PBP Options History — February 2011

In February 2011, PBP traded between $20.95 and $21.36. ATM implied volatility averaged 70.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 63.5% (HV 20d: 6.5%). Max pain ranged from $20.64 to $20.64. Net GEX was positive for 19 of 19 trading days.

Notable Days

  • 2011-02-28: Largest IV spike — 310.6% change
  • 2011-02-28: Highest IV Rank — 36.7%
  • 2011-02-28: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.24$20.95$21.36$21.19$21.24
Max Pain$20.64$20.64$20.64$20.64$20.64
ATM IV70.0%20.2%82.9%66.0%82.9%
Expected Move20.1%5.8%23.8%18.9%23.8%
HV 20d6.5%5.5%8.5%5.8%7.8%
HV 60d13.3%13.2%13.4%13.3%13.3%
IV Rank29.7%2.5%36.7%27.5%36.7%
IV Percentile51.3%2.4%60.3%46.0%60.3%
Bid-Ask Spread %191.7743.70200.00200.00200.00
Gamma HHI1.001.001.001.001.00
Net GEX64542155556
Net DEX-2.5K-2.7K-2.4K-2.5K-2.5K
Net VEX-7-7-6-7-6
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI22222

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$21.19$20.6466.0%18.9%5.8%27.5%0.0%0.0%0.0%55-2.5K-70.00200.00N/AN/A0020
2011-02-02$21.18$20.6466.5%19.1%5.8%27.8%0.0%0.0%0.0%55-2.5K-70.00200.00N/AN/A0020
2011-02-03$21.28$20.6466.8%19.1%5.9%27.9%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-04$21.32$20.6468.6%19.7%5.8%28.9%0.0%0.0%0.0%55-2.5K-70.00200.00N/AN/A0020
2011-02-07$21.29$20.6468.7%19.7%5.9%29.0%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-08$21.32$20.6470.6%20.2%5.9%30.0%0.0%0.0%0.0%55-2.5K-70.00200.00N/AN/A0020
2011-02-09$21.29$20.6469.8%20.0%5.9%29.6%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-10$21.34$20.6470.2%20.1%5.9%29.8%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-11$21.33$20.6470.8%20.3%5.9%30.1%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-14$21.34$20.6472.5%20.8%5.9%31.0%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-15$21.34$20.6473.1%20.9%5.9%31.4%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-16$21.33$20.6473.7%21.1%5.9%31.7%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-17$21.35$20.6474.3%21.3%5.7%32.0%0.0%0.0%0.0%56-2.5K-70.00200.00N/AN/A0020
2011-02-18$21.36$20.6474.9%21.5%5.5%32.4%0.0%0.0%0.0%56-2.6K-70.00200.00N/AN/A0020
2011-02-22$21.02$20.6480.1%23.0%8.1%35.2%0.0%0.0%0.0%54-2.4K-60.00200.00N/AN/A0020
2011-02-23$20.95$20.6479.4%22.8%8.2%34.8%0.0%0.0%0.0%55-2.4K-60.00200.00N/AN/A0020
2011-02-24$20.99$20.6480.1%23.0%8.1%35.2%0.0%0.0%0.0%55-2.4K-60.00200.00N/AN/A0020
2011-02-25$21.14$20.6420.2%5.8%8.5%2.5%0.0%0.0%0.0%215-2.7K-60.0043.70N/AN/A0020
2011-02-28$21.24$20.6482.9%23.8%7.8%36.7%0.0%0.0%0.0%56-2.5K-60.00200.00N/AN/A0020