PID Options History — May 2013

In May 2013, PID traded between $17.00 and $17.52. ATM implied volatility averaged 45.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 1.2% (HV 20d: 46.9%). Net GEX was positive for 0 of 7 trading days. Term structure was in contango for 0 of 7 days.

Notable Days

  • 2013-05-24: Largest IV spike — 101.6% change
  • 2013-05-24: Highest IV Rank — 68.1%
  • 2013-05-24: Largest Expected Move — 36.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.33$17.00$17.52$17.52$17.00
ATM IV45.7%10.2%128.0%75.5%12.8%
Expected Move13.1%2.9%36.7%21.6%3.7%
HV 20d46.9%46.3%47.5%47.5%46.7%
HV 60d34.3%34.0%34.4%34.4%34.3%
IV Rank20.8%0.0%68.1%39.2%1.6%
IV Percentile37.4%0.0%94.4%82.0%1.2%
Term Structure-28.0%-121.8%-0.7%-121.8%-0.8%
Skew 25d7.5%-62.8%109.3%-62.8%5.1%
Skew 10d-4.3%-26.8%7.2%-26.8%7.2%
Call IV 25d49.1%15.1%166.9%77.3%15.1%
Put IV 25d56.6%14.5%165.7%14.5%20.1%
Bid-Ask Spread %128.3963.38171.59132.7763.38
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (7 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-22$17.52$0.0075.5%21.6%47.5%39.2%0.0%-62.8%-121.8%0000.00132.77N/AN/A0000
2013-05-23$17.40$0.0063.5%18.2%47.1%32.4%0.0%109.3%-30.7%0000.00170.01N/AN/A0000
2013-05-24$17.39$0.00128.0%36.7%47.1%68.1%0.0%-1.2%-34.0%0000.00171.59N/AN/A0000
2013-05-28$17.40$0.0019.7%5.6%46.9%4.4%0.0%1.9%-5.9%0000.00143.20N/AN/A0000
2013-05-29$17.29$0.0010.2%2.9%46.4%0.0%0.0%0.1%-1.8%0000.00108.73N/AN/A0000
2013-05-30$17.31$0.0010.3%2.9%46.3%0.1%0.0%0.3%-0.7%0000.00109.06N/AN/A0000
2013-05-31$17.00$0.0012.8%3.7%46.7%1.6%0.0%5.1%-0.8%0000.0063.38N/AN/A0000