PID Options History — December 2007 In December 2007, PID traded between $20.20 and $21.50. ATM implied volatility averaged 38.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 14.8% (HV 20d: 23.9%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-12-21 : Highest Volume — 53 contracts2007-12-24 : Largest IV spike — 351.2% change2007-12-24 : Highest IV Rank — 69.7%2007-12-24 : Largest Expected Move — 32.8%Monthly Statistics Metric Avg Min Max Open Close Price $20.77 $20.20 $21.50 $21.09 $20.58 Max Pain $21.00 $21.00 $21.00 $21.00 $21.00 ATM IV 38.7% 23.4% 114.3% 26.7% 54.8% Expected Move 10.3% 6.7% 32.8% 7.7% 15.7% HV 20d 23.9% 17.3% 29.5% 29.5% 18.4% HV 60d 22.8% 22.1% 23.2% 22.6% 23.2% IV Rank 23.1% 13.6% 69.7% 15.6% 33.0% IV Percentile 85.4% 77.7% 97.4% 82.3% 92.7% Term Structure -12.0% -36.4% -4.5% -7.3% -16.3% Skew 25d 11.9% 3.4% 109.6% 5.0% 5.2% Skew 10d 12.1% 2.3% 109.6% 10.6% 3.1% Call IV 25d 19.2% 11.3% 31.5% 19.6% 27.7% Put IV 25d 31.1% 18.8% 141.1% 24.6% 32.9% Bid-Ask Spread % 195.67 182.27 200.00 194.96 200.00 Gamma HHI 0.38 0.29 0.55 0.30 0.47 Net GEX 12.6K 3.1K 21.5K 19.4K 6.1K Net DEX -94.4K -240.9K 74.3K -149.6K -58.3K Net VEX -637 -948 -361 -938 -365 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 5.5 0 53 0 17 Total OI 335.3 129 422 416 129
Daily Data (20 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 2007-12-03 $21.09 $21.00 26.7% 7.7% 29.5% 15.6% 0.0% 5.0% -7.3% 19.4K -149.6K -938 0.00 194.96 N/A N/A 0 0 322 94 2007-12-04 $20.88 $21.00 37.6% 10.8% 29.5% 22.4% 0.0% 7.2% -5.9% 15.6K -133.6K -907 0.00 197.75 N/A N/A 0 0 322 94 2007-12-05 $21.03 $21.00 23.4% 6.7% 29.2% 13.6% 0.0% 9.4% -6.2% 21.5K -115.8K -832 0.00 189.28 N/A N/A 0 0 322 94 2007-12-06 $21.15 $21.00 38.3% 11.0% 27.7% 22.8% 0.0% 17.5% -16.8% 10.6K -215.1K -948 0.00 186.17 N/A N/A 0 0 322 94 2007-12-07 $21.28 $0.00 38.6% 7.2% 27.8% 23.0% 0.0% 6.0% -5.7% 11.3K -225.8K -934 0.00 200.00 N/A N/A 3 0 322 94 2007-12-10 $21.50 $0.00 50.8% 7.6% 27.5% 30.5% 0.0% 6.9% -10.4% 11.5K -240.9K -886 0.00 200.00 N/A N/A 0 0 319 94 2007-12-11 $20.91 $0.00 36.0% 8.0% 27.3% 21.4% 0.0% 7.3% -7.4% 17.7K -115.3K -750 0.00 200.00 N/A N/A 13 0 319 94 2007-12-12 $21.13 $0.00 35.9% 6.8% 24.7% 21.3% 0.0% 4.8% -4.5% 19.1K -120.5K -734 0.00 200.00 N/A N/A 22 0 306 94 2007-12-13 $20.77 $0.00 27.8% 8.0% 25.2% 16.3% 0.0% 6.5% -5.2% 17.0K -102.1K -751 0.00 200.00 N/A N/A 0 0 328 94 2007-12-14 $20.50 $0.00 26.9% 7.7% 24.5% 15.8% 0.0% 4.9% -12.1% 15.9K -64.3K -677 0.00 199.23 N/A N/A 0 0 328 94 2007-12-17 $20.22 $0.00 36.9% 10.6% 24.6% 21.9% 0.0% 7.2% -18.7% 13.6K -46.5K -599 0.00 197.86 N/A N/A 0 0 328 94 2007-12-18 $20.32 $0.00 27.8% 8.0% 22.7% 16.3% 0.0% 4.7% -10.0% 13.8K -58.1K -553 0.00 198.16 N/A N/A 2 0 328 94 2007-12-19 $20.20 $0.00 36.5% 10.5% 22.5% 21.7% 0.0% 7.4% -18.5% 8.6K -55.7K -389 0.00 197.52 N/A N/A 0 0 211 28 2007-12-20 $20.24 $0.00 37.6% 10.8% 21.3% 22.4% 0.0% 7.6% -21.4% 7.5K 74.3K -383 0.00 197.86 N/A N/A 0 0 326 94 2007-12-21 $20.50 $0.00 25.3% 7.3% 20.9% 14.8% 0.0% 3.4% -11.3% 19.4K 43.4K -386 0.00 189.99 N/A N/A 0 53 314 94 2007-12-24 $20.69 $0.00 114.3% 32.8% 20.7% 69.7% 0.0% 109.6% -36.4% 3.1K -109.6K -521 0.00 200.00 N/A N/A 0 0 121 8 2007-12-26 $20.75 $0.00 33.3% 9.6% 18.8% 19.7% 0.0% 6.5% -9.4% 6.7K -68.5K -421 0.00 182.27 N/A N/A 0 0 121 8 2007-12-27 $20.69 $0.00 34.6% 9.9% 17.3% 20.6% 0.0% 5.9% -8.1% 6.5K -66.3K -395 0.00 182.38 N/A N/A 0 0 121 8 2007-12-28 $20.91 $0.00 31.1% 8.9% 17.8% 18.3% 0.0% 5.3% -8.5% 7.3K -59.6K -361 0.00 200.00 N/A N/A 0 0 121 8 2007-12-31 $20.58 $0.00 54.8% 15.7% 18.4% 33.0% 0.0% 5.2% -16.3% 6.1K -58.3K -365 0.00 200.00 N/A N/A 17 0 121 8
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