PID Options History — November 2014

In November 2014, PID traded between $18.08 and $18.61. ATM implied volatility averaged 11.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.2% (HV 20d: 11.1%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-11-10: Highest Volume — 306 contracts
  • 2014-11-28: Largest IV spike — 36.3% change
  • 2014-11-20: Highest IV Rank — 8.2%
  • 2014-11-20: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.33$18.08$18.61$18.24$18.28
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV11.2%8.6%13.3%13.2%13.0%
Expected Move3.1%2.7%3.4%3.2%3.1%
HV 20d11.1%7.3%16.3%16.3%9.9%
HV 60d12.2%12.1%12.6%12.2%12.6%
IV Rank5.8%2.8%8.2%8.1%7.8%
IV Percentile62.4%27.4%84.9%82.5%82.1%
Term Structure-1.1%-2.9%1.8%-1.8%-2.6%
VWIV10.8%9.7%11.5%10.9%10.5%
Skew 25d2.9%0.7%6.2%4.1%3.0%
Skew 10d4.0%1.5%8.9%8.9%5.2%
Call IV 25d10.1%8.3%12.7%11.8%10.9%
Put IV 25d13.1%11.1%16.9%15.9%13.9%
Bid-Ask Spread %59.7546.4170.9558.8158.60
Gamma HHI0.590.440.750.570.64
Net GEX-37.1K-66.2K-4.2K-33.4K-35.1K
Net DEX851.5K636.7K1.0M866.6K923.2K
Net VEX-1.7K-2.2K-986-1.5K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.001.241.101.20
Total Volume216.947030630411
Total OI1,125.3681,0371,1881,0371,110

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$18.24$18.0013.2%3.2%16.3%8.1%10.9%4.1%-1.8%-33.4K866.6K-1.5K1.1058.81N/AN/A145159282755
2014-11-04$18.10$18.0012.3%3.3%15.7%7.0%11.5%4.5%-0.8%-11.4K1.0M-9861.1055.01N/AN/A144159282769
2014-11-05$18.19$18.0012.7%3.3%15.4%7.5%10.5%4.0%-1.4%-10.4K977.6K-1.1K1.1161.51N/AN/A144160311769
2014-11-06$18.08$18.0012.2%3.3%13.7%6.9%10.7%0.7%-1.1%-4.2K1.0M-1.1K1.1162.62N/AN/A144160311784
2014-11-07$18.19$18.0011.5%3.3%12.0%6.2%10.6%2.5%-0.4%-25.5K927.7K-1.7K1.1167.20N/AN/A144160311799
2014-11-10$18.18$18.0010.5%3.1%11.6%5.0%11.0%1.2%-0.5%-26.6K921.3K-1.6K1.1058.71N/AN/A146160311799
2014-11-11$18.30$18.009.8%3.2%11.6%4.2%9.7%1.5%0.3%-37.8K940.3K-1.5K1.2366.83N/AN/A130160293786
2014-11-12$18.32$18.0010.1%3.2%11.0%4.5%10.9%3.4%-0.4%-35.2K818.8K-2.0K1.2361.45N/AN/A130160357799
2014-11-13$18.26$18.0010.4%3.2%11.2%4.9%10.9%1.2%0.3%-22.6K885.6K-1.6K1.2460.30N/AN/A130161357799
2014-11-14$18.28$18.0011.0%3.2%10.8%5.5%10.9%1.6%-0.0%-27.9K883.3K-1.7K0.0053.34N/AN/A160357815
2014-11-17$18.31$18.0012.3%3.3%10.5%7.1%11.1%3.6%-1.1%-34.1K815.4K-2.0K1.2347.35N/AN/A131161373815
2014-11-18$18.42$18.0012.4%3.3%9.7%7.2%10.8%3.0%-1.3%-44.4K771.5K-2.0K1.2361.03N/AN/A131161373815
2014-11-19$18.39$18.0012.6%3.2%9.0%7.4%0.0%3.1%-1.5%-52.0K841.7K-2.0K0.0060.66N/AN/A00330815
2014-11-20$18.43$18.0013.3%3.4%9.0%8.2%11.0%3.6%-1.7%-46.8K745.4K-2.1K1.2346.41N/AN/A131161373815
2014-11-21$18.59$18.008.6%2.9%9.3%2.8%11.0%6.2%1.8%-60.4K636.7K-2.2K1.2358.42N/AN/A131161373815
2014-11-24$18.59$18.009.0%2.7%8.8%3.3%0.0%3.6%-2.5%-66.1K732.9K-2.1K0.0069.24N/AN/A00329780
2014-11-25$18.57$18.009.1%2.8%7.6%3.3%10.5%2.3%-2.8%-65.2K747.4K-2.1K1.2070.95N/AN/A105126330780
2014-11-26$18.61$18.009.5%2.8%7.3%3.8%0.0%2.1%-2.9%-66.2K708.7K-2.1K0.0056.73N/AN/A00330780
2014-11-28$18.28$18.0013.0%3.1%9.9%7.8%0.0%3.0%-2.6%-35.1K923.2K-1.5K0.0058.60N/AN/A011330780