PID Options History — May 2007

In May 2007, PID traded between $20.12 and $20.84. ATM implied volatility averaged 11.0%. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 6.8% (HV 20d: 17.7%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2007-05-10: Highest Volume — 47 contracts
  • 2007-05-24: Largest IV spike — 64.4% change
  • 2007-05-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.58$20.12$20.84$20.12$20.84
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV11.0%7.4%16.5%16.5%10.0%
Expected Move3.1%2.1%4.7%4.7%2.9%
HV 20d17.7%12.0%20.8%18.3%12.0%
HV 60d17.7%14.5%18.6%18.0%14.5%
Term Structure0.3%-7.8%3.3%-1.3%-0.1%
VWIV13.0%9.7%15.9%15.9%9.7%
Skew 25d-0.3%-3.1%5.2%2.6%-1.3%
Skew 10d1.1%-1.9%7.0%3.3%0.0%
Call IV 25d11.4%8.4%13.5%13.5%12.7%
Put IV 25d11.0%8.6%16.6%16.1%11.4%
Bid-Ask Spread %35.5311.08105.3522.0720.46
Gamma HHI0.510.460.550.500.48
Net GEX28.9K24.5K34.8K29.5K34.1K
Net DEX-602.2K-658.4K-512.8K-520.1K-654.9K
Net VEX-1.8K-1.9K-1.7K-1.9K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.003.603.600.00
Total Volume9.364047232
Total OI507.409480541480489

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$20.12$19.0016.5%4.7%18.3%0.0%15.9%2.6%-1.3%29.5K-520.1K-1.9K3.6022.07N/AN/A51842060
2007-05-02$20.30$19.0013.5%3.9%18.4%0.0%0.0%2.6%1.8%26.4K-530.8K-1.9K0.0025.82N/AN/A0042078
2007-05-03$20.40$19.0016.3%4.7%18.4%0.0%0.0%5.2%-6.8%26.0K-556.5K-1.8K0.0028.53N/AN/A7042078
2007-05-04$20.57$19.0011.7%3.0%18.5%0.0%0.0%-2.8%0.6%25.3K-590.6K-1.8K0.00103.43N/AN/A0042078
2007-05-07$20.65$19.009.8%3.1%18.5%0.0%0.0%-2.5%-0.2%24.5K-601.8K-1.7K0.00101.85N/AN/A0042078
2007-05-08$20.51$19.0012.2%3.0%18.8%0.0%0.0%-3.1%0.8%25.1K-577.4K-1.8K0.00105.15N/AN/A14042078
2007-05-09$20.58$19.0013.3%2.9%18.7%0.0%0.0%-2.6%1.1%25.6K-582.3K-1.8K0.00105.35N/AN/A0042478
2007-05-10$20.20$19.0013.5%3.9%20.1%0.0%13.5%4.4%1.7%28.1K-512.8K-1.9K0.4215.22N/AN/A331442478
2007-05-11$20.54$19.009.9%2.8%20.8%0.0%0.0%1.7%0.6%26.0K-579.5K-1.9K0.0026.42N/AN/A12043190
2007-05-14$20.57$19.009.4%2.7%20.6%0.0%0.0%2.2%0.6%27.1K-600.4K-1.9K0.0026.62N/AN/A0044390
2007-05-15$20.60$19.009.5%2.7%20.5%0.0%0.0%-2.4%1.1%27.1K-619.9K-1.9K0.0017.16N/AN/A3044390
2007-05-16$20.66$19.009.0%2.6%20.5%0.0%0.0%-1.3%3.0%26.8K-626.9K-1.9K0.0018.13N/AN/A5044690
2007-05-17$20.63$19.009.1%2.6%20.3%0.0%0.0%-1.9%1.6%27.7K-629.3K-1.9K1.3318.13N/AN/A91245190
2007-05-18$20.79$19.009.3%2.7%20.0%0.0%0.0%-1.6%1.3%26.2K-658.4K-1.8K0.0017.09N/AN/A12045190
2007-05-21$20.71$19.009.3%2.7%19.8%0.0%0.0%-1.4%1.0%30.6K-639.5K-1.9K0.0018.61N/AN/A1045070
2007-05-22$20.68$19.008.5%2.4%19.8%0.0%9.7%-1.3%2.1%30.5K-627.1K-1.9K2.8622.15N/AN/A72045070
2007-05-23$20.74$19.008.1%2.3%15.6%0.0%0.0%-0.8%2.1%33.0K-655.0K-1.8K2.0022.50N/AN/A102045750
2007-05-24$20.49$19.0013.3%3.8%12.6%0.0%0.0%-0.4%-7.8%34.8K-590.6K-1.8K0.0011.08N/AN/A0044740
2007-05-25$20.63$19.0011.3%3.2%12.8%0.0%0.0%-1.7%0.2%34.0K-626.8K-1.7K0.0022.27N/AN/A0044740
2007-05-29$20.70$19.007.4%2.1%12.3%0.0%0.0%1.1%3.3%34.2K-616.5K-1.8K0.0011.22N/AN/A0044740
2007-05-30$20.79$19.0010.1%2.9%12.3%0.0%0.0%-1.4%0.3%34.2K-652.5K-1.7K0.0022.45N/AN/A2044740
2007-05-31$20.84$19.0010.0%2.9%12.0%0.0%0.0%-1.3%-0.1%34.1K-654.9K-1.7K0.0020.46N/AN/A2044940