PID Options History — August 2007

In August 2007, PID traded between $19.09 and $20.92. ATM implied volatility averaged 14.7%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 8.5% (HV 20d: 23.2%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 14 of 18 days. Put/call ratio averaged 0.29.

Notable Days

2007-08-01: Highest Volume — 40 contracts
2007-08-24: Largest IV drop — 95.2% change
2007-08-15: Highest IV Rank — 100.0%
2007-08-22: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.08	$19.09	$20.92	$20.45	$20.28
Max Pain	$18.56	$18.00	$21.00	$21.00	$19.00
ATM IV	14.7%	1.3%	26.8%	9.6%	1.3%
Expected Move	4.3%	0.4%	5.8%	2.8%	0.4%
HV 20d	23.2%	20.4%	26.4%	20.8%	24.0%
HV 60d	17.2%	15.3%	19.0%	15.5%	19.0%
IV Rank	49.1%	0.0%	100.0%	15.6%	0.0%
IV Percentile	70.4%	0.0%	100.0%	18.8%	0.0%
Term Structure	2.8%	-1.2%	13.1%	13.1%	-1.2%
VWIV	14.9%	11.3%	18.9%	12.8%	11.3%
Skew 25d	3.3%	0.4%	8.1%	4.5%	2.8%
Skew 10d	3.5%	0.7%	16.3%	4.8%	16.3%
Call IV 25d	13.9%	10.3%	22.1%	15.1%	22.1%
Put IV 25d	17.2%	11.5%	24.9%	19.6%	24.9%
Bid-Ask Spread %	91.07	15.43	200.00	113.58	66.67
Gamma HHI	0.44	0.34	0.56	0.37	0.41
Net GEX	42.5K	25.6K	51.4K	49.5K	25.6K
Net DEX	-313.1K	-592.9K	-25.5K	-432.5K	-317.0K
Net VEX	-2.2K	-2.8K	-1.4K	-2.7K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.20	1.00	0.00
Total Volume	13.333	0	40	40	0
Total OI	701.667	551	757	741	551

Daily Data (18 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
2007-08-01	$20.45	$21.00	9.6%	2.8%	20.8%	15.6%	12.8%	4.5%	13.1%	49.5K	-432.5K	-2.7K	1.00	113.58	N/A	N/A	20	20	657	84
2007-08-02	$20.79	$21.00	12.6%	3.6%	21.5%	36.4%	0.0%	2.9%	8.4%	48.8K	-546.4K	-2.8K	0.00	114.40	N/A	N/A	12	0	653	94
2007-08-03	$20.50	$21.00	16.7%	4.8%	20.8%	65.6%	0.0%	0.4%	-0.8%	47.6K	-526.1K	-2.8K	0.20	113.38	N/A	N/A	5	1	649	94
2007-08-06	$20.65	$18.00	12.5%	4.7%	20.6%	36.0%	0.0%	1.9%	2.5%	51.4K	-514.7K	-2.7K	1.20	90.51	N/A	N/A	5	6	649	95
2007-08-07	$20.67	$18.00	16.6%	4.9%	20.4%	64.9%	0.0%	2.6%	3.0%	50.0K	-501.1K	-2.7K	0.57	90.51	N/A	N/A	14	8	654	95
2007-08-08	$20.92	$18.00	12.0%	5.1%	20.5%	32.1%	17.7%	7.2%	0.7%	50.4K	-592.9K	-2.8K	0.00	92.06	N/A	N/A	12	0	654	103
2007-08-09	$20.24	$18.00	13.2%	5.3%	23.2%	40.9%	0.0%	4.5%	0.2%	46.7K	-364.5K	-2.5K	0.00	90.62	N/A	N/A	0	0	648	103
2007-08-10	$20.00	$18.00	14.8%	5.5%	23.1%	52.4%	18.9%	8.1%	0.8%	42.0K	-287.9K	-2.4K	0.00	91.99	N/A	N/A	38	0	648	103
2007-08-13	$20.06	$18.00	12.0%	4.3%	23.3%	32.7%	0.0%	1.1%	2.5%	49.1K	-278.1K	-2.1K	0.00	15.99	N/A	N/A	0	0	614	103
2007-08-14	$19.67	$18.00	12.4%	4.1%	24.0%	35.1%	14.1%	4.1%	3.9%	43.6K	-172.7K	-2.0K	0.33	25.80	N/A	N/A	3	1	608	103
2007-08-15	$19.30	$18.00	23.5%	4.7%	24.3%	100.0%	11.3%	5.2%	3.1%	35.0K	-81.4K	-1.7K	0.07	101.64	N/A	N/A	30	2	607	103
2007-08-16	$19.09	$18.00	17.3%	4.9%	24.2%	61.0%	0.0%	2.4%	2.0%	28.4K	-25.5K	-1.4K	0.44	15.43	N/A	N/A	9	4	577	102
2007-08-17	$19.55	$18.00	14.8%	4.2%	26.4%	45.8%	0.0%	1.3%	6.7%	39.2K	-127.6K	-1.7K	0.00	27.84	N/A	N/A	30	0	573	98
2007-08-20	$19.62	$18.00	14.4%	4.1%	26.4%	43.1%	0.0%	1.7%	0.2%	41.6K	-136.1K	-1.8K	0.00	101.45	N/A	N/A	0	0	553	97
2007-08-21	$19.62	$18.00	14.4%	4.1%	25.0%	43.4%	0.0%	2.8%	0.4%	40.2K	-156.2K	-1.8K	0.00	118.53	N/A	N/A	8	0	553	97
2007-08-22	$19.98	$18.00	20.1%	5.8%	26.0%	78.5%	0.0%	2.8%	-1.2%	41.2K	-243.9K	-1.9K	0.00	168.88	N/A	N/A	0	0	557	97
2007-08-23	$20.06	$18.00	26.8%	0.0%	24.1%	100.0%	0.0%	0.0%	0.0%	34.7K	-331.0K	-2.3K	0.00	200.00	N/A	N/A	12	0	557	97
2007-08-24	$20.28	$19.00	1.3%	0.4%	24.0%	0.0%	0.0%	0.0%	0.0%	25.6K	-317.0K	-1.8K	0.00	66.67	N/A	N/A	0	0	464	87