PBP Options History — January 2022 In January 2022, PBP traded between $21.91 and $23.19. ATM implied volatility averaged 32.4%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 15.4% (HV 20d: 17.0%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days.
Notable Days 2022-01-07 : Largest IV spike — 50.1% change2022-01-25 : Highest IV Rank — 18.3%2022-01-25 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $22.72 $21.91 $23.19 $23.13 $22.45 ATM IV 32.4% 22.7% 44.6% 32.4% 31.1% Expected Move 8.6% 4.6% 12.8% 9.3% 8.9% HV 20d 17.0% 6.6% 23.7% 23.7% 12.0% HV 60d 15.6% 15.1% 16.5% 15.5% 16.5% IV Rank 11.7% 6.5% 18.3% 11.7% 11.0% IV Percentile 30.1% 8.1% 45.2% 30.6% 31.9% Term Structure -6.7% -12.1% -0.2% -9.7% -6.3% Skew 25d 4.5% -0.8% 25.1% 4.1% 0.8% Skew 10d 4.1% 0.1% 23.3% 0.9% 11.1% Call IV 25d 25.6% 13.6% 48.6% 25.1% 38.5% Put IV 25d 30.1% 16.1% 56.3% 29.2% 39.3% Bid-Ask Spread % 132.70 114.81 141.94 133.11 130.84 Gamma HHI 0.74 0.63 0.82 0.78 0.68 Net GEX 376 183 573 461 301 Net DEX -3.7K -6.0K -1.6K -4.3K -4.1K Net VEX -46 -54 -39 -50 -45 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 10 10 10 10 10
Daily Data (19 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 2022-01-03 $23.13 $0.00 32.4% 9.3% 23.7% 11.7% 0.0% 4.1% -9.7% 461 -4.3K -50 0.00 133.11 N/A N/A 0 0 8 2 2022-01-04 $23.19 $0.00 33.2% 9.5% 22.9% 12.1% 0.0% 4.8% -10.5% 480 -4.5K -50 0.00 133.72 N/A N/A 0 0 8 2 2022-01-05 $23.05 $0.00 33.8% 9.7% 22.4% 12.5% 0.0% 2.8% -10.1% 471 -3.9K -48 0.00 133.33 N/A N/A 0 0 8 2 2022-01-06 $23.07 $0.00 22.7% 4.6% 22.3% 6.5% 0.0% 2.5% -2.9% 573 -3.2K -43 0.00 114.81 N/A N/A 0 0 8 2 2022-01-07 $23.08 $0.00 34.0% 6.5% 22.3% 12.6% 0.0% 5.1% -0.2% 326 -6.0K -54 0.00 129.74 N/A N/A 0 0 8 2 2022-01-10 $23.03 $0.00 39.3% 6.9% 22.3% 15.4% 0.0% 4.2% -3.0% 448 -3.9K -47 0.00 134.59 N/A N/A 0 0 8 2 2022-01-11 $23.10 $0.00 35.2% 5.8% 22.4% 13.2% 0.0% 2.6% -4.1% 455 -4.1K -47 0.00 132.84 N/A N/A 0 0 8 2 2022-01-12 $23.14 $0.00 34.2% 9.8% 22.4% 12.7% 0.0% 0.4% -5.8% 508 -4.3K -48 0.00 141.94 N/A N/A 0 0 8 2 2022-01-13 $23.06 $0.00 25.2% 7.2% 21.9% 7.8% 0.0% 25.1% -4.5% 468 -4.0K -47 0.00 133.29 N/A N/A 0 0 8 2 2022-01-14 $23.10 $0.00 25.9% 7.4% 21.9% 8.2% 0.0% 4.6% -4.4% 493 -4.1K -47 0.00 134.00 N/A N/A 0 0 8 2 2022-01-18 $22.86 $0.00 26.9% 7.7% 22.0% 8.7% 0.0% 3.6% -4.5% 390 -3.4K -45 0.00 134.08 N/A N/A 0 0 8 2 2022-01-19 $22.81 $0.00 30.0% 8.6% 6.6% 10.4% 0.0% 3.7% -7.3% 314 -5.9K -51 0.00 130.63 N/A N/A 0 0 8 2 2022-01-20 $22.53 $0.00 26.9% 7.7% 7.4% 8.8% 0.0% 2.5% -5.1% 253 -3.1K -44 0.00 131.76 N/A N/A 0 0 8 2 2022-01-21 $22.10 $0.00 29.8% 8.5% 9.7% 10.3% 0.0% 1.3% -11.0% 183 -3.0K -44 0.00 136.55 N/A N/A 0 0 8 2 2022-01-24 $21.91 $0.00 30.7% 8.8% 9.7% 10.8% 0.0% 8.1% -3.8% 223 -1.6K -40 0.00 128.95 N/A N/A 0 0 8 2 2022-01-25 $22.01 $0.00 44.6% 12.8% 9.6% 18.3% 0.0% 7.7% -11.1% 268 -1.7K -39 0.00 141.62 N/A N/A 0 0 8 2 2022-01-27 $21.91 $0.00 37.6% 10.8% 9.5% 14.5% 0.0% -0.8% -11.3% 257 -3.5K -44 0.00 127.67 N/A N/A 0 0 8 2 2022-01-28 $22.21 $0.00 41.4% 11.9% 11.1% 16.6% 0.0% 2.3% -12.1% 278 -2.2K -40 0.00 137.80 N/A N/A 0 0 8 2 2022-01-31 $22.45 $0.00 31.1% 8.9% 12.0% 11.0% 0.0% 0.8% -6.3% 301 -4.1K -45 0.00 130.84 N/A N/A 0 0 8 2
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