PID Options History — July 2014

In July 2014, PID traded between $19.01 and $19.50. ATM implied volatility averaged 9.7%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.4% (HV 20d: 6.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-07-22: Highest Volume — 103 contracts
  • 2014-07-10: Largest IV drop — 31.4% change
  • 2014-07-09: Highest IV Rank — 3.7%
  • 2014-07-25: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.36$19.01$19.50$19.43$19.01
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV9.7%8.1%12.3%10.6%10.2%
Expected Move2.8%2.3%3.5%3.0%3.3%
HV 20d6.4%4.6%8.3%4.6%8.3%
HV 60d5.9%5.4%6.6%6.4%6.6%
IV Rank2.2%1.1%3.7%2.7%2.4%
IV Percentile41.0%15.9%75.8%52.0%48.4%
Term Structure0.5%-3.9%3.3%-2.8%-1.6%
VWIV9.8%9.4%10.4%10.4%9.4%
Skew 25d1.1%-1.3%3.3%2.1%1.5%
Skew 10d3.7%1.8%7.3%6.9%2.7%
Call IV 25d9.4%8.2%11.6%9.0%11.6%
Put IV 25d10.5%8.9%13.1%11.1%13.1%
Bid-Ask Spread %90.3937.44122.5464.7987.80
Gamma HHI0.680.520.820.550.82
Net GEX-46.9K-65.0K-26.0K-34.4K-51.1K
Net DEX441.2K335.9K536.1K396.0K536.1K
Net VEX-3.6K-3.9K-3.3K-3.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.000.000.00
Total Volume5.5010300
Total OI918781955951898

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$19.43$20.0010.6%3.0%4.6%2.7%0.0%2.1%-2.8%-34.4K396.0K-3.7K0.0064.79N/AN/A00295656
2014-07-02$19.46$20.0011.5%3.3%4.6%3.2%0.0%2.5%-3.4%-30.6K371.8K-3.7K0.0065.82N/AN/A00295656
2014-07-03$19.50$20.0011.6%3.3%4.6%3.3%10.4%-0.1%-3.9%-26.0K335.9K-3.7K0.0037.44N/AN/A10295656
2014-07-07$19.42$20.0012.0%2.4%4.9%3.5%0.0%0.9%1.2%-35.6K401.5K-3.6K0.00120.44N/AN/A10296656
2014-07-08$19.35$20.0012.0%2.3%5.1%3.6%0.0%0.7%-0.3%-40.4K476.5K-3.5K0.00122.54N/AN/A10297656
2014-07-09$19.40$20.0012.3%2.3%5.1%3.7%0.0%0.9%-0.0%-42.2K468.6K-3.5K0.00119.53N/AN/A00298656
2014-07-10$19.29$20.008.4%2.4%5.5%1.4%0.0%1.1%1.0%-54.7K533.8K-3.3K0.00121.02N/AN/A00298656
2014-07-11$19.26$20.008.1%2.3%5.6%1.1%0.0%1.2%1.3%-63.1K520.3K-3.4K0.00122.23N/AN/A00298656
2014-07-14$19.37$20.008.6%2.5%5.8%1.5%0.0%0.7%-0.5%-50.4K493.7K-3.4K0.00121.29N/AN/A00298656
2014-07-15$19.33$20.008.3%2.4%5.8%1.3%0.0%0.6%2.3%-60.8K478.7K-3.4K0.00116.78N/AN/A00298656
2014-07-16$19.47$20.009.7%2.8%6.3%2.2%0.0%0.9%0.9%-33.2K408.6K-3.4K0.00111.45N/AN/A01298656
2014-07-17$19.29$20.009.7%2.8%7.1%2.2%0.0%-0.7%0.4%-62.5K466.7K-3.4K0.00104.51N/AN/A00298657
2014-07-18$19.38$20.008.5%2.4%7.2%1.4%0.0%0.8%0.5%-65.0K469.7K-3.4K0.00109.85N/AN/A00298657
2014-07-21$19.32$0.008.6%2.5%7.1%1.5%0.0%0.4%-0.1%-39.9K437.2K-3.4K0.0097.25N/AN/A00124657
2014-07-22$19.48$0.009.4%3.1%7.7%1.9%9.7%2.7%3.1%-54.6K419.3K-3.3K0.3249.10N/AN/A7825124657
2014-07-23$19.50$20.009.4%3.1%7.3%1.9%0.0%3.3%3.3%-45.3K384.9K-3.9K3.0050.83N/AN/A13202682
2014-07-24$19.47$20.009.8%3.1%7.4%2.2%0.0%2.7%2.5%-46.3K397.8K-3.9K0.0048.77N/AN/A00203685
2014-07-25$19.36$20.009.2%3.5%7.7%1.8%0.0%2.4%2.9%-46.3K401.6K-3.8K0.0055.37N/AN/A00203685
2014-07-28$19.34$20.009.2%3.2%7.4%1.8%9.4%-1.3%0.6%-49.4K427.4K-3.8K0.0087.02N/AN/A100203685
2014-07-29$19.26$20.008.3%3.3%7.6%1.3%0.0%-0.9%0.5%-48.6K408.5K-3.8K0.0083.02N/AN/A00213685
2014-07-30$19.24$20.008.6%3.2%7.3%1.5%0.0%0.8%2.1%-50.5K472.3K-3.8K0.0091.74N/AN/A00213685
2014-07-31$19.01$20.0010.2%3.3%8.3%2.4%0.0%1.5%-1.6%-51.1K536.1K-3.7K0.0087.80N/AN/A00213685