PID Options History — January 2016

In January 2016, PID traded between $11.45 and $13.46. ATM implied volatility averaged 24.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 6.1% (HV 20d: 30.8%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 4.97.

Notable Days

2016-01-12: Highest Volume — 52 contracts
2016-01-08: Largest IV spike — 35.1% change
2016-01-08: Highest IV Rank — 16.5%
2016-01-20: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.32	$11.45	$13.46	$13.46	$12.68
Max Pain	$13.00	$13.00	$13.00	$13.00	$13.00
ATM IV	24.7%	18.5%	35.1%	22.2%	18.5%
Expected Move	6.1%	5.0%	8.0%	5.0%	5.3%
HV 20d	30.8%	28.1%	35.6%	28.1%	35.6%
HV 60d	23.5%	20.4%	27.3%	20.7%	27.3%
IV Rank	10.2%	6.5%	16.5%	8.7%	6.5%
IV Percentile	90.9%	75.0%	98.8%	92.1%	75.0%
Term Structure	-1.6%	-12.2%	4.9%	-2.4%	-2.9%
VWIV	19.4%	12.0%	27.8%	18.1%	21.8%
Skew 25d	3.9%	-7.0%	9.6%	0.2%	5.8%
Skew 10d	3.8%	-7.0%	10.1%	-0.4%	5.8%
Call IV 25d	21.3%	16.9%	26.0%	17.7%	19.6%
Put IV 25d	25.2%	17.5%	34.5%	17.9%	25.4%
Bid-Ask Spread %	116.43	108.40	127.31	116.49	118.25
Gamma HHI	0.38	0.32	0.50	0.35	0.44
Net GEX	-404	-622	-188	-481	-622
Net DEX	50.6K	43.5K	54.9K	45.2K	54.9K
Net VEX	-20	-27	-11	-20	-23
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.97	0.00	5.50	4.38	0.00
Total Volume	47.579	4	52	43	4
Total OI	45.895	38	49	38	49

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$13.46	$13.00	22.2%	5.0%	28.1%	8.7%	18.1%	0.2%	-2.4%	-481	45.2K	-20	4.38	116.49	N/A	N/A	8	35	2	36
2016-01-05	$13.38	$13.00	25.8%	5.3%	28.1%	10.9%	19.9%	4.3%	-2.8%	-446	44.7K	-22	4.38	121.10	N/A	N/A	8	35	2	36
2016-01-06	$13.01	$13.00	25.9%	5.1%	28.2%	11.0%	17.9%	2.3%	-0.9%	-289	44.5K	-15	4.38	127.31	N/A	N/A	8	35	2	36
2016-01-07	$12.60	$13.00	26.0%	5.4%	29.6%	11.0%	15.7%	7.7%	-2.6%	-245	43.5K	-15	4.88	110.32	N/A	N/A	8	39	2	36
2016-01-08	$12.40	$13.00	35.1%	6.5%	29.6%	16.5%	12.7%	-7.0%	-12.2%	-433	46.3K	-21	5.25	115.77	N/A	N/A	8	42	2	40
2016-01-11	$12.28	$13.00	32.6%	6.0%	29.6%	15.0%	17.5%	1.4%	-5.0%	-512	48.0K	-27	5.25	119.32	N/A	N/A	8	42	2	43
2016-01-12	$12.23	$13.00	32.4%	5.1%	28.8%	14.9%	14.7%	-1.2%	0.4%	-460	48.7K	-25	5.50	124.12	N/A	N/A	8	44	2	43
2016-01-13	$12.01	$13.00	22.5%	6.4%	29.1%	8.9%	18.4%	2.8%	-1.1%	-444	52.5K	-25	5.50	114.38	N/A	N/A	8	44	2	47
2016-01-14	$12.31	$13.00	21.7%	6.2%	30.3%	8.4%	12.0%	3.2%	-1.1%	-448	54.1K	-23	5.50	114.00	N/A	N/A	8	44	2	47
2016-01-15	$11.80	$13.00	23.4%	6.7%	31.9%	9.4%	23.0%	7.9%	-1.7%	-333	52.5K	-21	5.50	108.40	N/A	N/A	8	44	2	47
2016-01-19	$11.70	$13.00	22.4%	6.4%	28.7%	8.9%	27.8%	8.4%	-1.6%	-284	52.9K	-15	5.50	108.98	N/A	N/A	8	44	2	47
2016-01-20	$11.45	$13.00	28.1%	8.0%	29.0%	12.3%	26.2%	8.7%	-4.4%	-188	52.6K	-11	5.50	116.70	N/A	N/A	8	44	2	47
2016-01-21	$11.80	$13.00	22.9%	6.6%	31.7%	9.2%	21.9%	2.6%	0.3%	-304	53.0K	-17	5.50	112.82	N/A	N/A	8	44	2	47
2016-01-22	$12.20	$13.00	21.7%	6.2%	33.7%	8.5%	20.2%	7.4%	4.9%	-425	53.8K	-21	5.50	117.31	N/A	N/A	8	44	2	47
2016-01-25	$11.91	$13.00	21.8%	6.2%	31.5%	8.5%	19.5%	2.0%	-4.5%	-374	53.2K	-19	5.50	113.37	N/A	N/A	8	44	2	47
2016-01-26	$12.24	$13.00	22.7%	6.5%	33.7%	9.0%	22.8%	9.6%	3.7%	-437	54.3K	-20	5.50	120.03	N/A	N/A	8	44	2	47
2016-01-27	$12.17	$13.00	23.7%	6.8%	33.6%	9.6%	19.4%	5.2%	-0.2%	-429	53.5K	-22	5.50	115.23	N/A	N/A	8	44	2	47
2016-01-28	$12.39	$13.00	19.9%	5.7%	34.3%	7.3%	21.8%	2.1%	3.8%	-519	53.5K	-25	5.50	118.19	N/A	N/A	8	44	2	47
2016-01-29	$12.68	$13.00	18.5%	5.3%	35.6%	6.5%	0.0%	5.8%	-2.9%	-622	54.9K	-23	0.00	118.25	N/A	N/A	4	0	2	47