	144	-7.7K	-15	160.07	N/A	N/A	0	5
2010-12-22	$22.16	$18.00	110.3%	31.6%	6.2%	51.7%	0.0%	0.0%	-32.3%	130	-7.8K	-15	160.07	N/A	N/A	0	5
2010-12-23	$22.19	$18.00	112.1%	32.1%	5.0%	52.6%	0.0%	0.0%	-33.2%	130	-7.9K	-15	160.07	N/A	N/A	0	5
2010-12-27	$22.16	$18.00	120.8%	34.6%	4.2%	57.4%	0.0%	0.0%	-39.0%	130	-7.8K	-14	151.57	N/A	N/A	0	5
2010-12-28	$20.90	$16.64	131.9%	37.8%	21.4%	63.5%	0.0%	0.0%	-42.5%	113	-7.4K	-13	160.56	N/A	N/A	0	5
2010-12-29	$20.83	$16.64	135.2%	38.8%	21.4%	65.3%	0.0%	0.0%	-45.3%	113	-7.4K	-13	160.56	N/A	N/A	0	5
2010-12-30	$20.88	$16.64	137.9%	39.5%	21.2%	66.7%	0.0%	0.0%	-46.6%	113	-7.4K	-13	160.56	N/A	N/A	0	5
2010-12-31	$20.89	$16.64	111.9%	32.1%	21.2%	52.6%	0.0%	0.0%	-47.4%	117	-7.7K	-12	159.26	N/A	N/A	0	5