PID Options History — February 2015 In February 2015, PID traded between $17.59 and $18.32. ATM implied volatility averaged 11.7%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 5.3% (HV 20d: 17.0%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.52.
Notable Days 2015-02-03 : Highest Volume — 262 contracts2015-02-06 : Largest IV spike — 50.1% change2015-02-24 : Highest IV Rank — 7.4%2015-02-24 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $18.10 $17.59 $18.32 $17.59 $18.29 Max Pain $17.84 $17.00 $18.00 $17.00 $18.00 ATM IV 11.7% 8.0% 13.0% 11.5% 12.3% Expected Move 3.4% 2.7% 3.7% 3.3% 3.5% HV 20d 17.0% 15.2% 18.5% 18.5% 15.2% HV 60d 16.7% 15.5% 17.1% 15.5% 16.7% IV Rank 6.0% 1.7% 7.4% 5.8% 6.7% IV Percentile 58.1% 7.5% 74.2% 55.2% 65.9% Term Structure -1.1% -3.0% 2.1% -2.5% -3.0% VWIV 13.9% 11.6% 19.6% 19.6% 14.2% Skew 25d 2.8% -0.6% 12.7% 3.8% 0.1% Skew 10d 3.9% -1.2% 18.1% 3.2% 2.2% Call IV 25d 13.4% 11.6% 16.1% 11.6% 14.9% Put IV 25d 16.2% 12.7% 27.1% 15.4% 15.0% Bid-Ask Spread % 107.32 98.40 114.94 114.94 112.98 Gamma HHI 0.66 0.33 0.88 0.54 0.68 Net GEX 12.1K 3.6K 17.0K 3.6K 16.9K Net DEX -42.6K -139.5K 101.7K 101.7K -66.6K Net VEX -1.3K -1.5K -1.0K -1.4K -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 1.21 1.62 1.54 1.21 Total Volume 211.684 0 262 0 217 Total OI 553.632 511 569 568 511
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-02-02 $17.59 $17.00 11.5% 3.3% 18.5% 5.8% 0.0% 3.8% -2.5% 3.6K 101.7K -1.4K 0.00 114.94 N/A N/A 0 0 299 269 2015-02-03 $17.97 $17.00 9.5% 2.7% 17.2% 3.5% 0.0% 12.7% 2.1% 10.5K -1.1K -1.5K 1.54 113.75 N/A N/A 103 159 299 269 2015-02-04 $17.79 $17.00 11.6% 3.3% 17.6% 5.9% 19.6% 0.1% -2.5% 4.4K 28.3K -1.5K 1.54 113.76 N/A N/A 103 159 300 269 2015-02-05 $18.11 $18.00 8.0% 3.6% 18.3% 1.7% 14.2% 5.7% -1.5% 9.6K -45.0K -1.5K 1.54 100.39 N/A N/A 103 159 300 269 2015-02-06 $17.89 $18.00 12.0% 3.3% 17.9% 6.3% 13.3% 4.6% -0.5% 9.8K 31.9K -1.5K 1.54 100.56 N/A N/A 103 159 300 269 2015-02-09 $17.91 $18.00 11.7% 3.5% 17.7% 5.9% 14.2% 5.1% -0.5% 11.0K -2.5K -1.4K 1.62 98.40 N/A N/A 98 159 300 269 2015-02-10 $17.94 $18.00 12.5% 3.2% 17.4% 6.9% 13.6% 5.4% -0.3% 11.2K 17.9K -1.4K 1.62 99.00 N/A N/A 98 159 300 269 2015-02-11 $17.89 $18.00 12.3% 3.5% 17.3% 6.6% 14.5% 5.1% -0.9% 9.3K 30.6K -1.4K 1.62 99.40 N/A N/A 98 159 300 269 2015-02-12 $18.10 $18.00 11.4% 3.3% 17.6% 5.6% 12.8% 4.5% -0.1% 13.9K -67.1K -1.3K 1.62 104.84 N/A N/A 98 159 300 269 2015-02-13 $18.27 $18.00 11.1% 3.2% 17.8% 5.2% 11.8% 0.8% -0.6% 13.8K -125.8K -1.3K 1.59 110.73 N/A N/A 100 159 300 269 2015-02-17 $18.32 $18.00 12.7% 3.6% 17.0% 7.1% 13.4% 1.5% -1.5% 12.6K -139.5K -1.2K 1.59 109.19 N/A N/A 100 159 300 269 2015-02-18 $18.32 $18.00 12.9% 3.7% 16.8% 7.3% 13.6% 1.5% -2.1% 12.2K -139.0K -1.2K 1.59 109.84 N/A N/A 100 159 300 269 2015-02-19 $18.24 $18.00 11.7% 3.4% 16.6% 6.0% 0.0% 0.6% -1.1% 14.6K -117.5K -1.2K 0.00 107.70 N/A N/A 0 0 300 269 2015-02-20 $18.29 $18.00 12.4% 3.6% 16.2% 6.8% 0.0% 0.9% 1.3% 15.2K -128.6K -1.2K 0.00 110.97 N/A N/A 0 0 300 269 2015-02-23 $18.14 $18.00 10.8% 3.1% 16.2% 4.9% 11.6% -0.6% -0.4% 17.0K -15.5K -1.2K 1.43 109.32 N/A N/A 98 140 261 250 2015-02-24 $18.29 $18.00 13.0% 3.7% 16.4% 7.4% 13.9% 0.7% -2.7% 14.8K -66.2K -1.1K 1.43 106.41 N/A N/A 98 140 261 250 2015-02-25 $18.28 $18.00 12.7% 3.6% 16.4% 7.1% 13.7% 0.5% -2.8% 13.3K -54.2K -1.1K 1.43 108.14 N/A N/A 98 140 261 250 2015-02-26 $18.23 $18.00 12.3% 3.5% 15.2% 6.7% 13.4% 0.4% -2.2% 16.4K -51.6K -1.0K 1.43 108.86 N/A N/A 98 140 261 250 2015-02-27 $18.29 $18.00 12.3% 3.5% 15.2% 6.7% 14.2% 0.1% -3.0% 16.9K -66.6K -1.0K 1.21 112.98 N/A N/A 98 119 261 250
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