PID Options History — June 2015

In June 2015, PID traded between $17.07 and $17.96. ATM implied volatility averaged 13.1%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.5% (HV 20d: 13.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-06-18: Highest Volume — 342 contracts
  • 2015-06-10: Largest IV drop — 56.3% change
  • 2015-06-30: Highest IV Rank — 35.5%
  • 2015-06-30: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$17.07$17.96$17.77$17.10
Max Pain$18.06$18.00$19.00$18.00$18.00
ATM IV13.1%9.0%21.1%9.9%16.8%
Expected Move3.2%2.2%4.8%2.8%4.8%
HV 20d13.6%11.2%16.6%11.7%16.0%
HV 60d12.7%11.8%13.6%13.6%13.2%
IV Rank10.1%3.4%35.5%4.7%35.5%
IV Percentile58.1%14.7%94.8%29.4%94.4%
Term Structure-0.3%-3.6%3.9%0.6%-2.3%
VWIV12.7%8.2%20.3%9.9%20.3%
Skew 25d5.2%-1.9%17.5%17.5%0.4%
Skew 10d3.1%-3.4%17.7%17.6%1.3%
Call IV 25d13.0%8.4%19.0%11.6%19.0%
Put IV 25d18.2%12.3%30.2%29.1%19.4%
Bid-Ask Spread %104.5378.76120.07110.96105.49
Gamma HHI0.520.330.700.550.70
Net GEX-4.3K-29.9K29.6K-15.7K21.8K
Net DEX212.9K-109.9K437.7K336.7K99.3K
Net VEX-2.6K-3.0K-2.3K-2.8K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.002.102.100.41
Total Volume230.77329342226173
Total OI970.1827891,1251,050851

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$17.77$18.009.9%2.8%11.7%4.7%9.9%17.5%0.6%-15.7K336.7K-2.8K2.10110.96N/AN/A73153501549
2015-06-02$17.96$18.0013.0%3.7%12.5%9.0%12.9%12.5%-2.1%-25.5K187.1K-3.0K0.00110.70N/AN/A290480549
2015-06-03$17.91$19.0013.6%3.9%12.4%9.9%14.5%13.3%-3.6%-29.2K232.2K-2.8K1.89113.96N/AN/A81153451549
2015-06-04$17.66$0.0018.9%2.6%13.2%17.3%0.0%4.3%0.2%-19.4K342.6K-2.7K1.8991.53N/AN/A81153451549
2015-06-05$17.63$0.0016.6%2.8%13.1%14.0%0.0%3.9%-0.3%-16.6K405.1K-2.5K1.6591.70N/AN/A96158451549
2015-06-08$17.54$0.0021.0%2.3%11.2%20.2%0.0%6.8%3.8%-18.7K437.7K-2.6K1.6578.76N/AN/A96158468569
2015-06-09$17.58$0.0021.1%2.2%11.4%20.4%0.0%7.3%3.5%-18.8K406.6K-2.6K1.6578.97N/AN/A96158468569
2015-06-10$17.88$0.009.3%2.7%13.3%3.8%10.6%5.2%0.3%-29.9K231.5K-2.8K1.52105.77N/AN/A104158468569
2015-06-11$17.84$18.009.3%2.7%13.2%3.9%11.1%4.6%-0.3%-22.7K265.2K-2.8K1.52104.51N/AN/A104158476569
2015-06-12$17.76$18.009.8%2.8%13.0%4.5%11.3%4.6%-0.9%-26.8K308.8K-2.7K1.52103.89N/AN/A104158476569
2015-06-15$17.63$18.0012.3%3.5%13.1%8.0%14.3%2.2%-2.8%-14.3K385.8K-2.4K1.52100.59N/AN/A104158476569
2015-06-16$17.71$18.009.0%2.6%13.2%3.4%10.8%4.4%0.1%-13.6K348.9K-2.5K1.52107.38N/AN/A104158476569
2015-06-17$17.75$18.009.4%2.7%13.1%4.0%10.5%6.3%0.2%-20.2K336.4K-2.4K1.52111.70N/AN/A104158476569
2015-06-18$17.83$18.0012.3%3.5%13.3%8.1%8.2%9.5%2.6%-21.8K252.8K-2.4K0.86111.92N/AN/A184158476569
2015-06-19$17.45$18.0011.9%3.4%14.6%7.6%12.1%1.8%3.9%20.7K387.4K-2.7K0.79103.78N/AN/A184146556569
2015-06-22$17.68$18.0012.2%3.5%15.6%8.0%12.2%6.0%-2.0%24.9K-94.3K-2.6K0.46109.02N/AN/A13060510279
2015-06-23$17.75$18.009.7%2.8%14.4%4.4%9.9%1.3%-0.1%25.7K-109.9K-2.7K0.32120.07N/AN/A18760510279
2015-06-24$17.63$18.0012.3%3.5%14.5%8.0%14.0%3.1%-3.1%29.6K-90.9K-2.8K0.32103.12N/AN/A18760551279
2015-06-25$17.51$18.0011.6%3.3%14.6%7.0%13.0%0.4%-1.4%28.2K-31.0K-2.7K0.46118.98N/AN/A10950551279
2015-06-26$17.51$18.0011.8%3.4%14.3%7.4%13.4%1.0%-0.8%27.8K-28.4K-2.7K0.46114.67N/AN/A10950553282
2015-06-29$17.07$18.0016.4%4.7%16.6%13.9%19.7%-1.9%-2.3%19.8K73.6K-2.4K0.41102.09N/AN/A12350553282
2015-06-30$17.10$18.0016.8%4.8%16.0%35.5%20.3%0.4%-2.3%21.8K99.3K-2.3K0.41105.49N/AN/A12350569282