PBP Options History — March 2011 In March 2011, PBP traded between $20.28 and $21.33. ATM implied volatility averaged 108.6%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded above realized volatility by 95.9% (HV 20d: 12.8%). Max pain ranged from $20.64 to $20.64. Net GEX was positive for 23 of 23 trading days.
Notable Days 2011-03-28 : Largest IV spike — 7.6% change2011-03-31 : Highest IV Rank — 70.8%2011-03-31 : Largest Expected Move — 41.6%Monthly Statistics Metric Avg Min Max Open Close Price $20.94 $20.28 $21.33 $21.01 $21.13 Max Pain $20.64 $20.64 $20.64 $20.64 $20.64 ATM IV 108.6% 84.3% 145.3% 84.3% 145.3% Expected Move 31.1% 24.2% 41.6% 24.2% 41.6% HV 20d 12.8% 8.1% 15.8% 8.7% 13.1% HV 60d 13.3% 9.9% 15.5% 13.5% 9.9% IV Rank 50.8% 37.5% 70.8% 37.5% 70.8% IV Percentile 74.7% 60.7% 90.5% 60.7% 90.5% Bid-Ask Spread % 200.00 200.00 200.00 200.00 200.00 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 54 52 55 55 54 Net DEX -2.4K -2.5K -2.2K -2.4K -2.5K Net VEX -5 -6 -3 -6 -3 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2 2 2 2 2
Daily Data (23 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 2011-03-01 $21.01 $20.64 84.3% 24.2% 8.7% 37.5% 0.0% 0.0% 0.0% 55 -2.4K -6 0.00 200.00 N/A N/A 0 0 2 0 2011-03-02 $21.01 $20.64 85.2% 24.4% 8.1% 38.0% 0.0% 0.0% 0.0% 55 -2.4K -6 0.00 200.00 N/A N/A 0 0 2 0 2011-03-03 $21.33 $20.64 87.2% 25.0% 9.8% 39.1% 0.0% 0.0% 0.0% 55 -2.5K -6 0.00 200.00 N/A N/A 0 0 2 0 2011-03-04 $21.19 $20.64 88.6% 25.4% 10.0% 39.8% 0.0% 0.0% 0.0% 54 -2.5K -6 0.00 200.00 N/A N/A 0 0 2 0 2011-03-07 $21.12 $20.64 90.2% 25.9% 10.0% 40.7% 0.0% 0.0% 0.0% 55 -2.5K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-08 $21.28 $20.64 92.8% 26.6% 10.4% 42.2% 0.0% 0.0% 0.0% 55 -2.5K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-09 $21.23 $20.64 94.2% 27.0% 10.4% 42.9% 0.0% 0.0% 0.0% 55 -2.5K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-10 $20.87 $20.64 94.5% 27.1% 12.0% 43.0% 0.0% 0.0% 0.0% 55 -2.4K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-11 $21.04 $20.64 95.3% 27.3% 12.4% 43.5% 0.0% 0.0% 0.0% 55 -2.4K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-14 $20.91 $20.64 102.0% 29.3% 12.6% 47.2% 0.0% 0.0% 0.0% 54 -2.4K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-15 $20.67 $20.64 104.3% 29.9% 13.1% 48.4% 0.0% 0.0% 0.0% 53 -2.3K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-16 $20.28 $20.64 106.9% 30.6% 14.4% 49.8% 0.0% 0.0% 0.0% 52 -2.2K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-17 $20.53 $20.64 107.8% 30.9% 15.4% 50.3% 0.0% 0.0% 0.0% 53 -2.3K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-18 $20.58 $20.64 109.6% 31.4% 15.4% 51.3% 0.0% 0.0% 0.0% 53 -2.3K -5 0.00 200.00 N/A N/A 0 0 2 0 2011-03-21 $20.76 $20.64 115.2% 33.0% 15.8% 54.3% 0.0% 0.0% 0.0% 53 -2.4K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-22 $20.81 $20.64 117.3% 33.6% 14.9% 55.5% 0.0% 0.0% 0.0% 53 -2.4K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-23 $20.87 $20.64 119.5% 34.3% 14.9% 56.7% 0.0% 0.0% 0.0% 54 -2.4K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-24 $20.94 $20.64 121.8% 34.9% 15.0% 58.0% 0.0% 0.0% 0.0% 54 -2.4K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-25 $20.97 $20.64 124.4% 35.7% 14.7% 59.4% 0.0% 0.0% 0.0% 54 -2.4K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-28 $20.97 $20.64 133.9% 38.4% 14.6% 64.6% 0.0% 0.0% 0.0% 54 -2.4K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-29 $21.01 $20.64 137.4% 39.4% 14.1% 66.5% 0.0% 0.0% 0.0% 54 -2.5K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-30 $21.11 $20.64 141.0% 40.4% 14.2% 68.4% 0.0% 0.0% 0.0% 54 -2.5K -4 0.00 200.00 N/A N/A 0 0 2 0 2011-03-31 $21.13 $20.64 145.3% 41.6% 13.1% 70.8% 0.0% 0.0% 0.0% 54 -2.5K -3 0.00 200.00 N/A N/A 0 0 2 0
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