PID Options History — March 2007 In March 2007, PID traded between $17.90 and $19.36. ATM implied volatility averaged 15.7%. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 5.9% (HV 20d: 21.6%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-03-23 : Highest Volume — 22 contracts2007-03-15 : Largest IV drop — 22.7% change2007-03-12 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $18.79 $17.90 $19.36 $18.50 $19.30 Max Pain $18.73 $16.00 $19.00 $16.00 $19.00 ATM IV 15.7% 11.5% 21.5% 12.6% 16.0% Expected Move 4.3% 3.3% 5.5% 3.6% 4.6% HV 20d 21.6% 17.5% 24.4% 18.2% 17.5% HV 60d 16.3% 15.9% 16.7% 16.2% 15.9% Term Structure -0.7% -3.1% 2.6% -0.2% -2.9% VWIV 17.9% 13.9% 21.9% 21.9% 13.9% Skew 25d 1.4% -4.3% 5.5% -0.7% 4.7% Skew 10d 0.8% -1.9% 2.6% 1.0% 2.0% Call IV 25d 12.9% 9.0% 17.0% 14.8% 11.4% Put IV 25d 14.3% 11.0% 16.0% 14.2% 16.0% Bid-Ask Spread % 54.16 16.82 109.36 108.38 27.19 Gamma HHI 0.40 0.36 0.44 0.44 0.41 Net GEX 9.9K 7.1K 13.7K 10.5K 13.7K Net DEX -100.9K -160.5K -45.1K -89.8K -160.5K Net VEX -395 -510 -286 -336 -498 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.909 0 22 14 0 Total OI 134.727 113 152 145 152
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 2007-03-01 $18.50 $16.00 12.6% 3.6% 18.2% 0.0% 21.9% -0.7% -0.2% 10.5K -89.8K -336 0.00 108.38 N/A N/A 14 0 125 20 2007-03-02 $18.28 $16.00 11.5% 3.3% 18.7% 0.0% 0.0% -1.2% -0.5% 9.1K -60.7K -339 0.00 109.36 N/A N/A 0 0 115 20 2007-03-05 $17.90 $19.00 13.1% 3.5% 19.7% 0.0% 0.0% -1.2% 1.2% 7.1K -45.1K -286 0.00 103.83 N/A N/A 0 2 115 20 2007-03-06 $18.35 $19.00 14.2% 4.1% 22.0% 0.0% 0.0% 2.9% -0.5% 8.7K -63.4K -349 0.00 101.22 N/A N/A 0 0 115 22 2007-03-07 $18.39 $19.00 15.8% 4.6% 21.8% 0.0% 0.0% 5.1% -1.9% 9.1K -69.8K -369 0.00 100.42 N/A N/A 1 0 115 22 2007-03-08 $18.50 $19.00 18.2% 4.5% 21.9% 0.0% 0.0% -0.3% -1.7% 9.3K -75.5K -373 0.00 96.55 N/A N/A 0 0 116 22 2007-03-09 $18.66 $19.00 19.8% 5.4% 22.1% 0.0% 0.0% -1.5% -1.9% 9.4K -87.4K -390 0.00 88.68 N/A N/A 5 0 116 22 2007-03-12 $18.80 $19.00 21.5% 5.5% 22.3% 0.0% 0.0% -4.3% -0.2% 9.5K -93.2K -395 0.00 94.08 N/A N/A 0 0 116 22 2007-03-13 $18.41 $19.00 17.8% 4.7% 23.2% 0.0% 0.0% -1.1% 0.2% 8.0K -69.2K -367 0.00 35.00 N/A N/A 1 0 116 22 2007-03-14 $18.44 $19.00 20.2% 4.3% 23.0% 0.0% 0.0% -1.0% 2.6% 8.5K -75.7K -372 0.00 36.88 N/A N/A 1 0 117 22 2007-03-15 $18.60 $19.00 15.6% 4.5% 23.0% 0.0% 0.0% 0.7% 1.1% 9.2K -88.1K -398 0.00 34.39 N/A N/A 0 0 118 22 2007-03-16 $18.57 $19.00 16.6% 4.8% 22.9% 0.0% 0.0% -0.5% 0.4% 9.3K -90.5K -383 0.00 36.69 N/A N/A 2 0 118 22 2007-03-19 $18.84 $19.00 13.9% 4.0% 23.6% 0.0% 13.9% -2.0% 0.6% 8.0K -95.0K -397 0.00 16.82 N/A N/A 1 0 107 6 2007-03-20 $19.00 $19.00 13.3% 3.8% 23.8% 0.0% 0.0% -0.0% 1.3% 8.6K -102.0K -402 0.00 17.84 N/A N/A 0 0 107 6 2007-03-21 $19.28 $19.00 14.2% 4.1% 24.4% 0.0% 0.0% 5.1% -0.0% 9.0K -119.1K -371 0.00 26.68 N/A N/A 12 0 107 6 2007-03-22 $19.27 $19.00 15.3% 4.4% 24.2% 0.0% 0.0% 4.3% -0.2% 9.1K -117.7K -385 0.00 23.87 N/A N/A 0 0 109 6 2007-03-23 $19.29 $19.00 14.7% 4.2% 24.2% 0.0% 0.0% 5.3% -2.5% 9.2K -122.7K -356 0.00 26.68 N/A N/A 22 0 109 6 2007-03-26 $19.36 $19.00 15.6% 4.5% 24.2% 0.0% 0.0% 5.5% -3.1% 12.0K -148.1K -452 0.00 26.86 N/A N/A 5 0 131 6 2007-03-27 $19.28 $19.00 14.0% 4.0% 18.1% 0.0% 0.0% 3.1% -1.8% 12.5K -144.8K -467 0.00 27.67 N/A N/A 10 0 136 6 2007-03-28 $19.11 $19.00 15.0% 4.3% 18.4% 0.0% 0.0% 2.4% -2.3% 13.7K -143.3K -486 0.00 25.18 N/A N/A 10 0 146 6 2007-03-29 $19.31 $19.00 15.7% 4.5% 18.2% 0.0% 0.0% 4.4% -2.7% 13.5K -159.4K -510 0.00 27.21 N/A N/A 0 0 146 6 2007-03-30 $19.30 $19.00 16.0% 4.6% 17.5% 0.0% 0.0% 4.7% -2.9% 13.7K -160.5K -498 0.00 27.19 N/A N/A 0 0 146 6
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