PID Options History — September 2007 In September 2007, PID traded between $20.49 and $21.29. ATM implied volatility averaged 16.0%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 6.6% (HV 20d: 22.6%). Net GEX was positive for 9 of 9 trading days. Term structure was in contango for 0 of 9 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-18 : Highest Volume — 9 contracts2007-09-24 : Largest IV spike — 195.5% change2007-09-27 : Highest IV Rank — 100.0%2007-09-27 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $20.90 $20.49 $21.29 $20.49 $21.29 ATM IV 16.0% 6.6% 29.4% 16.4% 12.2% Expected Move 5.8% 4.7% 8.4% 4.7% 8.4% HV 20d 22.6% 18.8% 23.9% 23.9% 18.8% HV 60d 19.0% 18.8% 19.4% 19.1% 18.8% IV Rank 55.9% 20.8% 100.0% 59.2% 39.0% IV Percentile 68.9% 0.6% 100.0% 88.9% 52.9% Term Structure -5.4% -12.8% -0.9% -2.3% -12.8% Skew 25d 8.3% 5.5% 11.5% 7.9% 11.5% Skew 10d 11.5% 8.2% 15.3% 10.9% 15.3% Call IV 25d 12.8% 12.0% 13.3% 13.3% 12.0% Put IV 25d 21.1% 18.5% 23.5% 21.2% 23.5% Bid-Ask Spread % 195.13 180.64 200.00 200.00 200.00 Gamma HHI 0.34 0.28 0.41 0.41 0.29 Net GEX 27.8K 11.1K 54.7K 50.5K 16.8K Net DEX -217.3K -533.0K -10.4K -360.0K -174.7K Net VEX -1.5K -1.7K -983 -1.7K -1.6K 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 1 0 9 0 0 Total OI 465.778 310 654 654 384
Daily Data (9 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 2007-09-11 $20.49 $0.00 16.4% 4.7% 23.9% 59.2% 0.0% 0.0% 0.0% 50.5K -360.0K -1.7K 0.00 200.00 N/A N/A 0 0 557 97 2007-09-13 $20.62 $0.00 10.7% 0.0% 23.5% 36.9% 0.0% 0.0% 0.0% 54.7K -398.1K -1.7K 0.00 200.00 N/A N/A 0 0 557 97 2007-09-14 $20.52 $0.00 17.3% 4.9% 23.0% 62.5% 0.0% 0.0% 0.0% 11.1K -10.4K -983 0.00 200.00 N/A N/A 0 0 224 86 2007-09-18 $20.92 $0.00 6.6% 0.0% 23.3% 20.8% 0.0% 0.0% 0.0% 52.6K -533.0K -1.6K 0.00 200.00 N/A N/A 9 0 557 97 2007-09-24 $21.00 $0.00 19.6% 5.6% 22.7% 71.5% 0.0% 7.9% -2.3% 16.0K -70.4K -1.4K 0.00 180.64 N/A N/A 0 0 290 94 2007-09-25 $20.91 $0.00 18.3% 5.2% 22.6% 66.4% 0.0% 5.5% -0.9% 15.3K -107.9K -1.5K 0.00 185.94 N/A N/A 0 0 290 94 2007-09-26 $21.07 $0.00 13.2% 0.0% 22.8% 46.8% 0.0% 0.0% 0.0% 16.0K -138.0K -1.5K 0.00 200.00 N/A N/A 0 0 290 94 2007-09-27 $21.28 $0.00 29.4% 8.4% 22.7% 100.0% 0.0% 11.5% -12.8% 17.1K -163.1K -1.6K 0.00 189.61 N/A N/A 0 0 290 94 2007-09-28 $21.29 $0.00 12.2% 0.0% 18.8% 39.0% 0.0% 0.0% 0.0% 16.8K -174.7K -1.6K 0.00 200.00 N/A N/A 0 0 290 94
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