PID Options History — September 2016

In September 2016, PID traded between $14.17 and $14.95. ATM implied volatility averaged 30.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 14.4% (HV 20d: 16.0%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2016-09-12: Highest Volume — 73 contracts
2016-09-12: Largest IV spike — 73.2% change
2016-09-12: Highest IV Rank — 38.5%
2016-09-01: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.55	$14.17	$14.95	$14.56	$14.76
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	30.4%	21.4%	53.5%	34.8%	26.4%
Expected Move	7.1%	4.8%	10.0%	10.0%	7.6%
HV 20d	16.0%	10.2%	20.3%	10.2%	20.3%
HV 60d	18.9%	15.1%	22.2%	22.2%	15.1%
IV Rank	21.4%	14.8%	38.5%	24.7%	18.5%
IV Percentile	69.4%	31.3%	98.8%	90.9%	60.3%
Term Structure	-2.5%	-18.2%	4.0%	-5.9%	0.9%
VWIV	35.0%	33.6%	36.3%	33.6%	36.3%
Skew 25d	2.3%	-9.3%	5.7%	4.0%	1.8%
Skew 10d	1.5%	-11.1%	11.2%	7.2%	-11.1%
Call IV 25d	25.7%	18.5%	34.0%	34.0%	30.0%
Put IV 25d	28.0%	13.3%	38.0%	38.0%	31.8%
Bid-Ask Spread %	140.58	133.75	149.38	137.05	133.75
Gamma HHI	0.43	0.36	0.50	0.37	0.45
Net GEX	-129	-426	178	33	178
Net DEX	-15.3K	-86.5K	1.9K	-19.7K	-3.4K
Net VEX	-75	-115	-50	-115	-65
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.50	1.19	1.19	0.50
Total Volume	49.19	25	73	68	30
Total OI	53.333	18	117	82	23

Daily Data (21 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
2016-09-01	$14.56	$14.00	34.8%	10.0%	10.2%	24.7%	33.6%	4.0%	-5.9%	33	-19.7K	-115	1.19	137.05	N/A	N/A	31	37	35	47
2016-09-02	$14.79	$14.00	30.9%	8.9%	11.1%	21.8%	36.3%	4.5%	-5.0%	-27	-28.2K	-98	1.19	134.17	N/A	N/A	31	37	35	47
2016-09-06	$14.91	$0.00	35.3%	6.3%	11.1%	25.1%	0.0%	1.5%	0.8%	35	-27.0K	-95	1.19	140.90	N/A	N/A	31	37	35	47
2016-09-07	$14.91	$0.00	28.8%	5.2%	11.1%	20.3%	0.0%	-9.3%	4.0%	-111	-28.5K	-100	1.19	139.05	N/A	N/A	31	37	34	47
2016-09-08	$14.95	$0.00	29.9%	5.6%	11.1%	21.1%	0.0%	-3.4%	1.4%	17	-29.8K	-92	1.19	139.05	N/A	N/A	31	37	34	47
2016-09-09	$14.66	$0.00	30.9%	4.8%	13.0%	21.8%	0.0%	1.2%	0.8%	-231	-26.5K	-91	1.19	144.54	N/A	N/A	31	37	34	47
2016-09-12	$14.71	$0.00	53.5%	5.0%	12.8%	38.5%	0.0%	2.4%	-0.6%	-108	-22.8K	-93	1.03	138.68	N/A	N/A	36	37	34	47
2016-09-13	$14.29	$0.00	52.4%	6.2%	16.0%	37.8%	0.0%	3.9%	1.7%	-426	-14.9K	-93	1.03	135.46	N/A	N/A	36	37	34	47
2016-09-14	$14.29	$0.00	29.8%	8.5%	16.0%	21.0%	0.0%	5.7%	-1.9%	-399	-15.2K	-95	1.03	136.43	N/A	N/A	36	37	34	47
2016-09-15	$14.46	$0.00	25.0%	7.2%	16.7%	17.4%	0.0%	-1.1%	-6.6%	-314	-22.6K	-85	1.03	136.37	N/A	N/A	36	37	34	47
2016-09-16	$14.17	$0.00	27.5%	7.9%	17.5%	19.3%	0.0%	3.7%	-3.6%	-141	-86.5K	-57	1.03	143.23	N/A	N/A	36	37	70	47
2016-09-19	$14.21	$0.00	26.5%	7.6%	17.5%	18.5%	0.0%	5.2%	0.2%	-127	1.4K	-55	0.67	139.13	N/A	N/A	15	10	8	10
2016-09-20	$14.22	$0.00	25.8%	7.4%	17.5%	18.0%	0.0%	3.2%	-4.5%	-153	1.9K	-53	0.67	139.53	N/A	N/A	15	10	8	10
2016-09-21	$14.43	$0.00	29.1%	8.3%	18.1%	20.5%	0.0%	3.1%	-3.5%	-154	698	-55	0.67	144.49	N/A	N/A	15	10	8	10
2016-09-22	$14.64	$0.00	22.9%	6.6%	18.7%	15.8%	0.0%	3.6%	-5.0%	-297	-115	-50	0.67	149.38	N/A	N/A	15	10	8	10
2016-09-23	$14.50	$0.00	26.2%	7.5%	19.0%	18.3%	0.0%	4.7%	-2.3%	-116	324	-56	0.67	146.51	N/A	N/A	15	10	8	10
2016-09-26	$14.38	$0.00	29.6%	8.5%	19.1%	20.8%	0.0%	3.7%	-18.2%	-113	1.1K	-54	0.67	145.13	N/A	N/A	15	10	8	10
2016-09-27	$14.42	$0.00	29.7%	8.5%	19.2%	20.9%	0.0%	1.3%	-4.2%	-153	687	-54	0.67	145.54	N/A	N/A	15	10	8	10
2016-09-28	$14.68	$0.00	21.4%	6.1%	20.2%	14.8%	0.0%	5.1%	-2.6%	-212	74	-50	0.67	137.76	N/A	N/A	15	10	8	10
2016-09-29	$14.63	$0.00	21.8%	6.2%	20.1%	15.1%	0.0%	2.8%	1.9%	120	-2.7K	-64	0.50	145.95	N/A	N/A	20	10	13	10
2016-09-30	$14.76	$0.00	26.4%	7.6%	20.3%	18.5%	0.0%	1.8%	0.9%	178	-3.4K	-65	0.50	133.75	N/A	N/A	20	10	13	10