PBP Options History — September 2023

In September 2023, PBP traded between $21.23 and $22.06. ATM implied volatility averaged 36.0%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 30.2% (HV 20d: 5.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2023-09-20: Highest Volume — 4 contracts
  • 2023-09-13: Largest IV drop — 65.0% change
  • 2023-09-12: Highest IV Rank — 31.5%
  • 2023-09-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.77$21.23$22.06$22.00$21.34
ATM IV36.0%24.0%70.5%34.9%31.2%
Expected Move7.9%6.1%10.0%10.0%8.9%
HV 20d5.7%4.0%7.1%6.6%7.1%
HV 60d5.6%5.3%6.2%5.5%6.2%
IV Rank10.4%3.0%31.5%9.7%7.5%
IV Percentile48.3%8.3%94.8%53.6%45.2%
Term Structure-6.9%-13.9%-3.3%-13.9%-11.4%
Skew 25d3.0%-2.1%10.8%2.0%-2.1%
Skew 10d7.1%5.1%19.1%8.3%19.1%
Call IV 25d21.1%15.8%29.7%27.7%29.7%
Put IV 25d24.0%17.8%39.5%29.8%27.6%
Bid-Ask Spread %138.65136.12140.26137.50137.05
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.20400
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$22.00$0.0034.9%10.0%6.6%9.7%0.0%2.0%-13.9%0000.00137.50N/AN/A0000
2023-09-05$22.03$0.0037.8%6.1%6.3%11.5%0.0%1.9%-5.8%0000.00136.12N/AN/A0000
2023-09-06$22.01$0.0041.7%6.5%6.3%13.9%0.0%2.4%-4.6%0000.00138.72N/AN/A0000
2023-09-07$21.99$0.0044.3%6.6%6.2%15.5%0.0%3.1%-4.9%0000.00139.15N/AN/A0000
2023-09-08$22.05$0.0048.2%6.7%6.2%17.9%0.0%2.4%-5.7%0000.00140.18N/AN/A0000
2023-09-11$22.02$0.0062.5%7.0%6.2%26.6%0.0%2.5%-6.5%0000.00140.26N/AN/A0000
2023-09-12$22.06$0.0070.5%7.0%6.2%31.5%0.0%2.5%-5.7%0000.00140.22N/AN/A0000
2023-09-13$22.03$0.0024.6%7.1%5.2%3.4%0.0%2.3%-6.9%0000.00139.44N/AN/A0000
2023-09-14$22.06$0.0024.1%6.9%4.9%3.1%0.0%2.2%-3.8%0000.00137.88N/AN/A0000
2023-09-15$21.93$0.0024.0%6.9%4.0%3.0%0.0%2.6%-3.3%0000.00138.14N/AN/A0000
2023-09-18$21.86$0.0025.6%7.3%4.2%4.0%0.0%2.6%-4.7%0000.00139.77N/AN/A0000
2023-09-19$21.86$0.0026.0%7.4%4.1%4.2%0.0%2.6%-5.6%0000.00139.68N/AN/A0000
2023-09-20$21.77$0.0027.4%7.9%4.4%5.1%0.0%2.6%-5.1%0000.00139.59N/AN/A0400
2023-09-21$21.52$0.0029.4%8.4%5.7%6.4%0.0%3.7%-5.5%0000.00138.81N/AN/A0000
2023-09-22$21.49$0.0033.2%9.5%5.7%8.7%0.0%3.0%-9.8%0000.00138.67N/AN/A0000
2023-09-25$21.49$0.0034.0%9.8%5.4%9.2%0.0%4.2%-9.7%0000.00139.08N/AN/A0000
2023-09-26$21.24$0.0032.9%9.4%6.6%8.5%0.0%10.8%-8.2%0000.00137.64N/AN/A0000
2023-09-27$21.23$0.0033.0%9.5%6.3%8.5%0.0%2.0%-8.8%0000.00137.76N/AN/A0000
2023-09-28$21.40$0.0034.0%9.8%7.1%9.2%0.0%5.9%-8.1%0000.00137.26N/AN/A0000
2023-09-29$21.34$0.0031.2%8.9%7.1%7.5%0.0%-2.1%-11.4%0000.00137.05N/AN/A0000