PID Options History — July 2007

In July 2007, PID traded between $20.24 and $21.62. ATM implied volatility averaged 11.8%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 2.4% (HV 20d: 14.3%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2007-07-26: Highest Volume — 79 contracts
  • 2007-07-31: Largest IV spike — 51.7% change
  • 2007-07-31: Highest IV Rank — 60.7%
  • 2007-07-31: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.18$20.24$21.62$20.94$20.75
Max Pain$20.76$19.00$21.00$20.00$21.00
ATM IV11.8%7.9%16.0%11.6%16.0%
Expected Move3.5%2.6%4.6%3.3%4.6%
HV 20d14.3%11.4%20.3%12.9%20.3%
HV 60d14.7%12.2%15.5%14.5%15.2%
IV Rank31.1%3.5%60.7%22.6%60.7%
IV Percentile49.4%1.6%90.2%34.1%90.2%
Term Structure3.5%-0.1%11.8%-0.1%0.4%
VWIV12.6%8.3%17.7%12.3%14.8%
Skew 25d1.4%-3.3%5.2%0.3%-1.6%
Skew 10d1.8%-0.5%8.6%0.6%0.6%
Call IV 25d11.4%6.2%17.1%12.2%17.1%
Put IV 25d12.8%8.7%15.4%12.5%15.4%
Bid-Ask Spread %44.6822.44112.7129.5898.79
Gamma HHI0.350.330.390.360.35
Net GEX43.9K38.3K50.8K40.8K50.2K
Net DEX-704.4K-879.4K-392.7K-657.0K-536.2K
Net VEX-2.3K-2.8K-2.1K-2.2K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.000.060.00
Total Volume26.7140795420
Total OI629.905539741539741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$20.94$20.0011.6%3.3%12.9%0.0%12.3%0.3%-0.1%40.8K-657.0K-2.2K0.0629.58N/AN/A51351722
2007-07-03$21.06$20.0011.8%3.4%12.8%0.0%0.0%0.9%0.7%42.3K-700.4K-2.2K0.0030.74N/AN/A9052822
2007-07-05$21.22$20.0011.7%3.4%12.3%0.0%0.0%3.1%0.4%41.7K-761.7K-2.1K0.2135.49N/AN/A531153722
2007-07-06$21.60$21.0010.6%2.9%11.4%22.6%0.0%1.7%4.6%38.3K-792.9K-2.2K0.0044.61N/AN/A2053731
2007-07-09$21.28$21.007.9%3.3%13.1%3.5%0.0%-0.1%2.7%41.3K-748.2K-2.2K0.1137.16N/AN/A18253731
2007-07-10$21.09$21.0011.6%3.6%13.4%29.4%12.5%2.2%1.3%41.6K-709.1K-2.2K0.0022.44N/AN/A43053533
2007-07-11$21.30$21.009.6%3.3%12.7%15.3%11.7%4.0%1.8%46.6K-816.9K-2.2K0.4526.86N/AN/A11557133
2007-07-12$21.47$21.0011.4%3.3%12.4%28.1%0.0%5.2%2.1%44.2K-846.1K-2.2K0.0032.62N/AN/A8057034
2007-07-13$21.60$21.008.9%2.6%12.5%10.7%0.0%2.8%4.3%43.3K-870.8K-2.1K1.0033.98N/AN/A101056830
2007-07-16$21.52$21.0011.1%3.2%12.7%25.6%11.1%1.4%3.8%45.4K-862.6K-2.1K0.0644.83N/AN/A35257320
2007-07-17$21.41$21.0010.4%3.0%12.9%20.7%0.0%1.9%9.3%50.8K-879.4K-2.2K0.0044.85N/AN/A06660822
2007-07-18$21.50$21.0013.5%3.9%12.9%42.8%0.0%0.9%1.9%46.5K-792.5K-2.5K0.0044.55N/AN/A24060888
2007-07-19$21.56$21.0012.1%3.5%12.3%33.4%12.1%2.7%3.0%44.8K-808.3K-2.5K0.0032.44N/AN/A45059888
2007-07-20$21.55$21.0010.7%3.1%12.3%23.4%0.0%0.5%7.8%41.2K-732.3K-2.4K0.00112.32N/AN/A0056888
2007-07-23$21.62$21.0011.9%3.4%11.8%31.5%8.3%-3.3%3.4%41.5K-747.5K-2.4K0.3332.52N/AN/A3156681
2007-07-24$21.03$21.0013.6%3.9%16.0%43.9%0.0%1.0%2.4%43.6K-595.3K-2.4K0.0024.07N/AN/A3056981
2007-07-25$21.12$21.0013.6%3.9%15.9%43.7%17.7%2.1%2.0%43.3K-630.8K-2.4K0.0025.28N/AN/A13056981
2007-07-26$20.50$19.0015.2%4.4%19.3%55.2%14.8%0.4%3.8%41.7K-447.0K-2.4K0.0744.80N/AN/A74558081
2007-07-27$20.24$21.0014.2%4.1%19.6%48.1%0.0%3.3%5.4%43.8K-392.7K-2.6K0.0027.55N/AN/A34063584
2007-07-30$20.49$21.0010.5%3.0%20.1%22.0%0.0%0.0%11.8%48.9K-465.6K-2.8K0.00112.71N/AN/A0065784
2007-07-31$20.75$21.0016.0%4.6%20.3%60.7%0.0%-1.6%0.4%50.2K-536.2K-2.8K0.0098.79N/AN/A20065784