PBP Options History — December 2021

In December 2021, PBP traded between $22.59 and $24.29. ATM implied volatility averaged 32.3%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 14.4% (HV 20d: 18.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.85.

Notable Days

2021-12-03: Highest Volume — 4 contracts
2021-12-14: Largest IV drop — 50.8% change
2021-12-13: Highest IV Rank — 25.7%
2021-12-03: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.55	$22.59	$24.29	$23.56	$23.17
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	32.3%	21.3%	58.4%	35.3%	24.7%
Expected Move	7.6%	6.1%	12.9%	10.1%	7.1%
HV 20d	18.0%	10.7%	25.7%	10.7%	24.1%
HV 60d	13.0%	10.2%	16.3%	10.2%	15.7%
IV Rank	11.7%	5.7%	25.7%	13.3%	7.6%
IV Percentile	23.7%	5.2%	41.1%	29.0%	15.3%
Term Structure	-6.8%	-20.7%	-0.8%	-12.2%	-7.7%
VWIV	34.8%	33.1%	37.9%	33.5%	37.9%
Skew 25d	2.1%	-6.6%	5.2%	4.6%	4.6%
Skew 10d	7.9%	-1.5%	22.3%	19.3%	7.7%
Call IV 25d	26.1%	16.1%	46.2%	38.4%	24.9%
Put IV 25d	28.2%	15.2%	48.7%	43.0%	29.5%
Bid-Ask Spread %	133.09	118.05	147.26	139.33	132.00
Gamma HHI	0.73	0.51	0.79	0.71	0.77
Net GEX	400	0	512	282	459
Net DEX	-3.8K	-6.4K	0	-3.2K	-4.4K
Net VEX	-51	-64	0	-56	-50
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.85	2.00	3.00	2.00	3.00
Total Volume	2.273	0	4	3	0
Total OI	10.545	0	12	10	10

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-12-01	$23.56	$0.00	35.3%	10.1%	10.7%	13.3%	33.5%	4.6%	-12.2%	282	-3.2K	-56	2.00	139.33	N/A	N/A	1	2	8	2
2021-12-02	$23.63	$24.00	33.5%	9.6%	10.7%	12.3%	33.1%	4.0%	-11.4%	504	-2.8K	-51	2.00	147.26	N/A	N/A	1	2	9	2
2021-12-03	$23.33	$24.00	44.9%	12.9%	11.3%	18.4%	37.9%	2.5%	-20.7%	359	-4.0K	-57	3.00	143.26	N/A	N/A	1	3	9	2
2021-12-06	$23.72	$0.00	37.7%	6.2%	13.0%	14.5%	0.0%	3.8%	-3.5%	380	-2.0K	-54	3.00	132.73	N/A	N/A	1	3	9	3
2021-12-07	$24.00	$0.00	37.9%	6.3%	13.7%	14.6%	0.0%	-6.6%	-3.7%	456	-3.0K	-56	3.00	133.12	N/A	N/A	1	3	9	3
2021-12-08	$24.07	$0.00	29.0%	6.3%	13.7%	9.9%	0.0%	-0.9%	-0.8%	259	-5.8K	-64	3.00	123.30	N/A	N/A	1	3	9	3
2021-12-09	$24.08	$0.00	43.1%	6.4%	13.6%	17.5%	0.0%	1.7%	-7.1%	510	-3.1K	-55	3.00	133.74	N/A	N/A	1	3	9	3
2021-12-10	$24.11	$0.00	46.9%	6.5%	13.5%	19.5%	0.0%	1.8%	-7.9%	508	-3.3K	-55	3.00	134.43	N/A	N/A	1	3	9	3
2021-12-13	$24.10	$0.00	58.4%	6.4%	13.5%	25.7%	0.0%	3.8%	-7.0%	465	-3.5K	-54	3.00	134.11	N/A	N/A	1	3	9	3
2021-12-14	$24.02	$0.00	28.7%	6.8%	13.6%	9.7%	0.0%	-0.6%	-3.3%	326	-6.4K	-63	3.00	118.75	N/A	N/A	1	3	9	3
2021-12-15	$24.29	$0.00	22.8%	6.5%	14.1%	6.5%	0.0%	2.9%	-6.0%	512	-4.5K	-56	3.00	132.81	N/A	N/A	1	3	9	3
2021-12-16	$24.17	$0.00	25.6%	7.4%	14.3%	8.1%	0.0%	-0.1%	-4.3%	304	-6.2K	-61	3.00	125.75	N/A	N/A	1	3	9	3
2021-12-17	$23.95	$0.00	23.6%	6.8%	14.6%	7.0%	0.0%	4.5%	-3.6%	397	-3.1K	-52	3.00	134.23	N/A	N/A	1	3	9	3
2021-12-20	$22.59	$0.00	27.0%	7.7%	25.3%	8.8%	0.0%	2.4%	-5.9%	0	0	0	0.00	133.97	N/A	N/A	0	0	0	0
2021-12-21	$22.78	$0.00	25.5%	7.3%	25.6%	8.0%	0.0%	2.0%	-4.2%	424	-2.7K	-48	0.00	134.33	N/A	N/A	0	0	8	2
2021-12-22	$22.89	$0.00	26.3%	7.5%	25.7%	8.4%	0.0%	2.2%	-6.1%	452	-3.1K	-48	0.00	134.32	N/A	N/A	0	0	8	2
2021-12-23	$22.98	$0.00	26.7%	7.6%	25.6%	8.6%	0.0%	3.4%	-5.6%	394	-3.9K	-50	0.00	134.45	N/A	N/A	0	0	8	2
2021-12-27	$23.11	$0.00	33.3%	9.5%	25.3%	12.2%	0.0%	2.9%	-7.4%	466	-4.2K	-50	0.00	138.93	N/A	N/A	0	0	8	2
2021-12-28	$23.15	$0.00	29.1%	8.3%	24.9%	9.9%	0.0%	5.2%	-6.3%	449	-4.3K	-50	0.00	134.52	N/A	N/A	0	0	8	2
2021-12-29	$23.17	$0.00	29.7%	8.5%	24.1%	10.2%	0.0%	2.5%	-6.6%	456	-4.5K	-51	0.00	134.53	N/A	N/A	0	0	8	2
2021-12-30	$23.16	$0.00	21.3%	6.1%	24.1%	5.7%	0.0%	0.3%	-9.5%	442	-4.6K	-49	0.00	118.05	N/A	N/A	0	0	8	2
2021-12-31	$23.17	$0.00	24.7%	7.1%	24.1%	7.6%	0.0%	4.6%	-7.7%	459	-4.4K	-50	0.00	132.00	N/A	N/A	0	0	8	2