PID Options History — October 2017

In October 2017, PID traded between $15.90 and $16.22. ATM implied volatility averaged 25.8%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 19.8% (HV 20d: 6.1%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-10-19: Highest Volume — 50 contracts
  • 2017-10-24: Largest IV spike — 55.2% change
  • 2017-10-10: Highest IV Rank — 22.7%
  • 2017-10-31: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.09$15.90$16.22$16.15$16.02
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV25.8%13.3%36.4%28.9%30.8%
Expected Move6.8%3.8%8.8%8.3%8.8%
HV 20d6.1%4.9%8.0%8.0%5.9%
HV 60d8.0%7.8%8.5%8.4%7.8%
IV Rank15.9%7.8%22.7%17.8%19.1%
IV Percentile47.8%3.6%89.3%64.7%71.8%
Term Structure-3.6%-16.8%10.2%-5.1%-5.7%
VWIV23.1%5.7%32.2%28.7%30.8%
Skew 25d4.8%-20.5%91.5%22.7%22.2%
Skew 10d18.2%-16.5%178.6%17.1%26.8%
Call IV 25d18.8%6.9%34.4%15.6%17.6%
Put IV 25d23.6%10.0%98.4%38.3%39.8%
Bid-Ask Spread %145.90120.62180.49153.04151.62
Gamma HHI0.880.730.920.920.87
Net GEX42.5K15.6K57.3K42.7K43.6K
Net DEX-1.2M-1.5M-1.1M-1.1M-1.1M
Net VEX-1.7K-2.3K-69-2.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.002.000.002.00
Total Volume3120502930
Total OI983.591978999978999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$16.15$16.0028.9%8.3%8.0%17.8%28.7%22.7%-5.1%42.7K-1.1M-2.3K0.00153.04N/AN/A2909780
2017-10-03$16.20$16.0029.6%8.5%7.1%18.3%28.5%24.7%-16.8%43.4K-1.3M-2.0K0.00157.68N/AN/A2909780
2017-10-04$16.12$16.0030.7%8.8%6.8%19.0%31.1%24.9%-8.1%41.3K-1.2M-2.3K0.00151.81N/AN/A2909780
2017-10-05$16.06$0.0032.0%7.1%7.0%19.9%0.0%-11.6%-0.8%42.2K-1.1M-2.3K0.00137.21N/AN/A2909780
2017-10-06$16.03$0.0031.5%6.9%7.0%19.6%0.0%3.2%-0.4%43.0K-1.1M-2.3K0.00144.78N/AN/A2909780
2017-10-09$16.03$0.0033.8%5.0%5.8%21.0%0.0%-11.9%10.2%49.8K-1.2M-2.1K0.00144.76N/AN/A2909780
2017-10-10$16.15$0.0036.4%6.7%6.5%22.7%0.0%-12.2%-1.8%48.1K-1.2M-2.1K0.00155.03N/AN/A2909780
2017-10-11$16.22$0.0024.5%7.0%6.6%15.0%0.0%-12.4%-1.9%45.0K-1.2M-2.1K0.00147.97N/AN/A2909780
2017-10-12$16.15$0.0026.0%7.5%6.8%16.0%0.0%-11.7%-4.2%47.6K-1.2M-2.0K0.00147.22N/AN/A3009780
2017-10-13$16.20$0.0016.8%4.8%6.8%10.0%0.0%0.6%0.4%44.0K-1.3M-1.6K0.00149.30N/AN/A3009790
2017-10-16$16.19$0.0018.7%5.3%5.0%11.2%0.0%7.4%-3.1%38.1K-1.4M-1.0K0.00120.62N/AN/A3009790
2017-10-17$16.17$0.0026.2%7.5%4.9%16.1%0.0%2.9%-0.8%47.4K-1.2M-2.0K0.00139.03N/AN/A3009790
2017-10-18$16.20$0.0025.0%7.2%4.9%15.4%0.0%4.3%-1.0%46.7K-1.2M-1.9K0.00138.44N/AN/A3009790
2017-10-19$16.19$0.0016.0%4.6%5.0%9.5%12.6%0.3%1.2%57.3K-1.3M-1.5K0.67135.39N/AN/A30209790
2017-10-20$16.14$16.0013.3%3.8%5.1%7.8%6.1%-9.2%-5.1%39.8K-1.4M-9880.67143.73N/AN/A302097920
2017-10-23$16.08$16.0017.1%4.9%5.2%10.2%5.7%-4.0%-9.0%31.3K-1.4M-7902.00127.18N/AN/A102095920
2017-10-24$16.06$16.0026.5%7.6%5.2%16.3%27.1%2.5%-7.7%23.0K-1.5M-5561.00135.00N/AN/A101095920
2017-10-25$15.92$16.0026.2%7.5%6.0%16.1%25.4%91.5%-3.5%44.1K-1.1M-1.9K2.00180.49N/AN/A102095930
2017-10-26$15.90$16.0029.1%8.3%6.0%18.0%28.8%-20.5%-4.0%44.6K-1.1M-1.9K2.00150.34N/AN/A102095940
2017-10-27$15.93$16.0028.9%8.3%5.8%17.9%32.2%-1.3%-8.4%15.6K-1.5M-692.00143.79N/AN/A102095940
2017-10-30$15.98$16.0020.3%5.8%6.0%12.3%20.2%-6.1%-3.8%56.1K-1.3M-1.2K2.00155.34N/AN/A102095940
2017-10-31$16.02$16.0030.8%8.8%5.9%19.1%30.8%22.2%-5.7%43.6K-1.1M-1.8K2.00151.62N/AN/A102095940