PID Options History — February 2016

In February 2016, PID traded between $11.64 and $12.72. ATM implied volatility averaged 22.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 13.6% (HV 20d: 35.9%). Max pain ranged from $13.00 to $18.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 3.49.

Notable Days

2016-02-26: Highest Volume — 128 contracts
2016-02-09: Largest IV spike — 43.5% change
2016-02-09: Highest IV Rank — 15.1%
2016-02-11: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.35	$11.64	$12.72	$12.61	$12.63
Max Pain	$17.25	$13.00	$18.00	$13.00	$18.00
ATM IV	22.3%	17.5%	32.8%	19.8%	20.6%
Expected Move	6.1%	5.0%	7.4%	5.7%	5.9%
HV 20d	35.9%	31.5%	38.9%	35.6%	31.5%
HV 60d	29.9%	27.3%	31.6%	27.3%	31.6%
IV Rank	8.8%	5.9%	15.1%	7.3%	7.8%
IV Percentile	82.7%	63.5%	98.0%	79.4%	76.2%
Term Structure	-3.0%	-8.2%	2.0%	2.0%	-5.7%
VWIV	20.9%	14.7%	29.2%	18.8%	20.6%
Skew 25d	3.9%	-19.4%	11.6%	3.9%	-19.4%
Skew 10d	5.4%	-18.4%	13.4%	4.3%	-18.4%
Call IV 25d	25.0%	18.6%	74.6%	20.6%	74.6%
Put IV 25d	28.9%	22.5%	55.2%	24.5%	55.2%
Bid-Ask Spread %	113.53	106.87	121.61	117.32	112.73
Gamma HHI	0.62	0.46	0.90	0.51	0.56
Net GEX	-535	-2.2K	1.3K	-482	1.1K
Net DEX	51.5K	27.3K	69.3K	52.9K	34.9K
Net VEX	-86	-276	-25	-38	-275
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.49	0.66	5.33	3.67	0.94
Total Volume	83.5	56	128	56	128
Total OI	76.3	52	128	53	128

Daily Data (20 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
2016-02-01	$12.61	$13.00	19.8%	5.7%	35.6%	7.3%	18.8%	3.9%	2.0%	-482	52.9K	-38	3.67	117.32	N/A	N/A	12	44	6	47
2016-02-02	$12.18	$13.00	20.1%	5.8%	37.2%	7.5%	22.4%	-3.0%	-1.6%	-360	52.8K	-31	3.67	121.61	N/A	N/A	12	44	6	47
2016-02-03	$12.51	$13.00	22.8%	6.5%	38.9%	9.1%	24.4%	6.6%	-3.3%	-451	53.1K	-36	3.67	117.76	N/A	N/A	12	44	6	47
2016-02-04	$12.67	$18.00	18.2%	5.0%	38.1%	6.3%	18.8%	8.6%	0.4%	-525	53.2K	-36	3.67	113.05	N/A	N/A	12	44	6	47
2016-02-05	$12.51	$18.00	25.8%	6.0%	36.7%	10.9%	21.3%	6.9%	-1.2%	-511	52.6K	-34	3.67	111.87	N/A	N/A	12	44	6	47
2016-02-08	$12.28	$18.00	22.8%	6.5%	36.8%	9.1%	21.4%	3.4%	-3.0%	-377	53.5K	-28	3.67	113.49	N/A	N/A	12	44	6	47
2016-02-09	$11.96	$18.00	32.8%	5.9%	37.8%	15.1%	22.1%	1.8%	-1.9%	-273	53.0K	-25	5.33	113.41	N/A	N/A	12	64	6	47
2016-02-10	$11.89	$18.00	20.6%	5.9%	37.9%	7.8%	21.4%	11.6%	-1.4%	-2.1K	64.9K	-40	5.33	112.34	N/A	N/A	12	64	6	67
2016-02-11	$11.64	$18.00	26.0%	7.4%	38.1%	11.0%	29.2%	4.8%	-6.7%	-1.9K	69.3K	-32	5.33	106.87	N/A	N/A	12	64	6	67
2016-02-12	$12.02	$18.00	25.3%	7.2%	38.8%	10.6%	23.3%	10.4%	-6.6%	-2.2K	64.8K	-36	5.33	108.75	N/A	N/A	12	64	6	67
2016-02-16	$12.20	$18.00	23.4%	6.7%	36.0%	9.4%	23.3%	3.7%	-3.6%	-2.2K	62.3K	-34	5.33	115.81	N/A	N/A	12	64	6	67
2016-02-17	$12.59	$18.00	17.5%	5.0%	37.3%	5.9%	16.2%	11.2%	1.6%	-1.7K	58.5K	-36	5.33	113.28	N/A	N/A	12	64	6	67
2016-02-18	$12.55	$18.00	17.6%	5.0%	36.2%	6.0%	14.7%	2.2%	-1.2%	-1.8K	57.7K	-36	5.33	114.58	N/A	N/A	12	64	6	67
2016-02-19	$12.43	$18.00	19.9%	5.7%	35.2%	7.4%	20.8%	1.6%	-3.6%	-331	54.1K	-27	5.33	116.41	N/A	N/A	12	64	6	67
2016-02-22	$12.72	$18.00	20.5%	5.9%	34.2%	7.7%	18.9%	5.9%	-3.8%	-469	52.2K	-34	0.66	107.95	N/A	N/A	65	43	6	46
2016-02-23	$12.43	$18.00	25.4%	7.3%	34.1%	10.7%	19.1%	7.0%	-8.2%	1.3K	27.3K	-217	0.66	111.48	N/A	N/A	65	43	59	46
2016-02-24	$12.33	$18.00	22.4%	6.4%	32.9%	8.9%	22.6%	5.0%	-0.5%	1.2K	35.8K	-186	0.95	114.40	N/A	N/A	65	62	59	46
2016-02-25	$12.43	$18.00	23.9%	6.9%	32.9%	9.8%	18.7%	4.5%	-5.2%	567	39.4K	-272	0.95	112.45	N/A	N/A	65	62	59	68
2016-02-26	$12.51	$18.00	21.6%	6.2%	32.4%	8.4%	20.6%	1.2%	-6.5%	753	36.8K	-276	0.94	115.05	N/A	N/A	66	62	59	68
2016-02-29	$12.63	$18.00	20.6%	5.9%	31.5%	7.8%	0.0%	-19.4%	-5.7%	1.1K	34.9K	-275	0.94	112.73	N/A	N/A	66	62	60	68