PID Options History — March 2017

In March 2017, PID traded between $14.57 and $15.07. ATM implied volatility averaged 30.8%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 21.1% (HV 20d: 9.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 4.20.

Notable Days

  • 2017-03-08: Highest Volume — 138 contracts
  • 2017-03-15: Largest IV drop — 66.9% change
  • 2017-03-14: Highest IV Rank — 47.9%
  • 2017-03-03: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.83$14.57$15.07$14.92$15.05
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.8%18.0%75.3%30.5%22.0%
Expected Move6.6%5.0%9.3%8.8%6.3%
HV 20d9.8%8.4%10.9%8.5%9.8%
HV 60d10.0%9.5%10.2%10.2%9.5%
IV Rank19.0%10.7%47.9%18.8%13.3%
IV Percentile42.0%1.2%99.2%58.7%12.3%
Term Structure-1.9%-10.7%3.3%-1.9%-0.4%
VWIV22.8%13.9%31.2%26.0%23.9%
Skew 25d-0.8%-15.3%11.3%-10.7%11.3%
Skew 10d3.1%-12.5%18.6%17.7%18.6%
Call IV 25d23.3%14.6%34.9%23.2%16.1%
Put IV 25d22.5%12.5%41.2%12.5%27.4%
Bid-Ask Spread %141.6688.29160.00141.48150.20
Gamma HHI0.610.500.880.880.52
Net GEX-5.5K-11.7K-2.2K-2.2K-7.8K
Net DEX75.2K50.7K97.8K61.4K70.3K
Net VEX-551-617-449-524-529
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.202.195.905.402.69
Total Volume97.874813812848
Total OI156.913137167137162

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$14.92$15.0030.5%8.8%8.5%18.8%26.0%-10.7%-1.9%-2.2K61.4K-5245.40141.48N/AN/A2010823114
2017-03-02$14.81$15.0025.0%7.2%8.9%15.3%28.4%0.4%-10.7%-3.7K51.7K-4995.40149.10N/AN/A2010823114
2017-03-03$14.87$15.0032.6%9.3%8.7%20.2%29.4%6.3%-7.1%-3.7K50.7K-4995.40153.36N/AN/A2010823114
2017-03-06$14.82$15.0029.3%5.5%8.5%18.0%19.8%1.0%0.7%-3.7K55.5K-4965.40133.41N/AN/A2010823114
2017-03-07$14.72$15.0030.2%5.0%8.4%18.6%16.9%1.3%0.5%-3.6K50.7K-4775.40151.19N/AN/A2010823114
2017-03-08$14.57$15.0046.4%6.8%9.1%29.1%21.3%4.6%2.9%-2.8K70.6K-5035.90155.18N/AN/A2011823114
2017-03-09$14.59$15.0034.5%5.3%9.1%21.4%17.4%3.5%-0.2%-5.2K97.8K-6045.90146.38N/AN/A2011823144
2017-03-10$14.67$15.0046.8%5.2%8.9%29.4%18.1%-1.2%1.2%-5.3K92.3K-6175.90150.78N/AN/A2011823144
2017-03-13$14.72$15.0061.7%7.5%8.8%39.1%26.2%2.4%0.8%-3.8K88.5K-6145.90158.97N/AN/A2011823144
2017-03-14$14.58$15.0075.3%5.6%9.1%47.9%18.9%1.7%-0.3%-5.2K94.5K-5955.90149.37N/AN/A2011823144
2017-03-15$14.81$15.0024.9%7.1%10.8%15.2%25.5%3.1%2.5%-3.6K89.7K-6065.90160.00N/AN/A2011823144
2017-03-16$14.86$15.0020.2%5.8%10.7%12.2%19.9%-0.4%-5.8%-5.5K82.8K-5955.90154.63N/AN/A2011823144
2017-03-17$14.92$15.0019.6%5.6%10.8%11.7%16.9%-0.7%3.3%-4.3K76.9K-6105.90120.66N/AN/A2011823144
2017-03-20$14.87$15.0018.0%5.2%10.8%10.7%13.9%0.4%-10.6%-8.1K78.0K-5472.19121.27N/AN/A163516144
2017-03-21$14.77$15.0025.9%7.4%10.9%15.8%24.1%-4.7%-2.8%-5.5K87.6K-5812.1988.29N/AN/A163516146
2017-03-22$14.79$15.0023.6%6.8%10.9%14.4%29.7%-8.8%0.5%-4.7K83.7K-5932.19137.91N/AN/A163516146
2017-03-23$14.81$15.0027.1%7.8%10.9%16.6%27.8%-15.3%-3.1%-10.1K83.1K-5022.19144.85N/AN/A163516146
2017-03-24$14.89$15.0018.6%5.3%10.6%11.1%18.5%0.4%-1.9%-8.4K80.2K-5452.1999.46N/AN/A163516146
2017-03-27$14.92$15.0029.8%8.5%10.6%18.3%31.2%3.4%-3.4%-4.9K77.0K-5902.19155.95N/AN/A163516146
2017-03-28$15.01$15.0024.9%7.2%10.4%15.2%26.8%-9.4%-4.3%-4.5K79.6K-5832.19148.37N/AN/A163516146
2017-03-29$15.07$15.0020.0%5.7%10.2%12.0%21.0%-9.3%-0.4%-8.2K64.6K-5142.19145.20N/AN/A163516146
2017-03-30$15.02$15.0022.6%6.5%9.9%13.7%22.6%1.5%-2.9%-11.7K62.4K-4492.19142.16N/AN/A163516146
2017-03-31$15.05$15.0022.0%6.3%9.8%13.3%23.9%11.3%-0.4%-7.8K70.3K-5292.69150.20N/AN/A133516146