PID Options History — March 2016

In March 2016, PID traded between $12.92 and $14.18. ATM implied volatility averaged 28.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.7% (HV 20d: 27.2%). Max pain ranged from $13.00 to $18.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-03-15: Highest Volume — 258 contracts
  • 2016-03-02: Largest IV spike — 81.0% change
  • 2016-03-08: Highest IV Rank — 23.6%
  • 2016-03-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$12.92$14.18$12.92$13.89
Max Pain$13.45$13.00$18.00$18.00$13.00
ATM IV28.0%19.4%47.0%19.4%22.1%
Expected Move7.3%5.6%10.1%5.6%6.3%
HV 20d27.2%23.8%32.4%32.4%24.7%
HV 60d31.9%30.9%32.8%31.8%31.2%
IV Rank12.0%7.1%23.6%7.1%8.1%
IV Percentile90.2%71.0%99.2%71.0%74.2%
Term Structure-2.2%-7.4%2.2%-1.2%-2.6%
VWIV29.2%19.7%36.3%19.7%26.8%
Skew 25d2.3%-15.5%8.4%4.3%-15.5%
Skew 10d6.4%-18.2%13.4%4.9%-18.2%
Call IV 25d27.8%21.7%38.8%21.7%33.5%
Put IV 25d30.1%18.0%40.9%26.0%18.0%
Bid-Ask Spread %137.03114.94149.79114.94123.00
Gamma HHI0.420.270.620.530.45
Net GEX88-9681.7K945-440
Net DEX-35.0K-107.8K30.2K30.2K-82.6K
Net VEX-581-729-291-291-483
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.741.151.150.74
Total Volume232.045204258209204
Total OI281.682128332128251

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$12.92$18.0019.4%5.6%32.4%7.1%19.7%4.3%-1.2%94530.2K-2911.15114.94N/AN/A971126068
2016-03-02$13.19$18.0035.1%10.1%30.2%16.5%36.3%2.1%-7.4%54826.4K-4310.97126.18N/AN/A12612291108
2016-03-03$13.36$13.0038.7%8.4%29.2%18.6%29.6%4.4%-3.1%57015.9K-6980.97139.81N/AN/A126122150168
2016-03-04$13.62$13.0030.4%6.4%29.5%13.7%26.3%3.4%0.7%634-10.7K-6880.97138.72N/AN/A126122150168
2016-03-07$13.89$13.0032.8%5.7%29.4%15.1%26.7%0.1%-1.2%-196-27.9K-6790.97138.91N/AN/A126122150168
2016-03-08$13.49$13.0047.0%6.9%30.8%23.6%23.3%1.7%2.2%-90-11.0K-7290.97140.07N/AN/A126122154168
2016-03-09$13.61$13.0022.7%6.5%28.5%9.0%25.2%3.7%-0.3%944-27.5K-6650.97141.51N/AN/A126122154168
2016-03-10$13.53$13.0022.7%6.5%28.5%9.1%24.3%0.9%-3.4%710-23.6K-6820.97142.34N/AN/A126122154168
2016-03-11$13.81$13.0024.7%7.1%26.9%10.2%26.2%5.2%-3.3%299-31.2K-7010.97139.61N/AN/A126122154168
2016-03-14$13.75$13.0025.6%7.3%25.8%10.8%31.2%8.4%-4.0%795-43.3K-6300.97137.14N/AN/A126122154168
2016-03-15$13.54$13.0027.9%8.0%26.7%12.2%28.2%2.4%1.4%3221.7K-6561.05149.46N/AN/A126132154178
2016-03-16$13.84$13.0024.1%6.9%25.7%9.9%30.1%4.5%-0.3%54-19.3K-6701.05142.47N/AN/A126132154178
2016-03-17$14.18$13.0026.5%7.6%26.4%11.3%31.8%1.3%-3.6%1.7K-57.9K-5411.05132.87N/AN/A126132154178
2016-03-18$14.14$13.0029.0%8.3%26.0%12.8%32.2%4.7%-5.8%-262-29.6K-5161.05134.73N/AN/A126132124178
2016-03-21$14.01$13.0027.2%7.8%25.7%11.7%33.9%3.7%-1.4%-546-90.0K-5070.74133.51N/AN/A11787121130
2016-03-22$13.96$13.0027.6%7.9%23.8%12.0%33.8%2.1%-0.3%-968-68.1K-5660.74135.23N/AN/A11787121130
2016-03-23$13.61$13.0025.4%7.3%25.8%10.2%29.3%1.6%-4.3%-688-61.4K-5750.74135.90N/AN/A11787121130
2016-03-24$13.59$13.0025.2%7.2%25.9%10.0%27.8%5.0%1.8%-888-47.8K-5700.74139.46N/AN/A11787121130
2016-03-28$13.61$13.0029.0%8.3%25.9%12.2%32.3%2.1%-5.3%-767-46.7K-5610.74149.79N/AN/A11787121130
2016-03-29$13.70$13.0026.8%7.7%25.9%10.9%32.9%3.3%0.9%-823-57.9K-5260.74141.63N/AN/A11787121130
2016-03-30$13.93$13.0025.5%7.3%25.4%10.1%34.1%0.9%-7.3%58-107.8K-4170.74137.37N/AN/A11787121130
2016-03-31$13.89$13.0022.1%6.3%24.7%8.1%26.8%-15.5%-2.6%-440-82.6K-4830.74123.00N/AN/A11787121130