PBP Options History — August 2023

In August 2023, PBP traded between $21.69 and $22.33. ATM implied volatility averaged 30.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 24.9% (HV 20d: 5.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 1 of 23 days.

Notable Days

  • 2023-08-09: Largest IV drop — 41.6% change
  • 2023-08-08: Highest IV Rank — 13.9%
  • 2023-08-31: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.00$21.69$22.33$22.33$22.01
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.4%23.9%41.8%31.9%34.4%
Expected Move8.0%6.7%9.9%9.1%9.9%
HV 20d5.5%3.6%7.0%3.6%6.7%
HV 60d5.8%5.5%6.3%5.9%5.5%
IV Rank7.0%3.0%13.9%7.9%9.4%
IV Percentile34.1%7.5%69.0%38.9%51.6%
Term Structure-7.2%-12.0%43.4%-9.9%-12.0%
Skew 25d3.1%0.5%9.2%4.0%1.8%
Skew 10d7.8%5.1%18.7%14.5%7.5%
Call IV 25d21.8%16.5%32.2%32.2%27.3%
Put IV 25d24.9%19.2%36.2%36.2%29.1%
Bid-Ask Spread %134.22131.21138.02132.31137.99
Gamma HHI1.001.001.001.001.00
Net GEX520109840
Net DEX-2.2K-4.0K0-4.0K0
Net VEX-1-20-20
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1.130220

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$22.33$20.0031.9%9.1%3.6%7.9%0.0%4.0%-9.9%84-4.0K-20.00132.31N/AN/A0020
2023-08-02$22.19$20.0033.1%9.5%4.3%8.6%0.0%4.4%-9.0%93-3.9K-20.00133.13N/AN/A0020
2023-08-03$22.21$0.0034.1%6.7%4.2%9.2%0.0%3.4%-9.1%93-3.9K-20.00131.98N/AN/A0020
2023-08-04$22.13$0.0036.2%6.8%4.4%10.5%0.0%2.4%-10.4%98-3.9K-20.00131.86N/AN/A0020
2023-08-07$22.25$0.0040.6%7.0%4.7%13.2%0.0%3.8%-10.7%92-3.9K-10.00133.40N/AN/A0020
2023-08-08$22.23$0.0041.8%6.9%4.5%13.9%0.0%9.2%-9.3%94-3.9K-10.00132.27N/AN/A0020
2023-08-09$22.18$0.0024.4%7.0%4.2%3.3%0.0%3.2%-9.8%95-3.9K-10.00131.57N/AN/A0020
2023-08-10$22.11$0.0023.9%6.9%4.3%3.0%0.0%3.4%-9.5%97-3.9K-10.00131.28N/AN/A0020
2023-08-11$22.14$0.0025.1%7.2%4.4%3.7%0.0%3.4%-9.7%97-3.9K-10.00132.85N/AN/A0020
2023-08-14$22.20$0.0025.7%7.4%4.5%4.1%0.0%4.3%-10.3%92-4.0K-10.00131.93N/AN/A0020
2023-08-15$21.99$0.0023.9%6.9%5.5%3.0%0.0%2.7%-10.8%99-4.0K-10.00131.21N/AN/A0020
2023-08-16$21.90$0.0025.9%7.4%5.7%4.2%0.0%2.5%-9.6%109-3.9K-10.00132.34N/AN/A0020
2023-08-17$21.69$0.0025.9%7.4%6.5%4.2%0.0%0.5%43.4%62-1.8K00.00131.61N/AN/A0010
2023-08-18$21.70$0.0026.9%7.7%6.5%4.8%0.0%4.5%-5.5%0-2.2K00.00132.13N/AN/A0010
2023-08-21$21.76$0.0030.6%8.8%6.5%7.1%0.0%3.5%-8.1%0000.00136.77N/AN/A0000
2023-08-22$21.73$0.0030.1%8.6%6.5%6.8%0.0%2.3%-8.3%0000.00137.78N/AN/A0000
2023-08-23$21.84$0.0029.0%8.3%6.8%6.1%0.0%3.0%-7.2%0000.00138.02N/AN/A0000
2023-08-24$21.79$0.0029.1%8.3%6.8%6.2%0.0%1.5%-8.6%0000.00137.04N/AN/A0000
2023-08-25$21.87$0.0030.3%8.7%6.7%6.9%0.0%2.3%-8.8%0000.00136.79N/AN/A0000
2023-08-28$21.89$0.0030.8%8.8%6.7%7.2%0.0%2.1%-9.7%0000.00137.85N/AN/A0000
2023-08-29$21.98$0.0032.4%9.3%7.0%8.2%0.0%2.0%-10.7%0000.00137.09N/AN/A0000
2023-08-30$21.98$0.0033.4%9.6%6.7%8.8%0.0%1.9%-10.7%0000.00137.77N/AN/A0000
2023-08-31$22.01$0.0034.4%9.9%6.7%9.4%0.0%1.8%-12.0%0000.00137.99N/AN/A0000