PID Options History — June 2016

In June 2016, PID traded between $13.21 and $14.80. ATM implied volatility averaged 31.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.4% (HV 20d: 22.2%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-06-06: Highest Volume — 140 contracts
  • 2016-06-30: Largest IV spike — 33.7% change
  • 2016-06-27: Highest IV Rank — 18.9%
  • 2016-06-27: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.06$13.21$14.80$14.24$14.06
Max Pain$13.86$13.00$14.00$13.00$14.00
ATM IV31.6%24.6%41.0%31.7%33.0%
Expected Move8.6%5.2%11.8%9.1%9.4%
HV 20d22.2%14.7%34.9%17.5%34.9%
HV 60d22.0%20.5%25.8%21.6%25.8%
IV Rank13.5%9.0%18.9%13.8%14.0%
IV Percentile87.9%65.5%97.6%90.9%91.3%
Term Structure-5.0%-19.1%3.4%-6.0%-3.9%
VWIV29.3%15.3%40.4%32.8%32.2%
Skew 25d5.1%0.7%12.1%0.8%2.7%
Skew 10d6.6%-1.4%11.7%-1.4%4.8%
Call IV 25d30.7%19.5%39.6%35.3%37.4%
Put IV 25d35.8%21.8%48.2%36.1%40.1%
Bid-Ask Spread %138.87126.25148.26126.25139.07
Gamma HHI0.720.480.960.780.80
Net GEX1.9K5762.9K1.6K2.0K
Net DEX-84.1K-149.8K-32.7K-128.7K-63.1K
Net VEX-189-256-130-158-256
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.461.700.460.84
Total Volume99.0452714013659
Total OI152.68279198193121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$14.24$13.0031.7%9.1%17.5%13.8%32.8%0.8%-6.0%1.6K-128.7K-1580.46126.25N/AN/A934311281
2016-06-02$14.28$14.0033.9%7.3%16.1%15.1%23.2%3.3%-3.6%2.5K-120.9K-2060.46137.33N/AN/A934311781
2016-06-03$14.38$14.0027.3%6.6%16.2%11.1%24.5%0.7%-4.8%2.2K-129.1K-2010.46143.25N/AN/A934311781
2016-06-06$14.65$14.0034.6%5.6%17.3%15.5%15.3%9.7%3.4%2.4K-135.2K-1710.51135.89N/AN/A934711781
2016-06-07$14.72$14.0030.0%5.2%16.6%12.7%20.0%2.3%2.1%2.1K-149.8K-1320.51144.66N/AN/A934711781
2016-06-08$14.80$14.0025.4%7.3%14.7%9.9%24.4%3.2%0.3%1.9K-144.3K-1550.51145.98N/AN/A934711781
2016-06-09$14.55$14.0025.9%7.4%16.2%10.2%25.3%4.6%2.1%1.8K-121.8K-1690.51148.26N/AN/A934710781
2016-06-10$14.07$0.0026.7%7.6%20.4%10.7%26.0%3.3%0.2%911-92.2K-2030.51141.03N/AN/A934710281
2016-06-13$13.82$0.0031.5%9.0%20.7%13.6%32.2%4.3%-2.5%576-76.5K-2170.51134.65N/AN/A934710281
2016-06-14$13.57$0.0033.8%9.7%20.3%15.0%35.6%5.8%-9.1%1.8K-63.4K-1880.51133.65N/AN/A934710281
2016-06-15$13.69$0.0032.9%9.4%20.6%14.5%30.1%8.0%1.1%653-65.6K-2010.51141.58N/AN/A934710281
2016-06-16$13.65$0.0032.4%9.3%20.3%13.9%34.3%4.8%-11.4%2.2K-55.7K-1720.51130.07N/AN/A934710281
2016-06-17$13.80$0.0035.8%10.3%20.8%15.9%40.4%12.1%-6.3%1.5K-71.0K-1741.15130.22N/AN/A41478381
2016-06-20$14.05$0.0026.9%7.7%21.8%10.5%26.9%8.0%-8.5%2.7K-63.7K-1361.70135.55N/AN/A10176217
2016-06-21$14.12$0.0031.6%9.1%21.8%13.4%30.3%4.6%-8.6%2.2K-60.9K-1421.70140.77N/AN/A10176217
2016-06-22$14.09$0.0036.4%10.4%21.8%16.2%36.9%6.5%-17.7%2.9K-64.4K-1301.29143.63N/AN/A21276217
2016-06-23$14.43$0.0033.6%9.6%22.2%14.4%31.2%7.7%-6.6%2.4K-71.1K-1781.29147.21N/AN/A21277327
2016-06-24$13.68$0.0036.4%10.4%29.2%16.2%37.6%1.5%-9.1%1.5K-42.3K-2491.29134.41N/AN/A21277337
2016-06-27$13.21$0.0041.0%11.8%31.4%18.9%39.0%5.8%-19.1%1.6K-32.7K-2431.29139.68N/AN/A21277337
2016-06-28$13.60$0.0030.8%8.8%33.5%12.7%26.5%4.1%-1.4%1.9K-38.4K-2230.84142.11N/AN/A32277337
2016-06-29$13.92$0.0024.6%7.1%34.7%9.0%21.0%8.7%-1.8%2.8K-60.3K-2480.84139.82N/AN/A32278437
2016-06-30$14.06$0.0033.0%9.4%34.9%14.0%32.2%2.7%-3.9%2.0K-63.1K-2560.84139.07N/AN/A32278437