PBP Options History — February 2023

In February 2023, PBP traded between $20.85 and $21.13. ATM implied volatility averaged 30.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 26.4% (HV 20d: 4.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 3 of 19 days.

Notable Days

  • 2023-02-08: Largest IV drop — 25.2% change
  • 2023-02-28: Highest IV Rank — 10.1%
  • 2023-02-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.02$20.85$21.13$21.02$20.91
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.8%26.2%36.8%28.5%36.8%
Expected Move8.5%7.3%10.5%8.2%10.5%
HV 20d4.4%3.5%5.7%4.7%5.7%
HV 60d8.2%7.9%8.5%8.5%7.9%
IV Rank6.9%4.5%10.1%5.7%10.1%
IV Percentile19.0%5.2%41.3%11.9%41.3%
Term Structure-2.8%-12.4%42.2%4.2%-11.9%
Skew 25d3.4%1.8%8.5%4.0%2.1%
Skew 10d9.4%6.6%22.6%8.3%7.3%
Call IV 25d23.4%17.6%37.9%25.7%27.6%
Put IV 25d26.8%20.4%42.6%29.7%29.7%
Bid-Ask Spread %135.06132.70140.37136.19134.31
Gamma HHI0.570.531.000.531.00
Net GEX10001.2K630
Net DEX-519-1.8K0-6430
Net VEX-1-30-30
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1.3680220

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$21.02$20.0028.5%8.2%4.7%5.7%0.0%4.0%4.2%63-643-30.00136.19N/AN/A0011
2023-02-02$21.06$0.0029.3%7.3%4.7%6.1%0.0%2.8%-6.9%63-682-30.00136.19N/AN/A0011
2023-02-03$21.04$0.0030.4%7.4%4.8%6.7%0.0%2.7%-6.7%62-664-30.00135.32N/AN/A0011
2023-02-06$21.05$0.0033.4%7.7%4.0%8.3%0.0%2.9%-8.0%60-665-30.00135.64N/AN/A0011
2023-02-07$21.07$0.0035.0%7.7%4.0%9.2%0.0%3.8%-7.8%60-691-20.00134.76N/AN/A0011
2023-02-08$21.05$0.0026.2%7.5%4.1%4.5%0.0%1.8%-7.2%59-670-20.00134.26N/AN/A0011
2023-02-09$21.02$0.0027.1%7.8%4.1%4.9%0.0%2.8%-8.1%53-623-20.00134.65N/AN/A0011
2023-02-10$21.05$0.0027.0%7.7%4.0%4.8%0.0%3.8%-7.8%50-644-20.00134.89N/AN/A0011
2023-02-13$21.09$0.0028.6%8.2%4.0%5.7%0.0%3.3%-8.6%61-707-20.00134.59N/AN/A0011
2023-02-14$21.08$0.0028.6%8.2%4.0%5.7%0.0%2.2%-9.1%58-683-10.00140.37N/AN/A0011
2023-02-15$21.13$0.0028.5%8.2%4.0%5.7%0.0%3.7%-9.7%66-768-10.00133.93N/AN/A0011
2023-02-16$21.09$0.0029.6%8.5%4.2%6.2%0.0%3.1%41.2%50-648-10.00134.74N/AN/A0011
2023-02-17$21.09$0.0030.1%8.6%3.5%6.5%0.0%3.0%42.2%1.2K-1.8K00.00134.95N/AN/A0011
2023-02-21$20.92$0.0031.5%9.0%4.2%7.3%0.0%3.8%-7.2%0000.00132.70N/AN/A0000
2023-02-22$20.88$0.0032.8%9.4%4.2%8.0%0.0%4.7%-9.4%0000.00134.68N/AN/A0000
2023-02-23$21.02$0.0033.5%9.6%4.8%8.3%0.0%8.5%-9.7%0000.00135.12N/AN/A0000
2023-02-24$20.85$0.0033.1%9.5%5.6%8.1%0.0%3.0%-10.2%0000.00134.56N/AN/A0000
2023-02-27$20.92$0.0035.7%10.2%5.7%9.5%0.0%2.2%-12.4%0000.00134.22N/AN/A0000
2023-02-28$20.91$0.0036.8%10.5%5.7%10.1%0.0%2.1%-11.9%0000.00134.31N/AN/A0000