PID Options History — March 2015

In March 2015, PID traded between $17.33 and $18.25. ATM implied volatility averaged 12.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 2.3% (HV 20d: 14.2%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2015-03-04: Highest Volume — 239 contracts
  • 2015-03-19: Largest IV spike — 52.8% change
  • 2015-03-09: Highest IV Rank — 15.6%
  • 2015-03-16: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.69$17.33$18.25$18.25$17.43
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV12.0%7.6%17.7%13.2%13.1%
Expected Move3.2%2.2%4.1%3.8%3.8%
HV 20d14.2%10.7%16.5%14.7%16.4%
HV 60d16.3%15.5%16.9%16.7%16.2%
IV Rank7.3%1.6%15.6%7.7%9.2%
IV Percentile56.9%4.0%92.9%77.0%76.6%
Term Structure-0.6%-4.3%3.7%-3.4%2.2%
VWIV14.4%12.2%15.6%15.2%12.2%
Skew 25d1.5%-0.9%4.3%0.0%0.9%
Skew 10d1.7%0.6%5.5%2.3%5.5%
Call IV 25d12.7%10.8%16.4%16.1%13.6%
Put IV 25d14.2%11.7%16.5%16.1%14.5%
Bid-Ask Spread %115.50107.12123.71113.94122.01
Gamma HHI0.640.290.940.700.82
Net GEX-7.9K-31.9K24.6K19.3K-25.1K
Net DEX233.9K-71.6K374.6K-70.2K348.8K
Net VEX-1.0K-1.2K-877-968-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.811.212.581.212.58
Total Volume81.9550239217190
Total OI504.227344639502382

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$18.25$18.0013.2%3.8%14.7%7.7%15.2%0.0%-3.4%19.3K-70.2K-9681.21113.94N/AN/A98119261241
2015-03-03$18.24$18.0013.5%3.9%13.6%8.1%15.6%0.1%-3.4%19.5K-71.6K-9571.21114.59N/AN/A98119261241
2015-03-04$18.11$18.0011.1%3.2%11.8%5.2%12.2%-0.9%-2.2%24.6K-19.8K-1.1K1.44115.86N/AN/A98141261241
2015-03-05$18.16$0.0012.7%2.9%11.1%7.2%0.0%0.4%-0.3%18.5K33.5K-1.1K1.44109.57N/AN/A98141261273
2015-03-06$17.82$0.0013.1%2.7%11.4%9.1%0.0%4.3%-1.1%20.5K84.9K-1.1K1.40109.66N/AN/A98137261273
2015-03-09$17.74$0.0017.7%2.2%10.7%15.6%0.0%4.2%0.5%4.6K179.0K-1.1K0.00109.37N/AN/A00261294
2015-03-10$17.33$0.0015.4%3.6%13.4%12.4%0.0%1.7%-0.5%-4.5K300.6K-8830.00107.69N/AN/A010261294
2015-03-11$17.38$0.0012.4%3.6%13.5%8.2%0.0%1.5%0.6%-3.0K295.0K-9130.00110.40N/AN/A039261302
2015-03-12$17.48$0.0013.2%3.8%13.7%9.4%0.0%2.4%-1.0%-4.2K322.4K-1.0K0.00114.72N/AN/A00261341
2015-03-13$17.33$0.0012.3%3.5%13.1%8.1%0.0%1.2%-0.6%-10.7K374.6K-9230.00107.12N/AN/A00261341
2015-03-16$17.41$0.0014.3%4.1%12.6%10.8%0.0%2.4%-2.5%-8.1K365.7K-8770.00110.76N/AN/A00261341
2015-03-17$17.44$0.0013.7%3.9%12.5%10.0%0.0%2.1%-1.0%-4.7K329.7K-9770.00114.10N/AN/A037261341
2015-03-18$17.85$0.008.0%2.3%15.5%2.0%0.0%1.4%0.3%-3.1K247.3K-1.2K0.00120.35N/AN/A00261378
2015-03-19$17.62$0.0012.2%3.5%16.0%7.9%0.0%1.2%-0.4%-12.0K303.5K-9560.00121.21N/AN/A00261378
2015-03-20$17.79$0.007.9%2.3%16.5%2.0%0.0%1.4%0.6%-31.9K368.3K-1.0K0.00123.71N/AN/A00260378
2015-03-23$17.78$0.007.6%2.2%16.3%1.6%0.0%1.2%0.3%-30.3K250.4K-1.0K0.00119.96N/AN/A0053291
2015-03-24$17.75$0.008.4%2.4%15.9%2.7%0.0%1.7%0.0%-31.7K265.9K-9790.00119.70N/AN/A0053291
2015-03-25$17.65$0.008.9%2.6%16.0%3.3%0.0%2.2%-0.3%-27.5K268.7K-9950.00118.64N/AN/A0053291
2015-03-26$17.60$0.0011.3%3.2%16.0%6.6%0.0%2.0%-0.3%-27.0K281.7K-9742.58118.31N/AN/A5313753291
2015-03-27$17.48$0.0011.4%3.3%15.9%6.8%0.0%0.6%3.7%-27.3K349.5K-1.1K0.00123.42N/AN/A0053329
2015-03-30$17.59$0.0011.5%3.3%16.2%6.9%0.0%1.8%-4.3%-30.8K338.6K-1.0K2.58115.92N/AN/A5313753329
2015-03-31$17.43$0.0013.1%3.8%16.4%9.2%0.0%0.9%2.2%-25.1K348.8K-1.0K2.58122.01N/AN/A5313753329