PID Options History — December 2014

In December 2014, PID traded between $16.81 and $18.27. ATM implied volatility averaged 12.3%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 2.2% (HV 20d: 14.5%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2014-12-16: Highest Volume — 382 contracts
  • 2014-12-10: Largest IV spike — 63.2% change
  • 2014-12-10: Highest IV Rank — 14.6%
  • 2014-12-17: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.67$16.81$18.27$18.20$17.51
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV12.3%8.8%18.9%11.7%15.0%
Expected Move3.2%2.5%3.9%3.1%2.8%
HV 20d14.5%9.0%18.7%9.7%17.8%
HV 60d13.9%12.5%15.2%12.6%14.8%
IV Rank7.1%3.0%14.6%6.4%10.1%
IV Percentile67.4%24.6%93.7%69.0%90.1%
Term Structure-1.1%-6.4%1.1%-2.1%-6.4%
VWIV11.2%10.1%12.7%10.4%12.3%
Skew 25d2.7%-6.7%10.5%1.9%1.1%
Skew 10d0.1%-77.6%11.8%3.6%3.1%
Call IV 25d12.3%8.8%22.6%11.7%14.4%
Put IV 25d15.0%10.1%22.9%13.6%15.5%
Bid-Ask Spread %86.9954.77105.6755.07100.69
Gamma HHI0.470.290.630.500.54
Net GEX-3.3K-27.6K4.4K-13.0K2.7K
Net DEX835.0K119.7K1.3M1.0M168.8K
Net VEX-1.2K-1.5K-698-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.481.381.891.401.38
Total Volume234.45503822520
Total OI967.0914561,2781,110477

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$18.20$18.0011.7%3.1%9.7%6.4%10.4%1.9%-2.1%-13.0K1.0M-1.2K1.4055.07N/AN/A105147331779
2014-12-02$18.17$18.0011.9%3.1%9.5%6.6%10.3%1.9%-2.2%-16.5K1.0M-1.3K1.4054.77N/AN/A105147331809
2014-12-03$18.27$18.0013.7%3.1%9.3%8.6%10.1%2.6%-3.2%-27.6K989.0K-1.5K1.4058.02N/AN/A105147331809
2014-12-04$18.20$18.0012.1%3.1%9.2%6.9%0.0%0.8%-2.8%-10.5K1.1M-1.3K0.0085.42N/AN/A010330809
2014-12-05$18.15$18.0011.8%3.0%9.0%6.5%10.3%1.3%0.7%-2.3K1.1M-1.2K1.4492.60N/AN/A109157331819
2014-12-08$17.80$18.0014.4%2.8%11.1%9.5%10.1%0.6%-2.1%4.4K1.2M-1.1K1.5492.22N/AN/A109168351819
2014-12-09$17.76$18.0011.6%3.0%11.1%6.2%10.7%5.4%-1.4%-6.9K1.2M-1.3K1.5483.33N/AN/A109168351846
2014-12-10$17.43$18.0018.9%3.9%12.4%14.6%11.1%3.5%1.1%-5381.2M-1.1K1.7285.28N/AN/A109187351846
2014-12-11$17.44$18.0013.6%3.5%12.3%8.5%10.2%4.0%-1.4%-2.8K1.2M-9941.7281.74N/AN/A109187351850
2014-12-12$17.11$18.0013.4%3.8%13.7%8.3%12.4%0.8%-0.5%-4.0K1.2M-9231.8986.13N/AN/A109206351850
2014-12-15$16.81$18.0014.0%3.8%14.5%9.0%12.7%5.3%-1.7%-8.3K1.3M-6981.4088.08N/AN/A147206351870
2014-12-16$16.98$18.0012.7%3.8%15.2%7.5%12.7%7.0%0.2%-3.6K1.2M-9831.4391.65N/AN/A157225389870
2014-12-17$17.33$18.0013.3%3.9%17.2%8.2%12.4%6.3%0.4%-1.7K1.2M-1.2K1.4378.92N/AN/A157225389889
2014-12-18$17.63$18.0013.1%3.2%18.6%7.9%12.3%10.5%0.5%-9441.2M-1.4K1.4390.73N/AN/A157225389889
2014-12-19$17.69$18.008.8%3.1%18.7%3.0%0.0%1.8%0.5%3581.2M-1.4K0.0090.64N/AN/A01388889
2014-12-22$17.67$0.009.9%2.9%18.2%4.3%0.0%6.3%0.3%3.6K119.7K-1.3K1.38100.44N/AN/A98135236220
2014-12-23$17.74$0.008.9%2.5%18.4%3.2%0.0%1.6%-0.1%3.5K134.4K-1.4K1.38105.67N/AN/A98135236241
2014-12-24$17.71$0.009.7%2.8%18.4%4.1%0.0%1.8%-0.2%3.1K138.8K-1.4K1.38100.93N/AN/A98135236241
2014-12-26$17.80$0.009.0%2.6%18.5%3.2%0.0%-0.9%-0.8%4.0K125.3K-1.4K1.38102.48N/AN/A98135236241
2014-12-29$17.65$0.0011.5%3.0%17.7%6.1%0.0%2.8%-1.7%2.1K142.5K-1.4K1.3893.19N/AN/A98135236241
2014-12-30$17.63$0.0011.7%3.2%17.7%6.4%0.0%-6.7%-1.5%1.5K156.0K-1.3K0.0095.86N/AN/A00236241
2014-12-31$17.51$0.0015.0%2.8%17.8%10.1%0.0%1.1%-6.4%2.7K168.8K-1.3K0.00100.69N/AN/A00236241