PID Options History — October 2015

In October 2015, PID traded between $14.41 and $15.90. ATM implied volatility averaged 17.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 6.2% (HV 20d: 23.7%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2015-10-12: Highest Volume — 119 contracts
  • 2015-10-14: Largest IV drop — 59.2% change
  • 2015-10-13: Highest IV Rank — 16.6%
  • 2015-10-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.53$14.41$15.90$14.41$15.55
ATM IV17.5%12.4%35.3%21.6%15.4%
Expected Move4.1%3.2%6.2%6.2%4.4%
HV 20d23.7%19.1%26.9%23.3%19.1%
HV 60d24.0%22.6%24.4%22.6%24.4%
IV Rank5.9%2.9%16.6%8.4%4.7%
IV Percentile73.9%46.0%99.2%93.3%73.0%
Term Structure0.1%-6.3%4.0%-6.3%-3.3%
Skew 25d-1.2%-79.5%7.9%-1.2%1.6%
Skew 10d6.3%-0.6%69.4%3.8%3.2%
Call IV 25d21.6%13.5%141.6%22.7%16.3%
Put IV 25d20.3%16.3%62.1%21.5%17.9%
Bid-Ask Spread %124.67113.35160.00119.33122.80
Gamma HHI0.360.320.410.340.39
Net GEX16.6K2.3K28.5K6.6K15.3K
Net DEX-30.5K-128.8K72.1K34.8K-9.5K
Net VEX-724-1.2K-324-495-523
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.770.860.770.86
Total Volume111.9550119113119
Total OI751.591743756743750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$14.41$0.0021.6%6.2%23.3%8.4%0.0%-1.2%-6.3%6.6K34.8K-4950.77119.33N/AN/A644967766
2015-10-02$14.78$0.0016.8%4.8%25.1%5.5%0.0%7.9%2.8%2.3K72.1K-3240.77120.92N/AN/A644967779
2015-10-05$15.20$0.0019.9%4.3%26.2%7.4%0.0%4.9%0.5%7.0K39.0K-5160.00125.51N/AN/A0067779
2015-10-06$15.33$0.0021.4%5.1%25.4%8.3%0.0%2.5%-1.7%11.3K11.0K-6610.77113.35N/AN/A644967779
2015-10-07$15.60$0.0022.6%3.4%25.9%8.9%0.0%5.2%-0.8%15.4K-17.3K-7610.77118.44N/AN/A644967779
2015-10-08$15.83$0.0018.3%3.2%26.2%6.4%0.0%4.7%-0.2%20.4K-75.1K-9710.77113.69N/AN/A644967779
2015-10-09$15.90$0.0019.7%3.5%26.0%7.2%0.0%3.8%-0.5%28.5K-128.8K-1.2K0.77130.06N/AN/A644967779
2015-10-12$15.74$0.0027.1%4.0%26.4%11.7%0.0%1.3%2.0%25.0K-89.8K-1.0K0.86126.00N/AN/A645567779
2015-10-13$15.51$0.0035.3%3.4%26.9%16.6%0.0%2.4%1.9%18.1K-35.4K-7560.86124.44N/AN/A645567773
2015-10-14$15.61$0.0014.4%4.1%26.2%4.1%0.0%1.4%2.0%21.2K-62.6K-9050.86125.84N/AN/A645567773
2015-10-15$15.76$0.0013.0%3.7%26.4%3.2%0.0%2.7%0.8%21.0K-79.7K-9680.86122.11N/AN/A645567773
2015-10-16$15.79$0.0013.2%3.8%23.9%3.3%0.0%1.8%4.0%20.3K-48.4K-7720.86125.86N/AN/A645567773
2015-10-19$15.62$0.0013.5%3.9%24.4%3.5%0.0%1.4%2.5%17.7K-27.0K-6960.86126.16N/AN/A645567773
2015-10-20$15.69$0.0012.4%3.6%21.7%2.9%0.0%1.8%-0.8%20.9K-60.7K-8510.86123.85N/AN/A645567773
2015-10-21$15.55$0.0012.9%3.7%21.8%3.1%0.0%1.3%-1.5%15.3K-14.3K-6210.86123.16N/AN/A645567773
2015-10-22$15.76$0.0013.0%3.7%22.0%3.2%0.0%-79.5%0.8%18.9K-58.2K-7750.86160.00N/AN/A645567773
2015-10-23$15.81$0.0012.6%3.6%21.9%3.0%0.0%2.1%0.4%22.2K-83.7K-8910.86128.14N/AN/A645567773
2015-10-26$15.65$0.0014.0%4.0%19.9%3.8%0.0%3.4%4.0%19.1K-33.1K-6530.86122.74N/AN/A645567773
2015-10-27$15.42$0.0016.0%4.6%21.0%5.0%0.0%-0.3%-1.6%9.3K24.4K-4120.86121.36N/AN/A645567773
2015-10-28$15.66$0.0015.2%4.3%20.5%4.5%0.0%2.6%-0.2%15.2K-26.5K-6030.86122.32N/AN/A645567773
2015-10-29$15.53$0.0015.8%4.5%20.8%4.9%0.0%1.2%-2.5%13.6K-1.5K-5030.86126.78N/AN/A645567773
2015-10-30$15.55$0.0015.4%4.4%19.1%4.7%0.0%1.6%-3.3%15.3K-9.5K-5230.86122.80N/AN/A645567773