PID Options History — September 2014

In September 2014, PID traded between $18.51 and $19.76. ATM implied volatility averaged 9.5%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.4% (HV 20d: 8.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-09-09: Highest Volume — 48 contracts
  • 2014-09-19: Largest IV drop — 34.9% change
  • 2014-09-18: Highest IV Rank — 9.7%
  • 2014-09-12: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.22$18.51$19.76$19.63$18.51
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV9.5%6.5%14.6%8.0%9.5%
Expected Move2.9%2.0%3.4%2.8%3.0%
HV 20d8.0%6.0%11.0%7.3%10.8%
HV 60d8.0%7.0%9.2%7.0%9.2%
IV Rank3.2%0.3%9.7%1.1%3.8%
IV Percentile40.7%0.8%90.1%17.1%46.4%
Term Structure0.2%-5.9%3.3%-1.9%-0.8%
VWIV13.8%13.8%13.8%13.8%13.8%
Skew 25d2.5%-0.5%5.0%1.3%3.5%
Skew 10d3.0%0.8%6.6%0.8%6.6%
Call IV 25d8.5%5.8%10.4%9.6%8.8%
Put IV 25d11.0%7.9%13.6%10.9%12.3%
Bid-Ask Spread %73.7149.4394.2790.3262.70
Gamma HHI0.760.630.890.680.84
Net GEX-59.8K-88.9K-37.5K-43.5K-62.5K
Net DEX469.0K167.4K853.0K264.7K853.0K
Net VEX-3.1K-3.5K-2.4K-3.5K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume7.38104830
Total OI939.81899953941939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$19.63$20.008.0%2.8%7.3%1.1%0.0%1.3%-1.9%-43.5K264.7K-3.5K0.0090.32N/AN/A30241700
2014-09-03$19.76$20.006.6%2.7%6.5%0.3%0.0%1.2%-0.7%-42.6K167.4K-3.4K0.0094.27N/AN/A00242700
2014-09-04$19.66$20.007.8%2.7%7.0%1.3%0.0%1.3%-1.1%-43.3K196.3K-3.3K0.0086.66N/AN/A30242700
2014-09-05$19.74$20.007.8%2.6%6.0%1.4%0.0%2.1%0.3%-37.5K215.0K-3.3K0.0090.19N/AN/A00242700
2014-09-08$19.57$20.0010.2%2.6%6.9%3.4%0.0%-0.5%-0.5%-47.7K238.6K-3.3K0.0088.27N/AN/A00242700
2014-09-09$19.51$20.0012.2%2.3%6.8%5.1%0.0%1.5%-0.4%-49.9K298.2K-3.3K0.0092.47N/AN/A480242700
2014-09-10$19.53$20.0011.8%2.0%6.8%4.8%0.0%4.2%-1.3%-49.6K304.8K-3.3K0.0091.41N/AN/A00242700
2014-09-11$19.46$20.0011.3%3.3%6.9%4.3%0.0%3.1%0.5%-49.8K323.7K-3.3K0.0084.65N/AN/A320242700
2014-09-12$19.41$20.0010.7%3.4%6.8%3.9%13.8%2.3%1.2%-50.1K350.6K-3.3K0.0088.83N/AN/A09244700
2014-09-15$19.30$20.009.3%3.3%7.1%2.7%0.0%2.9%2.4%-59.5K421.8K-3.3K0.0086.17N/AN/A00244709
2014-09-16$19.38$20.0011.1%3.3%6.9%4.2%0.0%3.1%-0.3%-55.5K396.1K-3.3K0.0049.81N/AN/A00244709
2014-09-17$19.29$20.0010.9%3.3%7.1%5.4%0.0%2.3%-0.8%-66.9K427.8K-3.3K0.0049.43N/AN/A00244709
2014-09-18$19.38$20.0014.6%3.1%7.3%9.7%0.0%5.0%-5.9%-76.3K358.1K-3.1K0.0066.70N/AN/A00244709
2014-09-19$19.14$20.009.5%3.2%8.5%3.8%0.0%3.3%0.4%-68.9K480.2K-3.2K0.0053.59N/AN/A00243709
2014-09-22$18.93$20.008.5%3.0%9.2%2.7%0.0%1.1%0.4%-76.9K636.1K-2.9K0.0061.90N/AN/A040231668
2014-09-23$18.76$20.006.5%3.0%9.0%0.4%0.0%2.8%2.9%-88.9K774.2K-2.7K0.0062.54N/AN/A00231688
2014-09-24$18.89$20.006.8%3.0%9.4%0.7%0.0%3.2%3.3%-84.8K690.4K-2.9K0.0061.71N/AN/A200231688
2014-09-25$18.57$20.008.8%3.0%10.6%3.0%0.0%1.3%2.5%-66.1K834.6K-2.5K0.0062.28N/AN/A00251688
2014-09-26$18.67$20.008.0%2.9%11.0%2.1%0.0%4.1%2.3%-70.4K779.7K-2.6K0.0061.90N/AN/A00251688
2014-09-29$18.57$20.008.8%3.1%10.9%3.0%0.0%2.9%0.6%-65.6K838.7K-2.4K0.0062.05N/AN/A00251688
2014-09-30$18.51$20.009.5%3.0%10.8%3.8%0.0%3.5%-0.8%-62.5K853.0K-2.4K0.0062.70N/AN/A00251688