PID Options History — April 2015

In April 2015, PID traded between $17.55 and $18.57. ATM implied volatility averaged 11.5%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.8% (HV 20d: 13.3%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2015-04-10: Highest Volume — 413 contracts
  • 2015-04-15: Largest IV spike — 36.2% change
  • 2015-04-23: Highest IV Rank — 10.4%
  • 2015-04-23: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.21$17.55$18.57$17.55$18.42
ATM IV11.5%8.8%14.0%12.9%13.2%
Expected Move3.3%2.5%4.0%3.7%3.8%
HV 20d13.3%10.9%17.1%16.6%11.2%
HV 60d14.9%13.5%15.6%15.4%13.5%
IV Rank7.0%3.1%10.4%8.9%9.3%
IV Percentile53.0%17.1%84.1%73.4%77.4%
Term Structure-0.6%-5.8%3.3%-3.6%1.5%
Skew 25d2.0%-0.3%4.1%3.5%-0.3%
Skew 10d4.7%0.5%10.2%3.9%3.6%
Call IV 25d12.8%11.5%15.3%12.6%15.3%
Put IV 25d14.8%11.8%17.2%16.1%15.0%
Bid-Ask Spread %113.21104.74121.96120.08121.21
Gamma HHI0.560.410.860.860.41
Net GEX-25.5K-45.2K-11.7K-28.8K-14.2K
Net DEX117.9K-152.2K364.4K337.1K-40.8K
Net VEX-2.0K-2.8K-1.1K-1.1K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.703.092.491.06
Total Volume256.3330413185303
Total OI649.19382835382835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$17.55$0.0012.9%3.7%16.6%8.9%0.0%3.5%-3.6%-28.8K337.1K-1.1K2.49120.08N/AN/A5313253329
2015-04-02$17.74$0.0010.6%3.0%17.1%5.7%0.0%1.9%-1.0%-39.3K335.1K-1.2K2.49104.75N/AN/A5313253362
2015-04-06$17.96$0.009.5%3.0%16.4%4.2%0.0%3.6%-0.1%-41.8K273.6K-1.3K2.85104.74N/AN/A5315153362
2015-04-07$18.00$0.0011.4%2.7%16.3%6.8%0.0%0.3%2.2%-37.7K292.6K-1.4K3.09111.97N/AN/A5517053381
2015-04-08$17.97$0.009.5%2.7%13.7%4.2%0.0%4.1%1.4%-45.2K364.4K-1.4K0.00105.45N/AN/A0055419
2015-04-09$18.07$0.0010.4%3.0%13.7%5.4%0.0%3.6%0.7%-44.8K338.7K-1.4K0.95108.35N/AN/A17917055419
2015-04-10$18.07$0.009.4%2.7%13.7%4.0%0.0%0.2%1.5%-33.5K219.2K-2.0K0.70112.25N/AN/A243170181419
2015-04-13$18.01$0.0010.6%3.0%13.3%5.6%0.0%0.3%0.3%-22.5K188.4K-2.2K1.81109.26N/AN/A94170246419
2015-04-14$18.21$0.008.8%2.5%13.6%3.1%0.0%2.8%3.3%-20.2K106.0K-2.2K1.58115.10N/AN/A96152273419
2015-04-15$18.49$0.0011.9%3.4%14.4%7.5%0.0%0.6%0.6%-20.6K-5.8K-2.2K1.58112.00N/AN/A96152275439
2015-04-16$18.45$0.0013.9%4.0%12.3%10.3%0.0%2.6%-2.4%-20.5K28.2K-2.3K1.58109.26N/AN/A96152275439
2015-04-17$18.22$0.0011.8%3.4%12.2%7.3%0.0%2.9%-0.4%-21.1K127.3K-2.3K1.58107.36N/AN/A96152275439
2015-04-20$18.23$0.0012.2%3.5%11.9%7.9%0.0%3.4%-0.6%-22.3K117.1K-2.2K1.62115.70N/AN/A94152273439
2015-04-21$18.20$0.0012.0%3.5%11.9%7.7%0.0%2.9%-0.8%-21.0K130.6K-2.2K1.62113.84N/AN/A94152273439
2015-04-22$18.26$0.0011.0%3.1%11.9%6.2%0.0%3.1%1.8%-23.8K115.4K-2.1K1.62112.61N/AN/A94152273439
2015-04-23$18.49$0.0014.0%4.0%12.2%10.4%0.0%1.6%-3.1%-20.6K28.3K-2.2K0.80117.99N/AN/A191152273439
2015-04-24$18.53$0.0010.5%3.0%12.0%5.6%0.0%0.8%-4.4%-12.4K-104.9K-2.7K1.03118.57N/AN/A147152370439
2015-04-27$18.50$0.0013.3%3.8%11.6%9.4%0.0%0.2%0.4%-11.8K-105.4K-2.8K1.03117.23N/AN/A147152377439
2015-04-28$18.57$0.0012.0%3.4%11.6%7.6%0.0%1.9%-4.5%-21.1K-152.2K-2.5K1.03117.64N/AN/A147152377439
2015-04-29$18.53$0.0013.0%3.7%10.9%9.0%0.0%0.9%-5.8%-11.7K-116.5K-2.6K0.94121.96N/AN/A147138377439
2015-04-30$18.42$0.0013.2%3.8%11.2%9.3%0.0%-0.3%1.5%-14.2K-40.8K-2.8K1.06121.21N/AN/A147156377458