PID Options History — July 2017

In July 2017, PID traded between $15.20 and $15.85. ATM implied volatility averaged 26.3%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 16.3% (HV 20d: 10.0%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2017-07-03: Highest Volume — 500 contracts
  • 2017-07-11: Largest IV spike — 29.3% change
  • 2017-07-11: Highest IV Rank — 20.7%
  • 2017-07-31: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.58$15.20$15.85$15.47$15.85
ATM IV26.3%21.0%33.3%22.7%30.0%
Expected Move7.1%3.5%8.6%6.5%8.6%
HV 20d10.0%8.6%11.4%10.2%8.7%
HV 60d10.1%9.7%10.6%10.2%9.7%
IV Rank14.7%11.9%20.7%13.8%16.3%
IV Percentile46.3%18.7%79.4%27.0%66.7%
Term Structure-14.2%-23.1%1.9%-5.3%-21.0%
Skew 25d-1.5%-22.0%17.0%-0.1%-22.0%
Skew 10d3.6%-18.9%28.9%-18.9%4.8%
Call IV 25d21.8%10.1%36.6%13.6%36.6%
Put IV 25d20.3%12.1%34.1%13.5%14.6%
Bid-Ask Spread %144.65128.20156.96135.91152.30
Gamma HHI0.910.861.000.860.89
Net GEX40.8K30.1K59.2K31.6K32.6K
Net DEX-863.7K-1.0M-697.1K-855.4K-931.1K
Net VEX-3.8K-4.1K-3.4K-4.1K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.020.860.020.86
Total Volume310.42650050026
Total OI1,122.151,1191,1281,1191,128

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$15.47$0.0022.7%6.5%10.2%13.8%0.0%-0.1%-5.3%31.6K-855.4K-4.1K0.02135.91N/AN/A48812972147
2017-07-05$15.33$0.0022.9%6.6%10.7%13.9%0.0%-2.5%-7.3%32.2K-842.1K-4.0K0.02141.90N/AN/A48812972147
2017-07-06$15.27$0.0023.9%7.9%10.6%14.5%0.0%4.1%-16.3%39.4K-730.1K-4.1K0.02150.69N/AN/A48812972147
2017-07-07$15.20$0.0030.5%3.5%10.7%18.8%0.0%2.2%1.9%46.8K-697.1K-4.1K0.02133.98N/AN/A48812972147
2017-07-10$15.25$0.0025.8%6.3%10.7%15.8%0.0%0.8%-6.1%44.2K-784.1K-3.9K0.02130.14N/AN/A48812972147
2017-07-11$15.26$0.0033.3%5.5%10.6%20.7%0.0%-9.1%-3.7%50.4K-777.5K-3.9K0.02128.20N/AN/A48812972147
2017-07-12$15.48$0.0028.4%8.1%11.4%17.5%0.0%-7.5%-5.8%59.2K-770.9K-4.0K0.02142.26N/AN/A48812972147
2017-07-13$15.55$0.0021.0%6.0%11.2%12.7%0.0%-9.5%-9.7%58.3K-800.3K-3.9K0.02156.96N/AN/A48812972147
2017-07-14$15.67$0.0023.4%6.7%10.9%11.9%0.0%-3.1%-16.2%43.7K-881.6K-3.8K0.02152.96N/AN/A48812972147
2017-07-17$15.61$0.0025.1%7.2%10.8%13.0%0.0%5.5%-18.1%54.4K-830.9K-3.8K0.02152.81N/AN/A48812972147
2017-07-18$15.63$0.0025.5%7.3%10.8%13.3%0.0%-6.4%-17.7%57.3K-850.8K-3.7K0.02146.75N/AN/A48812972147
2017-07-19$15.74$0.0025.3%7.3%9.7%13.2%0.0%-13.2%-20.4%31.6K-968.9K-3.7K0.02154.86N/AN/A48812972147
2017-07-20$15.81$0.0026.2%7.5%9.3%13.7%0.0%-12.9%-14.0%40.1K-934.0K-3.6K0.86151.06N/AN/A1412972147
2017-07-21$15.76$0.0025.5%7.3%9.3%13.3%0.0%14.4%-21.1%32.8K-912.9K-3.9K0.86152.48N/AN/A1412981147
2017-07-24$15.71$0.0027.0%7.7%9.3%14.2%0.0%-7.7%-21.2%30.2K-884.8K-3.9K0.86136.20N/AN/A1412981147
2017-07-25$15.77$0.0026.0%7.5%9.3%13.6%0.0%13.6%-21.4%30.1K-932.8K-3.8K0.86145.92N/AN/A1412981147
2017-07-26$15.81$0.0026.6%7.6%9.2%14.0%0.0%14.9%-21.6%30.2K-932.7K-3.8K0.86148.30N/AN/A1412981147
2017-07-27$15.76$0.0028.8%8.3%8.7%15.5%0.0%-9.2%-15.8%40.9K-1.0M-3.4K0.86136.19N/AN/A1412981147
2017-07-28$15.76$0.0028.6%8.2%8.6%15.4%0.0%17.0%-23.1%30.4K-913.4K-3.7K0.86143.21N/AN/A1412981147
2017-07-31$15.85$0.0030.0%8.6%8.7%16.3%0.0%-22.0%-21.0%32.6K-931.1K-3.7K0.86152.30N/AN/A1412981147