PID Options History — December 2016

In December 2016, PID traded between $14.27 and $14.91. ATM implied volatility averaged 35.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 23.9% (HV 20d: 12.0%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2016-12-01: Highest Volume — 30 contracts
2016-12-13: Largest IV spike — 205.2% change
2016-12-13: Highest IV Rank — 43.6%
2016-12-14: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.50	$14.27	$14.91	$14.27	$14.37
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	35.9%	16.9%	68.6%	43.5%	35.5%
Expected Move	8.7%	3.6%	13.5%	12.5%	10.2%
HV 20d	12.0%	10.4%	13.4%	13.4%	10.5%
HV 60d	13.0%	11.8%	15.0%	15.0%	11.8%
IV Rank	22.3%	10.0%	43.6%	27.3%	22.1%
IV Percentile	69.1%	4.4%	99.2%	95.6%	84.5%
Term Structure	-3.6%	-16.3%	8.3%	-14.7%	-6.9%
VWIV	45.3%	42.7%	48.0%	48.0%	42.7%
Skew 25d	4.9%	-2.1%	11.3%	5.5%	3.2%
Skew 10d	7.3%	-8.7%	23.2%	11.4%	5.1%
Call IV 25d	29.6%	12.1%	46.1%	46.1%	34.1%
Put IV 25d	34.5%	18.2%	52.7%	51.6%	37.2%
Bid-Ask Spread %	170.80	133.71	194.94	155.74	158.66
Gamma HHI	0.68	0.44	0.85	0.45	0.81
Net GEX	412	-21	1.4K	9	362
Net DEX	-4.4K	-8.9K	-969	-969	-3.9K
Net VEX	-23	-36	-16	-36	-17
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	0.50	0.50	0.00
Total Volume	18.857	4	30	30	4
Total OI	16.143	7	23	23	7

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
2016-12-01	$14.27	$14.00	43.5%	12.5%	13.4%	27.3%	48.0%	5.5%	-14.7%	9	-969	-36	0.50	155.74	N/A	N/A	20	10	13	10
2016-12-02	$14.35	$14.00	42.4%	12.2%	12.9%	26.5%	42.7%	9.6%	-9.1%	-21	-1.6K	-36	0.50	133.71	N/A	N/A	20	10	13	10
2016-12-05	$14.48	$0.00	47.2%	8.9%	12.7%	29.7%	0.0%	-1.6%	-3.9%	34	-2.6K	-34	0.50	156.06	N/A	N/A	20	10	13	10
2016-12-06	$14.51	$0.00	67.3%	7.9%	11.3%	42.7%	0.0%	3.1%	-0.6%	103	-2.9K	-35	0.50	176.33	N/A	N/A	20	10	13	10
2016-12-07	$14.68	$0.00	32.0%	6.3%	11.8%	19.8%	0.0%	9.7%	2.6%	302	-5.0K	-28	0.50	175.20	N/A	N/A	20	10	13	10
2016-12-08	$14.77	$0.00	16.9%	4.0%	11.7%	10.0%	0.0%	9.6%	8.3%	534	-6.2K	-28	0.50	178.83	N/A	N/A	20	10	13	10
2016-12-09	$14.81	$0.00	24.3%	7.8%	11.5%	14.8%	0.0%	5.5%	2.3%	559	-7.5K	-28	0.50	183.31	N/A	N/A	20	10	13	10
2016-12-12	$14.82	$0.00	22.5%	3.6%	10.5%	13.6%	0.0%	6.0%	4.2%	1.2K	-7.4K	-24	0.50	180.29	N/A	N/A	20	10	13	10
2016-12-13	$14.91	$0.00	68.6%	8.1%	10.4%	43.6%	0.0%	5.0%	1.5%	1.4K	-8.9K	-23	0.50	188.83	N/A	N/A	20	10	13	10
2016-12-14	$14.65	$0.00	47.0%	13.5%	12.5%	29.5%	0.0%	5.0%	-16.3%	679	-6.2K	-21	0.50	194.83	N/A	N/A	20	10	13	10
2016-12-15	$14.59	$0.00	23.1%	6.6%	12.5%	14.0%	0.0%	11.3%	4.9%	381	-5.5K	-20	0.50	194.94	N/A	N/A	20	10	13	10
2016-12-16	$14.43	$0.00	32.3%	9.3%	13.3%	20.0%	0.0%	1.1%	-9.0%	331	-5.5K	-19	0.50	188.39	N/A	N/A	20	10	13	10
2016-12-19	$14.41	$0.00	21.7%	6.2%	13.3%	13.1%	0.0%	10.3%	-0.4%	354	-4.0K	-19	0.00	192.77	N/A	N/A	4	0	7	0
2016-12-20	$14.40	$0.00	33.1%	9.5%	12.2%	20.5%	0.0%	3.5%	-4.7%	332	-4.0K	-19	0.00	190.07	N/A	N/A	4	0	7	0
2016-12-21	$14.37	$0.00	31.3%	9.0%	12.2%	19.3%	0.0%	3.0%	-3.3%	327	-3.7K	-18	0.00	156.81	N/A	N/A	4	0	7	0
2016-12-22	$14.35	$0.00	29.5%	8.4%	12.2%	18.2%	0.0%	2.9%	-4.2%	436	-3.2K	-17	0.00	153.84	N/A	N/A	4	0	7	0
2016-12-23	$14.32	$0.00	32.8%	9.4%	12.2%	20.3%	0.0%	3.8%	-5.7%	330	-3.6K	-18	0.00	155.23	N/A	N/A	4	0	7	0
2016-12-27	$14.37	$0.00	35.1%	10.1%	12.2%	21.8%	0.0%	-2.1%	-7.9%	361	-3.0K	-16	0.00	158.82	N/A	N/A	4	0	7	0
2016-12-28	$14.31	$0.00	34.1%	9.8%	12.1%	21.2%	0.0%	7.3%	-5.1%	331	-3.5K	-17	0.00	156.67	N/A	N/A	4	0	7	0
2016-12-29	$14.36	$0.00	33.8%	9.7%	10.8%	21.0%	0.0%	2.1%	-6.8%	337	-3.5K	-17	0.00	157.49	N/A	N/A	4	0	7	0
2016-12-30	$14.37	$0.00	35.5%	10.2%	10.5%	22.1%	0.0%	3.2%	-6.9%	362	-3.9K	-17	0.00	158.66	N/A	N/A	4	0	7	0