PID Options History — January 2015

In January 2015, PID traded between $16.92 and $17.85. ATM implied volatility averaged 13.6%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 4.1% (HV 20d: 17.7%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-01-28: Highest Volume — 262 contracts
  • 2015-01-08: Largest IV spike — 57.2% change
  • 2015-01-08: Highest IV Rank — 18.2%
  • 2015-01-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.38$16.92$17.85$17.45$17.28
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV13.6%8.7%22.0%13.7%15.1%
Expected Move3.6%2.5%4.3%3.5%4.3%
HV 20d17.7%15.3%20.5%17.6%17.3%
HV 60d14.9%14.4%15.2%14.5%15.1%
IV Rank8.5%2.6%18.2%8.7%9.9%
IV Percentile69.6%17.5%94.4%84.9%88.1%
Term Structure0.4%-1.0%3.5%-0.9%-0.6%
VWIV15.1%13.3%22.1%13.4%15.3%
Skew 25d3.5%-0.7%6.5%0.0%4.8%
Skew 10d4.3%-1.3%10.7%3.8%10.7%
Call IV 25d12.8%9.8%15.7%15.7%14.5%
Put IV 25d16.2%12.7%19.3%15.8%19.3%
Bid-Ask Spread %105.1394.09117.9898.97115.08
Gamma HHI0.530.340.780.400.34
Net GEX-262-4.6K9.0K778499
Net DEX178.0K5.4K274.3K189.3K172.5K
Net VEX-1.2K-1.5K-1.0K-1.3K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.002.611.571.54
Total Volume150.350262252262
Total OI523.65477568477568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$17.45$0.0013.7%3.5%17.6%8.7%13.4%0.0%-0.9%778189.3K-1.3K1.5798.97N/AN/A98154236241
2015-01-05$17.01$17.0014.2%3.9%19.4%9.2%0.0%4.5%0.2%-3.8K267.0K-1.0K0.0096.82N/AN/A025236260
2015-01-06$16.92$17.0015.7%3.9%19.4%10.9%0.0%3.8%-0.1%-4.0K274.3K-1.0K0.0094.09N/AN/A05236260
2015-01-07$17.08$17.0014.0%3.9%19.0%9.0%0.0%3.8%0.1%-4.6K271.0K-1.0K0.0097.12N/AN/A00236265
2015-01-08$17.42$17.0022.0%3.9%20.5%18.2%13.6%4.7%-0.5%-2.0K192.7K-1.2K1.6299.12N/AN/A98159236265
2015-01-09$17.33$17.0015.9%3.8%19.5%11.2%13.3%2.9%0.1%-2.1K228.2K-1.1K2.61105.31N/AN/A61159236265
2015-01-12$17.20$17.0018.1%3.9%19.6%13.7%13.6%5.4%-0.1%-3.6K251.9K-1.1K2.6199.56N/AN/A61159237265
2015-01-13$17.12$17.0017.1%4.0%18.5%12.6%14.1%5.0%0.4%-4.3K257.5K-1.1K2.5994.91N/AN/A61158237265
2015-01-14$17.15$17.0014.2%4.1%17.3%9.2%14.2%4.7%-0.0%-4.2K261.4K-1.1K2.5998.76N/AN/A61158237268
2015-01-15$17.23$17.0015.1%4.3%17.0%10.3%15.1%2.9%-1.0%-3.1K239.8K-1.1K2.59102.58N/AN/A61158237268
2015-01-16$17.52$17.009.1%2.6%16.5%3.3%0.0%4.6%1.1%-1.3K183.2K-1.2K0.00104.81N/AN/A00237268
2015-01-20$17.43$17.0013.4%3.8%15.3%8.3%0.0%4.7%3.5%-3.3K182.6K-1.2K0.00107.23N/AN/A00237268
2015-01-21$17.64$17.009.9%2.8%15.9%4.2%0.0%3.5%1.7%-1.9K129.5K-1.3K0.00114.37N/AN/A620237268
2015-01-22$17.85$17.0010.4%3.0%16.5%4.8%22.1%4.1%-0.7%9.0K5.4K-1.4K1.53105.69N/AN/A103158299268
2015-01-23$17.71$17.0010.0%2.9%16.7%4.0%14.7%-0.7%-0.7%8.9K47.4K-1.4K1.53112.89N/AN/A103158299268
2015-01-26$17.69$17.008.7%2.5%16.7%2.6%0.0%1.9%0.9%4.3K69.5K-1.5K0.00117.16N/AN/A00299268
2015-01-27$17.73$17.009.1%2.6%16.6%3.0%0.0%1.8%0.4%7.0K70.2K-1.5K0.00117.98N/AN/A01299268
2015-01-28$17.46$17.0013.8%4.0%17.2%8.4%16.6%0.6%1.6%2.2K126.2K-1.5K1.54110.84N/AN/A103159299269
2015-01-29$17.44$17.0013.1%3.8%17.2%7.6%15.3%6.5%2.7%225139.3K-1.4K1.54109.38N/AN/A103159299269
2015-01-30$17.28$17.0015.1%4.3%17.3%9.9%15.3%4.8%-0.6%499172.5K-1.3K1.54115.08N/AN/A103159299269