PCEF Options History — April 2010

In April 2010, PCEF traded between $26.15 and $26.63. ATM implied volatility averaged 69.7%. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 63.6% (HV 20d: 6.1%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 21.90.

Notable Days

  • 2010-04-09: Highest Volume — 1,057 contracts
  • 2010-04-22: Largest IV spike — 303.5% change
  • 2010-04-01: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.34$26.15$26.63$26.28$26.27
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV69.7%20.9%197.6%117.3%54.0%
Expected Move14.1%4.8%33.6%33.6%15.5%
HV 20d6.1%4.2%7.9%4.3%7.9%
Term Structure-13.9%-39.0%43.2%-39.0%-38.1%
VWIV15.7%13.1%17.3%17.3%16.6%
Skew 25d3.1%-23.0%89.1%-21.1%5.3%
Skew 10d7.9%-29.3%109.9%-27.1%17.2%
Call IV 25d76.2%12.9%123.2%88.9%123.2%
Put IV 25d79.3%20.9%128.4%67.8%128.4%
Bid-Ask Spread %168.19132.27177.18176.10174.84
Gamma HHI0.860.381.000.380.91
Net GEX-44.5K-212.1K4.7K946-59.3K
Net DEX599.8K-82.6K1.0M-81.2K948.1K
Net VEX-4.6K-7.3K0-177-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.900.0087.0887.080.50
Total Volume53.76201,05700
Total OI844.762701,174701,174

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$26.28$0.00117.3%33.6%0.0%0.0%0.0%-21.1%-39.0%946-81.2K-1770.00176.10N/AN/A005020
2010-04-05$26.36$26.0035.4%4.9%0.0%0.0%17.3%0.8%-2.0%4.7K-26.9K-2840.00132.27N/AN/A035020
2010-04-06$26.29$26.0056.6%7.8%0.0%0.0%0.0%-5.0%-3.0%625-78.8K-10.00164.56N/AN/A005023
2010-04-07$26.24$26.00148.5%19.8%0.0%0.0%0.0%-23.0%-19.3%2.9K-78.3K-40.00176.21N/AN/A005023
2010-04-08$26.31$26.00156.2%20.0%4.3%0.0%0.0%-22.3%-19.6%233-78.9K00.00175.15N/AN/A005023
2010-04-09$26.42$26.0054.4%6.4%4.5%0.0%0.0%-3.7%-0.4%-312-77.9K-15087.08153.48N/AN/A121,0455023
2010-04-12$26.46$26.0052.8%4.8%4.3%0.0%0.0%3.2%0.8%-66.8K1.0M-6.6K0.00135.50N/AN/A040511,063
2010-04-13$26.47$26.00197.6%13.7%4.2%0.0%0.0%15.9%-21.8%-55.2K901.7K-7.2K0.00176.71N/AN/A00511,103
2010-04-14$26.63$26.0041.4%11.9%4.5%0.0%0.0%89.1%34.8%0-82.6K00.00174.72N/AN/A00511,103
2010-04-15$26.36$26.0024.7%7.1%5.9%0.0%0.0%15.4%-0.5%-73.8K846.8K-6.8K0.00155.55N/AN/A00511,103
2010-04-16$26.17$26.0042.8%12.3%6.5%0.0%0.0%4.1%-24.1%-49.7K1.0M-7.3K0.00177.18N/AN/A00511,103
2010-04-19$26.15$26.0045.9%13.2%6.1%0.0%0.0%4.3%-26.3%-49.9K1.0M-7.2K0.00176.83N/AN/A00511,103
2010-04-20$26.27$26.0048.5%13.9%6.3%0.0%0.0%14.3%-26.8%-49.6K996.1K-7.2K0.00175.92N/AN/A00511,103
2010-04-21$26.27$26.0020.9%6.0%6.2%0.0%0.0%5.1%-2.2%-212.1K619.6K-4.7K0.00147.29N/AN/A00511,103
2010-04-22$26.29$26.0084.3%24.2%6.2%0.0%0.0%4.2%-28.4%-50.6K990.0K-7.1K0.00177.02N/AN/A00511,103
2010-04-23$26.44$26.0038.9%11.2%6.4%0.0%0.0%-19.7%-14.2%-55.0K941.1K-6.9K0.00176.80N/AN/A30511,103
2010-04-26$26.52$26.0044.7%12.8%6.5%0.0%13.1%-17.0%43.2%-52.1K932.9K-6.9K0.00176.13N/AN/A05541,103
2010-04-27$26.23$26.0092.5%26.5%7.7%0.0%0.0%4.9%-34.0%-50.8K997.8K-7.0K0.00176.79N/AN/A40541,105
2010-04-28$26.29$26.0054.0%15.5%7.7%0.0%16.6%4.9%-35.1%-57.9K962.6K-7.0K0.00177.02N/AN/A02541,105
2010-04-29$26.40$26.0052.1%14.9%7.9%0.0%0.0%4.8%-36.2%-61.1K925.2K-6.8K0.50175.98N/AN/A105541,105
2010-04-30$26.27$26.0054.0%15.5%7.9%0.0%0.0%5.3%-38.1%-59.3K948.1K-7.0K0.00174.84N/AN/A00641,110