PID Options History — October 2007

In October 2007, PID traded between $21.27 and $22.52. ATM implied volatility averaged 40.8%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 25.3% (HV 20d: 15.4%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-10-15: Highest Volume — 20 contracts
  • 2007-10-29: Largest IV spike — 202.4% change
  • 2007-10-01: Highest IV Rank — 100.0%
  • 2007-10-29: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.71$21.27$22.52$21.56$22.52
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV40.8%19.7%72.6%34.9%56.1%
Expected Move10.1%4.3%17.1%10.0%16.1%
HV 20d15.4%12.5%18.7%18.3%18.7%
HV 60d19.6%18.9%20.6%18.9%20.6%
IV Rank63.5%25.8%100.0%100.0%76.8%
IV Percentile96.6%86.3%100.0%100.0%97.9%
Term Structure-13.3%-51.4%11.0%4.0%11.0%
VWIV70.6%70.6%70.6%70.6%70.6%
Skew 25d7.8%0.0%24.4%15.2%24.4%
Skew 10d11.4%3.9%30.9%18.8%30.9%
Call IV 25d17.8%10.6%33.8%10.6%15.1%
Put IV 25d25.6%16.2%41.0%25.8%39.6%
Bid-Ask Spread %194.41173.65200.00186.66194.29
Gamma HHI0.300.290.330.300.30
Net GEX16.8K10.9K19.3K16.3K17.5K
Net DEX-261.0K-388.4K-173.7K-214.5K-388.4K
Net VEX-1.5K-1.6K-1.4K-1.6K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.73902020
Total OI400.739384419384419

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$21.56$0.0034.9%10.0%18.3%100.0%0.0%15.2%4.0%16.3K-214.5K-1.6K0.00186.66N/AN/A2029094
2007-10-02$21.41$0.0053.4%15.3%18.7%100.0%0.0%16.8%-46.3%15.9K-177.4K-1.5K0.00182.28N/AN/A10029094
2007-10-03$21.27$0.0039.7%11.4%17.1%73.7%0.0%11.6%-30.5%15.1K-173.7K-1.5K0.00173.65N/AN/A0030094
2007-10-04$21.40$0.0046.3%13.3%14.8%86.5%0.0%12.4%-44.2%16.6K-189.9K-1.5K0.00188.18N/AN/A0030094
2007-10-05$21.69$0.0033.0%4.9%13.8%60.8%0.0%3.8%-4.2%17.2K-241.5K-1.6K0.00195.18N/AN/A0030094
2007-10-08$21.55$0.0052.7%4.3%12.9%98.7%0.0%6.3%4.0%17.6K-225.4K-1.6K0.00192.26N/AN/A0030094
2007-10-09$21.77$0.0041.1%5.1%13.0%76.4%0.0%4.4%-4.5%18.2K-262.9K-1.6K0.00196.11N/AN/A1030094
2007-10-10$21.88$0.0072.6%5.2%12.8%100.0%0.0%6.4%-5.2%17.0K-280.7K-1.6K0.00196.49N/AN/A0030194
2007-10-11$21.75$0.0030.6%8.8%12.5%41.1%0.0%7.0%-13.9%13.8K-266.6K-1.6K0.00197.86N/AN/A0030194
2007-10-12$21.94$0.0043.3%12.4%12.6%58.9%0.0%0.7%-29.1%16.4K-324.3K-1.5K0.00196.67N/AN/A0030194
2007-10-15$21.75$0.0029.5%8.5%13.2%39.6%0.0%8.1%-15.0%15.3K-261.2K-1.6K0.00197.86N/AN/A20030194
2007-10-16$21.51$0.0031.5%9.0%13.9%42.3%0.0%6.4%2.1%15.3K-222.7K-1.5K0.00200.00N/AN/A0029994
2007-10-17$21.84$0.0021.1%6.0%14.6%27.7%0.0%8.1%3.0%17.4K-270.4K-1.5K0.00197.86N/AN/A20029994
2007-10-18$21.81$0.0022.9%6.6%14.4%30.3%0.0%6.3%-1.2%17.3K-281.4K-1.6K0.00197.86N/AN/A0031594
2007-10-19$21.32$0.0045.7%13.1%15.8%62.3%0.0%11.5%-15.1%10.9K-237.1K-1.6K0.00193.13N/AN/A0031594
2007-10-22$21.33$0.0033.7%9.7%15.7%45.4%0.0%1.6%-11.0%18.2K-224.6K-1.5K0.00200.00N/AN/A0031594
2007-10-23$21.68$0.0022.3%6.4%16.5%29.4%0.0%7.0%5.6%19.2K-263.2K-1.5K0.00198.52N/AN/A0031594
2007-10-24$21.52$0.0033.9%9.7%16.7%45.7%0.0%0.0%5.5%19.3K-233.2K-1.5K0.00199.60N/AN/A1031594
2007-10-25$21.59$0.0056.6%16.2%16.4%77.6%0.0%8.4%-30.6%15.9K-244.7K-1.5K0.00198.73N/AN/A0031694
2007-10-26$22.00$0.0019.7%5.7%17.6%25.8%0.0%5.9%6.9%19.0K-311.8K-1.5K0.00196.67N/AN/A0031694
2007-10-29$22.28$0.0059.6%17.1%17.6%81.8%70.6%4.5%-51.4%18.5K-372.1K-1.4K0.00195.15N/AN/A9031694
2007-10-30$22.07$22.0057.8%16.6%17.8%79.2%0.0%1.6%-45.7%17.7K-335.8K-1.5K0.00196.36N/AN/A0032594
2007-10-31$22.52$22.0056.1%16.1%18.7%76.8%0.0%24.4%11.0%17.5K-388.4K-1.5K0.00194.29N/AN/A0032594