PID Options History — September 2015

In September 2015, PID traded between $14.15 and $15.49. ATM implied volatility averaged 20.6%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 7.9% (HV 20d: 28.4%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2015-09-01: Highest Volume — 236 contracts
  • 2015-09-28: Largest IV spike — 54.5% change
  • 2015-09-04: Highest IV Rank — 12.1%
  • 2015-09-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.91$14.15$15.49$14.95$14.46
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV20.6%15.2%26.8%24.1%21.8%
Expected Move5.7%4.4%7.6%6.9%6.2%
HV 20d28.4%23.7%31.0%27.7%23.7%
HV 60d21.6%20.6%22.9%20.7%22.9%
IV Rank8.2%5.0%12.1%10.5%8.5%
IV Percentile91.1%77.0%98.4%98.0%93.7%
Term Structure-2.1%-9.8%0.8%-4.9%-1.9%
VWIV24.7%23.7%25.6%25.6%23.7%
Skew 25d3.3%-1.2%8.1%3.4%2.2%
Skew 10d3.3%-0.3%9.7%6.3%4.2%
Call IV 25d19.7%17.3%24.2%24.2%21.4%
Put IV 25d23.0%17.8%29.6%27.5%23.6%
Bid-Ask Spread %120.56111.88128.53117.90120.43
Gamma HHI0.360.330.410.400.35
Net GEX12.3K2.7K24.4K14.6K2.7K
Net DEX263.8K7.3K433.1K407.5K63.8K
Net VEX-710-1.1K-274-801-274
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.700.900.700.84
Total Volume163.810236236118
Total OI1,090.9527431,3061,306743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$14.95$18.0024.1%6.9%27.7%10.5%25.6%3.4%-4.9%14.6K407.5K-8010.70117.90N/AN/A13997965341
2015-09-02$15.11$18.0026.5%7.6%28.2%11.9%23.7%6.6%-3.3%17.7K382.7K-1.1K0.70116.41N/AN/A13997965341
2015-09-03$15.22$0.0022.9%5.5%28.3%9.8%0.0%8.1%-1.5%18.4K382.5K-1.1K0.70122.22N/AN/A13997965341
2015-09-04$14.92$0.0026.8%5.6%28.9%12.1%0.0%2.0%-2.9%13.7K408.8K-8500.82117.94N/AN/A11997965341
2015-09-08$15.21$0.0023.4%5.2%29.2%10.1%0.0%2.7%-0.5%17.4K402.6K-8880.00128.53N/AN/A00965341
2015-09-09$15.07$0.0016.4%4.7%29.0%5.9%0.0%-0.6%-1.8%12.9K433.1K-6440.82118.27N/AN/A11997965341
2015-09-10$15.19$0.0018.2%5.2%29.1%7.0%0.0%3.3%-0.1%16.4K394.0K-9260.82123.64N/AN/A11997965341
2015-09-11$15.11$0.0017.6%5.1%29.1%6.6%0.0%2.2%-0.5%12.8K426.3K-7290.90127.51N/AN/A119107965341
2015-09-14$15.07$0.0018.4%5.3%29.1%7.1%0.0%2.4%0.8%15.8K383.0K-9540.90126.94N/AN/A119107965341
2015-09-15$15.20$0.0017.1%4.9%29.4%6.3%0.0%1.6%-0.3%12.2K425.8K-6850.00127.88N/AN/A010965338
2015-09-16$15.49$0.0018.7%5.4%30.4%7.3%0.0%4.2%-2.5%24.4K373.5K-9820.90120.98N/AN/A119107965338
2015-09-17$15.47$0.0019.7%5.7%30.0%7.9%0.0%-1.2%-8.2%24.3K372.2K-9840.90128.31N/AN/A119107965338
2015-09-18$15.03$0.0020.1%5.8%31.0%8.1%0.0%2.8%-1.7%10.1K421.5K-6410.90119.96N/AN/A119107965338
2015-09-21$15.07$0.0018.7%5.4%30.1%7.3%0.0%2.3%-0.9%10.8K7.3K-7220.84121.85N/AN/A645467766
2015-09-22$14.66$0.0018.7%5.4%28.6%7.3%0.0%1.1%-0.6%8.5K19.5K-6370.84118.80N/AN/A645467766
2015-09-23$14.53$0.0017.9%5.1%28.8%6.8%0.0%3.2%0.4%6.3K36.3K-4870.84115.42N/AN/A645467766
2015-09-24$14.55$0.0015.2%4.4%28.4%5.0%0.0%6.3%0.2%4.6K50.8K-3950.84111.88N/AN/A645467766
2015-09-25$14.52$0.0016.8%4.8%25.6%5.5%0.0%7.3%0.2%4.7K49.6K-4070.84116.61N/AN/A645467766
2015-09-28$14.17$0.0026.0%7.5%26.2%11.0%0.0%3.2%-9.8%5.2K45.0K-4210.84113.10N/AN/A645467766
2015-09-29$14.15$0.0026.6%7.6%26.1%11.4%0.0%5.5%-4.9%4.2K52.9K-3730.84117.12N/AN/A645467766
2015-09-30$14.46$0.0021.8%6.2%23.7%8.5%0.0%2.2%-1.9%2.7K63.8K-2740.84120.43N/AN/A645467766