PID Options History — July 2015

In July 2015, PID traded between $16.10 and $17.10. ATM implied volatility averaged 15.0%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 2.4% (HV 20d: 17.4%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2015-07-27: Highest Volume — 445 contracts
  • 2015-07-15: Largest IV drop — 46.4% change
  • 2015-07-09: Highest IV Rank — 60.0%
  • 2015-07-08: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.71$16.10$17.10$17.02$16.53
Max Pain$16.20$16.00$18.00$18.00$16.00
ATM IV15.0%9.9%23.9%15.8%13.5%
Expected Move3.7%2.8%5.2%4.5%3.9%
HV 20d17.4%15.5%19.0%16.0%17.4%
HV 60d14.3%13.2%15.2%13.2%15.2%
IV Rank29.2%11.7%60.0%31.9%24.2%
IV Percentile69.3%25.8%98.8%91.3%77.4%
Term Structure-0.5%-6.8%2.8%-1.4%-0.1%
VWIV16.4%12.0%22.4%21.5%15.0%
Skew 25d1.3%-1.0%4.7%0.3%1.3%
Skew 10d1.4%-3.4%7.6%0.6%2.9%
Call IV 25d14.1%9.5%19.0%18.9%13.6%
Put IV 25d15.4%12.0%19.2%19.2%14.9%
Bid-Ask Spread %106.5686.11121.84106.47121.84
Gamma HHI0.460.400.660.660.44
Net GEX26.0K15.5K32.7K20.8K28.1K
Net DEX164.1K-15.2K368.6K118.6K244.5K
Net VEX-2.1K-2.9K-1.2K-2.2K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.141.100.141.10
Total Volume385.682183445403183
Total OI1,010.4558511,0918511,091

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$17.02$18.0015.8%4.5%16.0%31.9%21.5%0.3%-1.4%20.8K118.6K-2.2K0.14106.47N/AN/A35350569282
2015-07-02$17.06$18.0015.3%4.4%15.5%30.2%21.9%0.2%-1.9%30.5K1.1K-2.9K0.15104.88N/AN/A33850694282
2015-07-06$16.81$0.0019.1%4.0%16.2%43.4%0.0%3.7%-0.1%26.7K106.4K-2.5K0.1890.54N/AN/A33861692282
2015-07-07$16.77$0.0017.8%3.8%16.1%38.9%17.4%2.4%0.1%25.4K114.6K-2.5K0.17100.62N/AN/A33858692293
2015-07-08$16.41$16.0022.2%5.2%17.4%53.9%18.4%2.3%-0.3%20.3K215.8K-2.1K0.1690.37N/AN/A36858692301
2015-07-09$16.55$16.0023.9%4.3%16.3%60.0%18.4%2.6%-1.3%26.2K135.6K-2.4K0.1686.11N/AN/A36858722301
2015-07-10$16.90$16.0020.7%3.9%18.6%49.0%19.1%3.0%-0.1%28.6K56.0K-2.5K0.1695.93N/AN/A36860722301
2015-07-13$17.02$16.0021.0%3.5%18.9%50.0%22.4%4.7%0.3%29.7K-3.0K-2.6K0.1697.44N/AN/A36860722303
2015-07-14$17.09$16.0021.4%3.4%18.9%51.3%0.0%0.2%0.0%31.1K-15.2K-2.6K0.16105.81N/AN/A36860722303
2015-07-15$16.99$16.0011.5%3.3%18.8%17.1%14.6%0.0%0.9%30.0K14.8K-2.6K0.16104.56N/AN/A36860722303
2015-07-16$17.10$16.0010.3%3.0%19.0%13.1%0.0%0.1%1.1%32.6K-13.8K-2.6K0.16115.11N/AN/A36860722303
2015-07-17$16.97$16.009.9%2.8%18.9%11.7%0.0%-0.5%0.6%32.7K50.9K-2.3K0.16111.64N/AN/A36860722303
2015-07-20$16.79$16.0010.0%2.9%17.9%12.0%14.7%-1.0%-0.6%27.2K195.6K-2.0K0.23115.55N/AN/A33077684303
2015-07-21$16.75$16.0011.5%3.3%16.9%17.3%14.8%-0.5%-1.1%25.9K233.6K-2.0K0.23109.39N/AN/A33077684320
2015-07-22$16.56$16.0010.0%2.9%17.0%12.0%12.8%1.2%-0.3%22.8K319.8K-1.5K0.23115.08N/AN/A33177684320
2015-07-23$16.45$16.0010.5%3.0%17.0%13.7%12.0%2.6%2.8%20.7K320.6K-1.5K0.24111.80N/AN/A33178685320
2015-07-24$16.28$16.0013.3%3.8%17.2%23.5%13.4%1.2%-1.1%17.0K353.3K-1.3K0.2499.02N/AN/A33178685321
2015-07-27$16.10$16.0012.7%3.6%17.3%21.2%12.7%0.2%-0.0%15.5K368.6K-1.2K0.21112.10N/AN/A36778685321
2015-07-28$16.34$16.0012.8%3.7%16.6%21.6%14.7%0.7%1.7%23.8K305.8K-1.4K0.21114.21N/AN/A36778722321
2015-07-29$16.56$16.0012.2%3.5%17.5%19.6%17.4%2.3%-6.8%26.5K260.2K-1.7K1.10116.41N/AN/A8796722321
2015-07-30$16.52$16.0014.0%4.0%17.5%25.9%14.6%1.2%-3.8%29.0K225.8K-1.9K1.10119.44N/AN/A8796752339
2015-07-31$16.53$16.0013.5%3.9%17.4%24.2%15.0%1.3%-0.1%28.1K244.5K-1.8K1.10121.84N/AN/A8796752339