PID Options History — November 2017

In November 2017, PID traded between $15.70 and $16.10. ATM implied volatility averaged 23.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 15.5% (HV 20d: 7.8%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2017-11-30: Highest Volume — 89 contracts
  • 2017-11-03: Largest IV spike — 679.9% change
  • 2017-11-27: Highest IV Rank — 39.2%
  • 2017-11-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.94$15.70$16.10$16.02$15.98
Max Pain$15.05$15.00$16.00$16.00$15.00
ATM IV23.3%4.0%31.6%31.6%29.8%
Expected Move6.4%3.0%9.0%9.0%8.5%
HV 20d7.8%5.7%8.9%5.7%8.9%
HV 60d7.7%7.2%8.1%7.8%7.2%
IV Rank23.7%1.7%39.2%19.6%38.5%
IV Percentile40.3%0.4%74.6%74.6%69.8%
Term Structure5.6%-14.4%143.2%-14.4%-6.2%
VWIV25.0%12.2%32.3%30.4%31.9%
Skew 25d9.3%-12.2%168.1%-2.4%2.1%
Skew 10d21.4%-9.7%171.7%17.4%4.7%
Call IV 25d17.9%9.9%31.4%17.7%25.8%
Put IV 25d27.2%11.1%178.0%15.4%27.8%
Bid-Ask Spread %144.01127.48186.61145.09135.29
Gamma HHI0.900.740.970.770.90
Net GEX55.8K15.4K119.4K20.6K63.2K
Net DEX-1.3M-1.5M-1.0M-1.5M-1.2M
Net VEX-978-1.5K-68-471-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.172.002.000.51
Total Volume54.90520893089
Total OI1,011.8579691,0199991,019

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$16.02$16.0031.6%9.0%5.7%19.6%30.4%-2.4%-14.4%20.6K-1.5M-4712.00145.09N/AN/A102095940
2017-11-02$15.86$15.004.0%4.6%6.6%1.7%16.1%168.1%143.2%66.3K-1.3M-1.2K0.67186.61N/AN/A302095940
2017-11-03$15.90$15.0031.0%5.7%6.7%19.3%23.5%0.8%1.8%119.4K-1.4M-7420.67148.70N/AN/A302097940
2017-11-06$16.07$15.0025.4%4.4%7.7%15.6%18.5%3.4%1.8%65.4K-1.3M-1.1K0.67143.38N/AN/A302097940
2017-11-07$16.00$15.0020.1%3.0%7.4%12.2%12.2%-2.4%8.1%15.4K-1.5M-2830.67134.47N/AN/A302097940
2017-11-08$16.02$15.0011.5%3.3%7.2%6.6%14.6%0.5%6.5%31.5K-1.4M-5670.67127.48N/AN/A302097940
2017-11-09$16.00$15.0020.5%5.9%7.1%12.4%21.1%10.2%-2.3%39.3K-1.5M-680.67145.60N/AN/A302097940
2017-11-10$15.94$15.0021.7%6.2%7.0%13.2%26.0%-12.2%0.8%81.1K-1.3M-9980.67144.64N/AN/A302097940
2017-11-13$15.83$15.0025.9%7.4%7.4%15.9%29.2%-4.5%-4.5%52.1K-1.1M-1.5K0.67148.58N/AN/A302097940
2017-11-14$15.78$15.0025.6%7.3%7.4%32.9%29.0%-2.9%-4.8%53.8K-1.1M-1.5K0.67142.29N/AN/A302097940
2017-11-15$15.70$15.0017.6%5.1%7.4%22.1%19.1%-2.9%-2.9%67.2K-1.1M-1.4K0.67137.37N/AN/A302097940
2017-11-16$15.81$15.0028.3%8.1%8.0%36.5%31.3%-9.6%-3.6%44.7K-1.0M-1.5K0.67149.97N/AN/A302097940
2017-11-17$15.91$15.0019.2%5.5%8.4%24.2%21.6%5.4%-2.1%56.5K-1.2M-1.2K0.67146.94N/AN/A302097930
2017-11-20$15.83$15.0017.1%4.9%8.5%21.4%29.7%4.0%14.6%61.7K-1.2M-1.1K1.00134.29N/AN/A101095910
2017-11-21$15.94$15.0028.1%8.1%8.9%36.2%30.2%-5.1%-7.5%51.8K-1.1M-1.3K0.17140.54N/AN/A591095910
2017-11-22$16.05$15.0027.3%7.8%8.7%35.1%29.4%-2.6%-3.9%59.9K-1.2M-1.2K0.17141.43N/AN/A59101,00910
2017-11-24$16.10$15.0026.8%7.7%8.7%34.4%28.4%21.0%-1.9%53.3K-1.3M-1.0K0.17146.44N/AN/A59101,00910
2017-11-27$16.04$15.0030.3%8.7%8.8%39.2%32.3%22.7%-4.1%55.9K-1.3M-9520.17148.31N/AN/A59101,00910
2017-11-28$16.06$15.0029.9%8.6%8.8%38.6%31.4%1.5%-4.0%54.2K-1.3M-1.0K0.17142.44N/AN/A59101,00910
2017-11-29$15.98$15.0018.1%5.2%8.9%22.7%19.2%-0.5%3.3%58.0K-1.5M-2750.17134.30N/AN/A59101,00910
2017-11-30$15.98$15.0029.8%8.5%8.9%38.5%31.9%2.1%-6.2%63.2K-1.2M-1.1K0.51135.29N/AN/A59301,00910