PCEF Options History — March 2010

Name: PCEF Options Analytics - March 2010
Creator: Options Analysis Suite

In March 2010, PCEF traded between $26.01 and $26.19. ATM implied volatility averaged 39.6%. The 30-day expected move averaged 11.4%. Net GEX was positive for 4 of 11 trading days. Term structure was in contango for 1 of 11 days. Put/call ratio averaged 0.40.

Notable Days

2010-03-24: Highest Volume — 70 contracts
2010-03-19: Largest IV spike — 150.5% change
2010-03-19: Largest Expected Move — 25.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.12	$26.01	$26.19	$26.19	$26.15
ATM IV	39.6%	21.3%	87.7%	30.5%	40.7%
Expected Move	11.4%	6.1%	25.2%	8.7%	11.7%
Term Structure	-15.3%	-36.4%	17.9%	-9.1%	-27.1%
Skew 25d	-2.3%	-9.0%	3.2%	-4.2%	-6.7%
Skew 10d	-4.4%	-17.5%	7.2%	7.2%	-16.4%
Call IV 25d	34.4%	15.1%	78.3%	78.3%	37.1%
Put IV 25d	32.1%	17.8%	74.2%	74.2%	30.4%
Bid-Ask Spread %	159.92	128.29	200.00	162.62	152.20
Gamma HHI	0.84	0.58	0.94	0.58	0.92
Net GEX	10.9K	0	48.8K	0	31.0K
Net DEX	-21.6K	-70.9K	0	0	-70.9K
Net VEX	-88	-307	0	0	-202
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.40	0.40	0.40	0.40
Total Volume	6.364	0	70	0	0
Total OI	25.455	0	70	0	70

Daily Data (11 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-03-17	$26.19	$0.00	30.5%	8.7%	0.0%	0.0%	0.0%	0.0%	-9.1%	0	0	0	0.00	162.62	N/A	N/A	0	0	0	0
2010-03-18	$26.16	$0.00	35.0%	10.0%	0.0%	0.0%	0.0%	0.0%	-10.7%	0	0	0	0.00	163.41	N/A	N/A	0	0	0	0
2010-03-19	$26.01	$0.00	87.7%	25.2%	0.0%	0.0%	0.0%	0.0%	-25.7%	0	0	0	0.00	176.98	N/A	N/A	0	0	0	0
2010-03-22	$26.03	$0.00	42.2%	12.1%	0.0%	0.0%	0.0%	-4.2%	17.9%	0	0	0	0.00	168.06	N/A	N/A	0	0	0	0
2010-03-23	$26.13	$0.00	34.0%	9.7%	0.0%	0.0%	0.0%	2.9%	-21.9%	0	0	0	0.00	146.85	N/A	N/A	0	0	0	0
2010-03-24	$26.09	$0.00	21.3%	6.1%	0.0%	0.0%	0.0%	2.8%	-2.1%	0	0	0	0.40	128.29	N/A	N/A	50	20	0	0
2010-03-25	$26.12	$0.00	25.4%	7.3%	0.0%	0.0%	0.0%	0.0%	0.0%	0	0	0	0.00	200.00	N/A	N/A	0	0	0	0
2010-03-26	$26.13	$0.00	25.9%	7.4%	0.0%	0.0%	0.0%	3.2%	-12.2%	3.9K	-26.8K	-307	0.00	143.32	N/A	N/A	0	0	50	20
2010-03-29	$26.12	$0.00	56.2%	16.1%	0.0%	0.0%	0.0%	-9.0%	-36.4%	48.8K	-69.6K	-253	0.00	172.18	N/A	N/A	0	0	50	20
2010-03-30	$26.14	$0.00	37.2%	10.7%	0.0%	0.0%	0.0%	-5.0%	-25.6%	36.6K	-70.0K	-208	0.00	145.26	N/A	N/A	0	0	50	20
2010-03-31	$26.15	$0.00	40.7%	11.7%	0.0%	0.0%	0.0%	-6.7%	-27.1%	31.0K	-70.9K	-202	0.00	152.20	N/A	N/A	0	0	50	20