PID Options History — August 2016 In August 2016, PID traded between $14.06 and $14.82. ATM implied volatility averaged 25.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 14.1% (HV 20d: 11.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.93.
Notable Days 2016-08-26 : Highest Volume — 68 contracts2016-08-10 : Largest IV drop — 46.2% change2016-08-31 : Highest IV Rank — 23.0%2016-08-31 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $14.53 $14.06 $14.82 $14.08 $14.53 Max Pain $13.40 $13.00 $14.00 $13.00 $14.00 ATM IV 25.8% 19.1% 38.5% 32.2% 32.6% Expected Move 7.0% 5.5% 9.3% 9.2% 9.3% HV 20d 11.7% 9.8% 15.7% 15.7% 10.3% HV 60d 22.8% 22.2% 23.6% 23.6% 22.2% IV Rank 15.2% 10.2% 23.0% 17.8% 23.0% IV Percentile 59.6% 29.4% 94.8% 83.7% 85.3% Term Structure -3.9% -20.2% 6.8% -11.3% -7.3% VWIV 24.7% 19.6% 31.9% 23.5% 28.8% Skew 25d 2.7% -3.9% 13.4% 1.8% -1.4% Skew 10d 6.7% -1.0% 20.6% 8.1% 5.7% Call IV 25d 25.7% 19.0% 34.7% 34.7% 32.1% Put IV 25d 28.4% 18.2% 36.5% 36.5% 30.7% Bid-Ask Spread % 135.23 130.26 141.74 137.74 134.07 Gamma HHI 0.75 0.37 0.96 0.96 0.38 Net GEX 1.2K 9 3.4K 2.6K 12 Net DEX -68.6K -106.3K -20.9K -70.3K -20.9K Net VEX -118 -187 -66 -187 -111 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.00 1.19 1.00 1.19 Total Volume 49.87 0 68 54 68 Total OI 104.957 69 122 121 82
Daily Data (23 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 2016-08-01 $14.08 $0.00 32.2% 9.2% 15.7% 17.8% 0.0% 1.8% -11.3% 2.6K -70.3K -187 1.00 137.74 N/A N/A 27 27 84 37 2016-08-02 $14.06 $0.00 27.3% 7.8% 14.1% 14.9% 0.0% -0.3% -8.7% 2.4K -74.9K -179 1.00 137.29 N/A N/A 27 27 84 37 2016-08-03 $14.14 $0.00 25.5% 7.3% 14.2% 13.9% 0.0% -1.1% -1.8% 3.4K -76.8K -159 1.00 141.74 N/A N/A 27 27 84 37 2016-08-04 $14.22 $13.00 31.5% 6.5% 13.9% 17.4% 23.5% 5.4% -1.2% 2.2K -79.1K -175 1.00 136.66 N/A N/A 27 27 84 37 2016-08-05 $14.35 $13.00 26.3% 5.7% 13.3% 14.4% 19.7% 13.4% -3.8% 1.3K -95.3K -96 1.00 130.26 N/A N/A 27 27 84 37 2016-08-08 $14.46 $13.00 28.9% 5.8% 13.1% 15.9% 20.5% -1.9% -5.6% 245 -106.3K -66 1.00 130.30 N/A N/A 27 27 84 37 2016-08-09 $14.49 $13.00 38.5% 7.9% 11.0% 21.4% 27.8% 8.0% 0.6% 1.8K -86.7K -155 1.00 139.74 N/A N/A 27 27 84 37 2016-08-10 $14.49 $13.00 20.7% 5.9% 11.0% 11.1% 21.3% 1.4% -5.9% 1.8K -93.3K -135 1.00 135.33 N/A N/A 27 27 84 37 2016-08-11 $14.63 $13.00 19.1% 5.5% 11.3% 10.2% 19.6% 1.0% 2.7% 1.6K -98.2K -121 1.00 135.04 N/A N/A 27 27 84 37 2016-08-12 $14.54 $13.00 22.7% 6.5% 11.4% 12.3% 25.3% 4.6% 6.3% 1.8K -91.2K -141 1.00 133.94 N/A N/A 27 27 84 37 2016-08-15 $14.69 $13.00 23.3% 6.7% 11.9% 12.6% 26.2% 4.9% 6.8% 1.6K -96.4K -122 1.00 138.53 N/A N/A 27 27 84 37 2016-08-16 $14.67 $13.00 19.2% 5.5% 10.6% 10.3% 21.9% 0.7% -0.9% 1.4K -101.9K -104 1.00 132.49 N/A N/A 27 27 84 37 2016-08-17 $14.67 $13.00 24.0% 6.9% 10.5% 13.0% 0.0% 5.9% -0.0% 1.6K -96.8K -121 0.00 138.09 N/A N/A 1 0 84 37 2016-08-18 $14.82 $13.00 22.3% 6.4% 10.9% 12.0% 0.0% 7.4% 2.2% 1.4K -103.5K -107 0.00 138.25 N/A N/A 0 0 85 37 2016-08-19 $14.72 $13.00 19.5% 5.6% 11.3% 10.4% 22.7% 0.7% 0.3% 1.4K -103.8K -98 0.96 135.25 N/A N/A 28 27 85 37 2016-08-22 $14.65 $14.00 24.6% 7.1% 10.9% 13.4% 22.6% 0.3% -16.8% 289 -26.6K -83 0.96 133.91 N/A N/A 28 27 32 37 2016-08-23 $14.78 $14.00 23.7% 6.8% 11.0% 12.9% 30.7% 4.8% -11.5% 295 -26.7K -82 0.96 132.07 N/A N/A 28 27 32 37 2016-08-24 $14.66 $14.00 25.7% 7.4% 11.4% 17.9% 0.0% 1.2% 0.0% 311 -27.0K -78 0.00 135.11 N/A N/A 3 0 32 37 2016-08-25 $14.65 $14.00 24.5% 7.0% 11.2% 17.1% 24.4% -3.9% 0.0% 458 -29.1K -87 0.87 135.40 N/A N/A 31 27 35 37 2016-08-26 $14.57 $14.00 24.0% 6.9% 11.4% 16.7% 29.3% 3.2% -20.2% 410 -27.6K -88 1.19 130.93 N/A N/A 31 37 35 37 2016-08-29 $14.59 $14.00 26.9% 7.7% 9.9% 18.8% 23.8% 2.6% -2.2% 9 -22.7K -110 1.19 133.02 N/A N/A 31 37 35 47 2016-08-30 $14.64 $14.00 30.8% 8.8% 9.8% 21.7% 31.9% 3.6% -3.4% 40 -22.2K -115 1.19 135.06 N/A N/A 31 37 35 47 2016-08-31 $14.53 $14.00 32.6% 9.3% 10.3% 23.0% 28.8% -1.4% -7.3% 12 -20.9K -111 1.19 134.07 N/A N/A 31 37 35 47
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