PID Options History — November 2007

In November 2007, PID traded between $20.06 and $22.13. ATM implied volatility averaged 75.2%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 48.4% (HV 20d: 26.8%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-11-20: Highest Volume — 20 contracts
  • 2007-11-28: Largest IV spike — 84.6% change
  • 2007-11-01: Highest IV Rank — 100.0%
  • 2007-11-01: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.06$20.06$22.13$21.96$21.24
Max Pain$21.10$21.00$22.00$22.00$21.00
ATM IV75.2%18.4%163.6%101.6%41.6%
Expected Move12.0%5.3%29.1%29.1%11.9%
HV 20d26.8%20.7%31.7%21.1%29.6%
HV 60d22.4%20.9%23.6%21.3%22.7%
IV Rank54.3%10.5%100.0%100.0%24.8%
IV Percentile92.8%78.6%100.0%100.0%89.3%
Term Structure-6.8%-80.3%26.8%-80.3%-13.8%
VWIV28.6%14.7%41.2%41.2%34.3%
Skew 25d9.2%-15.3%25.1%19.1%15.7%
Skew 10d14.5%4.4%37.5%37.5%19.5%
Call IV 25d21.3%14.7%37.4%22.9%14.7%
Put IV 25d30.5%18.2%42.0%42.0%30.4%
Bid-Ask Spread %188.88160.12197.24197.24195.77
Gamma HHI0.310.270.370.300.29
Net GEX16.6K10.0K21.4K16.7K14.8K
Net DEX-173.6K-344.4K-14.2K-321.3K-200.7K
Net VEX-1.2K-1.5K-820-1.5K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.52402000
Total OI418.905412432419416

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$21.96$22.00101.6%29.1%21.1%100.0%0.0%19.1%-80.3%16.7K-321.3K-1.5K0.00197.24N/AN/A0032594
2007-11-02$22.10$22.0071.0%20.4%20.7%69.5%0.0%18.8%-48.3%19.7K-330.4K-1.4K0.00175.29N/AN/A0032594
2007-11-05$21.86$21.00106.2%8.8%21.0%100.0%0.0%5.2%17.0%16.4K-307.7K-1.4K0.00187.75N/AN/A0032594
2007-11-06$22.13$21.0078.7%6.6%21.1%73.8%0.0%5.2%12.9%16.7K-344.4K-1.4K0.00185.90N/AN/A0032594
2007-11-07$21.52$21.00140.3%13.2%23.4%100.0%0.0%8.5%26.8%10.0K-270.1K-1.5K0.00192.88N/AN/A0032594
2007-11-08$21.52$21.00130.2%10.9%23.3%92.8%0.0%5.7%16.0%17.0K-256.6K-1.4K0.00189.97N/AN/A0032594
2007-11-09$21.18$21.00145.5%16.1%23.6%100.0%0.0%2.8%-39.7%19.0K-188.0K-1.3K0.00190.90N/AN/A0032594
2007-11-12$20.58$21.00129.1%11.9%25.4%88.6%0.0%9.7%21.6%16.3K-92.5K-1.1K0.00182.47N/AN/A0032594
2007-11-13$21.29$21.00131.8%10.5%28.3%90.5%41.2%14.2%-10.8%21.4K-198.4K-1.2K0.00186.00N/AN/A1032594
2007-11-14$21.06$21.00163.6%16.2%27.9%100.0%0.0%22.6%-15.7%10.8K-217.5K-1.3K0.00196.02N/AN/A0032594
2007-11-15$20.63$21.0055.9%16.0%28.7%33.6%0.0%-15.3%-6.3%18.3K-64.1K-1.0K0.00194.51N/AN/A0032594
2007-11-16$20.85$21.0021.8%6.3%28.0%12.6%0.0%5.0%2.4%20.7K-107.0K-1.1K0.00174.61N/AN/A0032594
2007-11-19$20.29$21.0018.4%5.3%29.5%10.5%14.7%3.1%3.4%18.9K-14.2K-8200.00160.12N/AN/A10031894
2007-11-20$20.47$21.0024.0%6.9%29.0%14.0%24.2%1.8%-4.8%21.4K-66.1K-8950.00184.05N/AN/A20031894
2007-11-21$20.06$21.0025.2%7.2%29.6%14.7%28.9%4.6%10.2%15.0K-37.0K-9420.00194.35N/AN/A0633894
2007-11-23$20.41$21.0033.6%9.6%30.5%19.9%0.0%5.2%-12.0%16.4K-65.9K-9580.00195.09N/AN/A0032894
2007-11-26$20.19$21.0045.5%13.0%29.5%27.2%0.0%10.7%-14.0%12.7K-82.7K-9860.00195.93N/AN/A0032894
2007-11-27$20.70$21.0028.3%8.1%30.7%16.7%0.0%14.0%16.1%15.6K-126.5K-1.0K0.00196.70N/AN/A0032894
2007-11-28$21.11$21.0052.3%15.0%31.7%31.4%34.3%25.1%-17.0%14.8K-180.0K-1.1K0.00194.37N/AN/A16031894
2007-11-29$21.12$21.0034.3%9.8%30.6%20.4%0.0%11.3%-7.7%16.6K-175.1K-1.0K0.00196.48N/AN/A0032594
2007-11-30$21.24$21.0041.6%11.9%29.6%24.8%0.0%15.7%-13.8%14.8K-200.7K-1.1K0.00195.77N/AN/A0032294