PBP Options History — January 2011

In January 2011, PBP traded between $20.92 and $21.13. ATM implied volatility averaged 104.2%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded above realized volatility by 86.4% (HV 20d: 17.8%). Max pain ranged from $16.64 to $20.64. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2011-01-03: Highest Volume — 2 contracts
2011-01-18: Largest IV drop — 64.5% change
2011-01-14: Highest IV Rank — 85.1%
2011-01-14: Largest Expected Move — 49.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.01	$20.92	$21.13	$20.96	$21.02
Max Pain	$19.09	$16.64	$20.64	$16.64	$20.64
ATM IV	104.2%	60.8%	171.5%	151.0%	65.9%
Expected Move	29.9%	17.4%	49.2%	43.3%	18.9%
HV 20d	17.8%	3.3%	21.3%	21.2%	5.2%
HV 60d	13.3%	13.0%	13.6%	13.6%	13.2%
IV Rank	48.4%	24.7%	85.1%	73.9%	27.5%
IV Percentile	67.6%	41.7%	96.8%	94.0%	46.0%
Term Structure	-81.1%	-112.5%	-58.5%	-58.5%	-112.5%
VWIV	127.9%	127.9%	127.9%	127.9%	127.9%
Bid-Ask Spread %	182.17	160.85	200.00	164.73	200.00
Gamma HHI	0.93	0.38	1.00	0.38	1.00
Net GEX	59	53	111	111	55
Net DEX	-4.0K	-7.4K	-2.4K	-7.4K	-2.4K
Net VEX	-8	-13	-7	-13	-7
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	0.1	0	2	2	0
Total OI	2.8	2	5	5	2

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2011-01-03	$20.96	$16.64	151.0%	43.3%	21.2%	73.9%	127.9%	0.0%	-58.5%	111	-7.4K	-13	164.73	N/A	N/A	2	5
2011-01-04	$20.94	$17.64	155.2%	44.5%	21.1%	76.2%	0.0%	0.0%	-61.6%	75	-4.0K	-10	164.73	N/A	N/A	0	3
2011-01-05	$21.00	$17.64	118.4%	33.9%	21.1%	56.1%	0.0%	0.0%	-63.7%	58	-4.5K	-9	164.73	N/A	N/A	0	3
2011-01-06	$20.95	$17.64	123.3%	35.3%	21.1%	58.8%	0.0%	0.0%	-68.0%	57	-4.5K	-9	160.85	N/A	N/A	0	3
2011-01-07	$20.97	$17.64	126.8%	36.3%	21.1%	60.7%	0.0%	0.0%	-70.7%	57	-4.5K	-9	164.73	N/A	N/A	0	3
2011-01-10	$20.95	$17.64	142.3%	40.8%	21.1%	69.2%	0.0%	0.0%	-85.2%	55	-4.5K	-8	164.73	N/A	N/A	0	3
2011-01-11	$21.00	$17.64	147.2%	42.2%	21.1%	71.8%	0.0%	0.0%	-90.1%	55	-4.5K	-8	164.73	N/A	N/A	0	3
2011-01-12	$21.02	$17.64	153.7%	44.1%	21.1%	75.4%	0.0%	0.0%	-96.5%	55	-4.5K	-8	164.73	N/A	N/A	0	3
2011-01-13	$21.02	$17.64	162.0%	46.4%	21.1%	79.9%	0.0%	0.0%	-104.5%	55	-4.5K	-8	164.73	N/A	N/A	0	3
2011-01-14	$21.03	$17.64	171.5%	49.2%	21.1%	85.1%	0.0%	0.0%	-112.5%	54	-4.5K	-8	164.73	N/A	N/A	0	3
2011-01-18	$21.04	$20.64	60.8%	17.4%	21.2%	24.7%	0.0%	0.0%	0.0%	55	-4.5K	-8	200.00	N/A	N/A	0	3
2011-01-19	$21.11	$20.64	61.0%	17.5%	21.3%	24.8%	0.0%	0.0%	0.0%	55	-4.6K	-8	200.00	N/A	N/A	0	3
2011-01-20	$21.05	$20.64	61.5%	17.6%	21.2%	25.0%	0.0%	0.0%	0.0%	55	-4.5K	-8	200.00	N/A	N/A	0	3
2011-01-21	$20.97	$20.64	63.3%	18.1%	21.1%	26.0%	0.0%	0.0%	0.0%	53	-4.5K	-8	200.00	N/A	N/A	0	3
2011-01-24	$21.03	$20.64	63.0%	18.1%	21.2%	25.9%	0.0%	0.0%	0.0%	55	-2.4K	-8	200.00	N/A	N/A	0	2
2011-01-25	$21.05	$20.64	63.4%	18.2%	21.2%	26.1%	0.0%	0.0%	0.0%	55	-2.4K	-8	200.00	N/A	N/A	0	2
2011-01-26	$21.10	$20.64	63.7%	18.3%	3.6%	26.2%	0.0%	0.0%	0.0%	55	-2.5K	-8	200.00	N/A	N/A	0	2
2011-01-27	$21.13	$20.64	64.0%	18.4%	3.3%	26.4%	0.0%	0.0%	0.0%	55	-2.5K	-8	200.00	N/A	N/A	0	2
2011-01-28	$20.92	$20.64	66.2%	19.0%	5.0%	27.6%	0.0%	0.0%	0.0%	53	-2.4K	-8	200.00	N/A	N/A	0	2
2011-01-31	$21.02	$20.64	65.9%	18.9%	5.2%	27.5%	0.0%	0.0%	0.0%	55	-2.4K	-7	200.00	N/A	N/A	0	2