PID Options History — August 2015

In August 2015, PID traded between $14.67 and $16.57. ATM implied volatility averaged 23.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.2% (HV 20d: 16.9%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-08-20: Highest Volume — 239 contracts
  • 2015-08-24: Largest IV spike — 868.7% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 49.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.87$14.67$16.57$16.37$15.59
Max Pain$17.71$16.00$18.00$16.00$18.00
ATM IV23.1%11.8%174.2%11.9%18.2%
Expected Move6.5%3.3%49.9%3.4%5.2%
HV 20d16.9%12.7%23.9%17.0%23.9%
HV 60d16.1%14.8%19.0%15.3%19.0%
IV Rank25.2%6.0%100.0%18.6%7.0%
IV Percentile79.6%49.2%100.0%52.4%92.1%
Term Structure-3.1%-47.3%3.1%3.1%-3.6%
VWIV24.3%11.5%157.6%13.7%18.1%
Skew 25d1.6%-6.5%9.1%-0.2%9.1%
Skew 10d1.4%-6.5%5.9%5.6%5.9%
Call IV 25d21.8%11.6%140.3%15.3%18.2%
Put IV 25d23.4%13.2%133.8%15.1%27.3%
Bid-Ask Spread %115.48101.17175.60119.09114.81
Gamma HHI0.390.270.430.410.40
Net GEX27.0K6.6K39.9K28.0K25.5K
Net DEX268.9K-438.4K444.9K269.9K361.2K
Net VEX-1.5K-3.3K-555-1.7K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.001.101.100.70
Total Volume190.33302390236
Total OI1,232.8571,1211,3091,1211,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$16.37$16.0011.9%3.4%17.0%18.6%0.0%-0.2%3.1%28.0K269.9K-1.7K0.00119.09N/AN/A00782339
2015-08-04$16.30$16.0011.8%3.4%17.0%18.1%13.7%-0.3%2.4%27.1K292.6K-1.6K1.10114.12N/AN/A8796782339
2015-08-05$16.30$16.0012.1%3.5%15.2%19.4%14.1%-0.0%2.2%27.3K267.4K-1.8K1.10118.75N/AN/A8796782339
2015-08-06$16.38$18.0013.0%3.3%15.0%22.4%11.5%1.6%1.7%28.7K279.2K-1.7K1.10110.58N/AN/A8796782339
2015-08-07$16.31$18.0012.9%3.6%12.7%22.1%13.4%1.5%-0.7%34.7K250.3K-1.7K1.10109.11N/AN/A8796849339
2015-08-10$16.57$18.0017.8%3.4%13.9%39.0%12.2%4.3%0.0%37.6K148.9K-2.0K1.10110.42N/AN/A8796849339
2015-08-11$16.32$18.0016.5%3.5%14.5%34.3%0.0%2.4%2.0%34.3K264.7K-1.6K0.00109.64N/AN/A390849339
2015-08-12$16.40$18.0014.2%4.1%14.7%26.6%14.9%2.8%-0.8%39.9K186.6K-1.9K0.76107.48N/AN/A12696888339
2015-08-13$16.25$18.0013.5%3.9%14.6%24.0%14.2%1.1%-0.9%37.4K232.3K-1.8K0.76104.74N/AN/A12696888339
2015-08-14$16.23$18.0014.4%4.1%14.5%27.3%15.0%1.3%-2.3%36.5K221.5K-1.8K0.76104.75N/AN/A12696888339
2015-08-17$16.17$18.0013.3%3.8%14.1%23.3%13.9%0.4%-1.2%34.3K309.0K-1.3K0.76107.81N/AN/A12696888339
2015-08-18$16.10$18.0013.2%3.8%14.2%23.1%13.9%0.4%-1.1%32.7K309.7K-1.3K0.85106.71N/AN/A11497888339
2015-08-19$15.87$18.0012.6%3.6%14.5%20.8%0.0%3.2%2.9%26.2K338.6K-1.2K0.00118.18N/AN/A500915341
2015-08-20$15.58$18.0015.1%4.3%15.5%29.7%18.0%1.8%-5.5%26.1K349.8K-1.2K0.72101.17N/AN/A139100965341
2015-08-21$15.23$18.0018.0%5.2%16.9%39.5%17.0%1.2%-2.3%17.8K412.1K-8920.72102.86N/AN/A139100965344
2015-08-24$14.67$18.00174.2%49.9%20.7%100.0%157.6%-6.5%-47.3%6.6K-438.4K-3.3K0.70175.60N/AN/A13997965341
2015-08-25$14.73$18.0019.7%5.6%19.6%7.8%26.2%-0.3%-1.2%13.3K401.3K-8670.70125.24N/AN/A13997965341
2015-08-26$14.91$18.0025.0%7.2%19.5%11.0%23.9%0.6%-5.1%8.8K444.9K-5550.70119.68N/AN/A13997965341
2015-08-27$15.39$18.0021.9%6.3%23.5%9.1%19.8%5.8%-3.9%19.6K392.5K-9860.70127.50N/AN/A13997965341
2015-08-28$15.54$18.0016.6%4.7%23.9%6.0%19.3%3.8%-4.2%24.9K352.7K-1.3K0.70116.78N/AN/A13997965341
2015-08-31$15.59$18.0018.2%5.2%23.9%7.0%18.1%9.1%-3.6%25.5K361.2K-1.1K0.70114.81N/AN/A13997965341