PCEF Options History — May 2010

In May 2010, PCEF traded between $23.23 and $26.42. ATM implied volatility averaged 80.5%. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 55.4% (HV 20d: 25.1%). Max pain ranged from $22.50 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.09.

Notable Days

  • 2010-05-06: Highest Volume — 83 contracts
  • 2010-05-05: Largest IV spike — 90.6% change
  • 2010-05-06: Largest Expected Move — 36.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.60$23.23$26.42$26.42$24.13
Max Pain$24.45$22.50$26.00$26.00$22.50
ATM IV80.5%30.9%144.9%56.7%30.9%
Expected Move19.8%8.8%36.0%16.3%8.8%
HV 20d25.1%8.1%32.1%8.1%32.1%
HV 60d20.5%20.3%20.9%20.6%20.7%
Term Structure-36.0%-88.6%50.0%-43.0%50.0%
VWIV66.6%12.2%134.9%12.3%100.0%
Skew 25d3.1%-29.2%36.8%-17.4%4.1%
Skew 10d3.1%-11.2%33.5%12.3%-3.7%
Call IV 25d90.3%13.3%189.2%127.6%96.2%
Put IV 25d93.4%36.2%188.0%110.2%100.3%
Bid-Ask Spread %175.41161.92181.82177.07180.16
Gamma HHI0.910.800.980.900.94
Net GEX-54.7K-153.6K-34.6K-59.8K-57.3K
Net DEX1.3M882.5K1.8M909.5K1.4M
Net VEX-6.5K-7.0K-6.0K-6.8K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.380.380.00
Total Volume6.808340
Total OI1,207.451,1741,2461,1741,186

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$26.42$26.0056.7%16.3%8.1%0.0%12.3%-17.4%-43.0%-59.8K909.5K-6.8K0.00177.07N/AN/A04641,110
2010-05-04$26.13$26.0058.9%16.9%9.0%0.0%12.2%-29.2%-61.2%-85.0K882.5K-6.7K0.00175.62N/AN/A02641,114
2010-05-05$25.65$26.00112.2%32.2%11.1%0.0%107.0%5.9%-51.2%-51.6K1.1M-7.0K0.00177.43N/AN/A012641,114
2010-05-06$24.20$26.00125.5%36.0%23.0%0.0%134.9%6.5%-42.9%-40.3K1.3M-6.8K0.38173.50N/AN/A6023641,124
2010-05-07$24.28$25.00129.4%21.4%22.9%0.0%0.0%6.6%-70.2%-153.6K1.8M-6.3K0.00179.89N/AN/A00841,143
2010-05-10$25.04$25.00139.6%22.1%26.1%0.0%0.0%7.5%-30.9%-37.2K1.2M-7.0K0.00180.79N/AN/A30841,139
2010-05-11$25.29$25.00144.9%22.1%26.4%0.0%0.0%-4.5%-33.8%-39.7K1.1M-7.0K0.00179.12N/AN/A00871,139
2010-05-12$25.57$25.0077.9%9.0%26.7%0.0%0.0%2.0%13.4%-50.7K1.1M-6.9K0.00172.45N/AN/A00871,139
2010-05-13$25.34$25.0055.9%16.0%26.6%0.0%0.0%0.7%-15.5%-39.4K1.1M-6.9K0.00176.56N/AN/A00871,139
2010-05-14$24.97$25.0081.1%23.2%27.0%0.0%0.0%22.1%-41.5%-41.6K1.2M-6.8K0.00179.05N/AN/A00871,139
2010-05-17$24.72$25.0084.7%24.3%27.1%0.0%0.0%1.0%-42.2%-34.6K1.2M-6.7K0.00180.63N/AN/A00871,139
2010-05-18$24.57$25.0086.2%24.7%27.0%0.0%33.4%1.0%-79.5%-48.6K1.3M-6.6K0.00181.82N/AN/A02871,139
2010-05-19$24.05$25.0088.3%25.3%27.7%0.0%0.0%1.0%-88.6%-49.8K1.4M-6.3K0.00180.33N/AN/A03871,141
2010-05-20$23.23$25.0062.7%18.0%29.6%0.0%100.0%1.0%-55.6%-46.6K1.6M-6.0K0.05167.63N/AN/A221871,138
2010-05-21$23.46$22.5057.8%16.6%29.9%0.0%0.0%36.8%-44.8%-48.2K1.5M-6.1K0.00170.76N/AN/A201091,137
2010-05-24$23.65$22.5060.6%17.4%30.1%0.0%0.0%3.1%-27.7%-55.1K1.5M-6.0K0.00167.86N/AN/A00511,133
2010-05-25$23.45$22.5062.3%17.9%30.1%0.0%0.0%3.0%-29.7%-48.1K1.5M-6.0K0.00172.53N/AN/A20511,133
2010-05-26$23.66$22.5063.0%18.1%30.4%0.0%0.0%14.2%-30.1%-51.8K1.5M-6.1K0.00173.11N/AN/A00531,133
2010-05-27$24.25$22.5032.4%9.3%32.1%0.0%0.0%-3.6%4.6%-55.6K1.4M-6.3K0.00161.92N/AN/A00531,133
2010-05-28$24.13$22.5030.9%8.8%32.1%0.0%0.0%4.1%50.0%-57.3K1.4M-6.2K0.00180.16N/AN/A00531,133