PID Options History — September 2020

In September 2020, PID traded between $12.53 and $13.46. ATM implied volatility averaged 46.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 30.5% (HV 20d: 16.4%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days.

Notable Days

  • 2020-09-14: Highest Volume — 50 contracts
  • 2020-09-03: Largest IV spike — 191.6% change
  • 2020-09-23: Highest IV Rank — 38.4%
  • 2020-09-03: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.00$12.53$13.46$13.38$12.71
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV46.9%24.4%78.5%40.0%41.6%
Expected Move14.0%7.4%26.0%11.5%11.9%
HV 20d16.4%12.3%20.8%12.6%20.3%
HV 60d19.2%17.3%24.2%24.2%17.9%
IV Rank22.3%10.9%38.4%18.8%19.6%
IV Percentile35.5%10.7%76.6%30.2%28.2%
Term Structure-7.8%-66.0%27.3%-10.1%9.4%
VWIV32.0%28.7%37.9%37.9%29.3%
Skew 25d-0.7%-48.0%55.4%-29.4%8.0%
Skew 10d-13.8%-63.1%49.8%-63.1%-23.1%
Call IV 25d54.1%20.1%102.6%65.4%61.2%
Put IV 25d53.4%27.8%95.1%36.0%69.1%
Bid-Ask Spread %161.05121.48185.46124.87178.31
Gamma HHI0.580.400.800.670.47
Net GEX-1.9K-3.1K-757-757-2.6K
Net DEX29.7K10.0K48.6K10.0K44.3K
Net VEX-241-311-151-160-301
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume2.76205020
Total OI93.8576311763115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$13.38$13.0040.0%11.5%12.6%18.8%37.9%-29.4%-10.1%-75710.0K-1600.00124.87N/AN/A021548
2020-09-02$13.46$13.0025.7%7.4%12.3%11.5%0.0%1.3%-11.1%-1.1K11.3K-1590.00140.52N/AN/A001549
2020-09-03$13.26$13.0075.1%26.0%13.6%36.7%0.0%-13.5%-16.9%-88810.1K-1590.00185.46N/AN/A021549
2020-09-04$13.24$13.0060.7%18.2%13.7%29.4%0.0%6.0%-11.8%-1.1K12.8K-1620.00183.37N/AN/A011551
2020-09-08$12.98$13.0024.4%13.8%13.9%10.9%0.0%5.1%3.5%-1.0K16.8K-1660.00163.44N/AN/A001552
2020-09-09$13.16$13.0059.7%17.1%14.4%28.9%0.0%18.9%-13.3%-82211.2K-1560.00121.48N/AN/A001552
2020-09-10$12.99$13.0049.9%14.3%14.4%23.9%0.0%-17.1%-3.8%-1.2K19.2K-1610.00174.73N/AN/A001552
2020-09-11$13.03$13.0064.4%18.5%14.4%31.2%0.0%-33.2%-45.8%-1.6K18.3K-1510.00165.01N/AN/A001552
2020-09-14$13.17$13.0029.4%8.4%15.1%13.4%0.0%-26.6%8.7%-1.2K17.3K-1570.00149.75N/AN/A0501552
2020-09-15$13.26$13.0057.2%16.4%15.3%27.6%0.0%-48.0%6.4%-1.9K34.1K-3060.00158.75N/AN/A0015102
2020-09-16$13.32$13.0043.3%12.4%15.3%20.5%0.0%6.1%-22.0%-2.5K36.0K-3100.00169.48N/AN/A0015102
2020-09-17$13.24$13.0031.9%9.1%15.3%14.6%0.0%15.8%14.3%-2.8K39.3K-3110.00169.86N/AN/A0015102
2020-09-18$13.17$13.0042.9%12.3%15.4%20.3%0.0%22.2%4.6%-3.1K37.5K-3030.00173.05N/AN/A0015102
2020-09-21$12.71$13.0036.4%10.4%19.7%16.9%28.7%-37.0%27.3%-2.7K42.5K-3060.00151.22N/AN/A011498
2020-09-22$12.77$13.0049.2%14.1%19.0%23.5%0.0%55.4%-4.3%-2.7K38.0K-2930.00148.22N/AN/A001499
2020-09-23$12.55$13.0078.5%22.5%19.6%38.4%0.0%39.4%-33.5%-2.1K45.7K-2950.00156.15N/AN/A011499
2020-09-24$12.53$13.0059.7%17.1%19.6%28.8%0.0%5.3%6.9%-2.2K48.6K-3000.00177.47N/AN/A0014100
2020-09-25$12.58$13.0028.8%8.3%19.7%13.1%29.3%5.4%-6.2%-2.3K47.5K-3040.00176.02N/AN/A0114100
2020-09-28$12.81$13.0030.1%8.6%20.8%13.7%0.0%5.7%0.2%-2.4K37.5K-2920.00137.71N/AN/A0014101
2020-09-29$12.75$13.0056.3%16.1%20.4%27.1%0.0%-4.7%-66.0%-2.4K44.9K-3030.00177.09N/AN/A0014101
2020-09-30$12.71$13.0041.6%11.9%20.3%19.6%0.0%8.0%9.4%-2.6K44.3K-3010.00178.31N/AN/A0014101