PCEF Options History — June 2010

In June 2010, PCEF traded between $23.84 and $24.73. ATM implied volatility averaged 38.6%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 18.4% (HV 20d: 20.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-06-02: Highest Volume — 10 contracts
  • 2010-06-23: Largest IV spike — 279.2% change
  • 2010-06-03: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.32$23.84$24.73$24.09$24.09
Max Pain$24.55$22.50$25.00$22.50$25.00
ATM IV38.6%11.8%81.8%62.6%20.0%
Expected Move9.2%3.4%20.3%18.0%5.7%
HV 20d20.2%12.4%32.0%31.9%13.5%
HV 60d20.2%20.0%20.5%20.5%20.5%
Term Structure1.4%-16.3%38.6%-0.0%3.2%
VWIV14.1%14.1%14.1%14.1%14.1%
Skew 25d21.5%-2.1%107.5%17.8%13.2%
Skew 10d14.0%-17.9%120.2%-2.9%4.2%
Call IV 25d29.6%13.9%70.1%29.8%16.2%
Put IV 25d51.0%17.1%129.2%47.6%29.4%
Bid-Ask Spread %128.8376.61200.00175.7486.99
Gamma HHI0.960.651.000.950.98
Net GEX-95.1K-205.5K-850-57.4K-114.3K
Net DEX1.5M-43.4K2.0M1.4M2.0M
Net VEX-5.1K-6.1K-6-6.0K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.68201020
Total OI1,139.545291,2001,1861,185

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$24.09$22.5062.6%18.0%31.9%0.0%0.0%17.8%-0.0%-57.4K1.4M-6.0K0.00175.74N/AN/A20531,133
2010-06-02$24.25$22.5068.9%19.7%32.0%0.0%0.0%28.5%-16.1%-58.2K1.4M-6.1K0.00176.67N/AN/A010551,133
2010-06-03$24.37$22.5071.0%20.3%31.6%0.0%0.0%27.2%-16.3%-205.5K1.9M-5.4K0.00176.75N/AN/A00551,143
2010-06-04$23.89$25.0069.2%11.6%24.9%0.0%0.0%-2.1%-6.8%-29.3K1.2M-6.0K0.00154.67N/AN/A00551,143
2010-06-07$23.84$25.0081.8%11.8%24.9%0.0%0.0%34.0%-8.5%-55.7K1.5M-5.9K0.00164.08N/AN/A00551,143
2010-06-08$23.95$25.0076.6%11.6%22.0%0.0%0.0%46.4%-5.7%-58.2K1.5M-5.8K0.00164.17N/AN/A00551,143
2010-06-09$23.94$25.0081.3%12.1%21.6%0.0%0.0%38.3%38.5%-44.3K1.4M-5.9K0.00148.30N/AN/A20551,143
2010-06-10$24.35$25.0016.4%4.7%22.2%0.0%0.0%5.8%0.3%-120.7K1.8M-5.0K0.00100.04N/AN/A10571,143
2010-06-11$24.49$25.0017.5%5.0%22.2%0.0%0.0%4.8%-1.0%-134.3K1.8M-4.9K0.0096.97N/AN/A00571,143
2010-06-14$24.40$22.5048.7%14.0%21.7%0.0%0.0%0.0%0.0%-850-43.4K-60.00200.00N/AN/A00227
2010-06-15$24.59$25.0015.5%4.5%21.6%0.0%0.0%6.8%1.0%-135.7K1.7M-5.3K0.0076.61N/AN/A010571,143
2010-06-16$24.64$25.0014.6%4.2%21.5%0.0%0.0%7.6%1.6%-139.2K1.7M-5.3K0.0079.10N/AN/A00571,143
2010-06-17$24.65$25.0012.4%3.6%20.0%0.0%0.0%49.5%38.6%-44.7K1.2M-5.8K0.00127.49N/AN/A00571,143
2010-06-18$24.70$25.0015.7%4.5%14.8%0.0%0.0%7.2%0.4%-142.5K1.6M-5.3K0.0077.54N/AN/A10571,143
2010-06-21$24.73$25.0013.9%4.0%14.6%0.0%14.1%3.8%-0.2%-162.2K1.7M-5.1K0.0087.71N/AN/A100351,141
2010-06-22$24.43$25.0013.8%4.0%15.3%0.0%0.0%22.3%-3.7%-88.5K1.5M-5.6K0.00108.44N/AN/A00451,141
2010-06-23$24.41$25.0052.3%15.0%14.9%0.0%0.0%107.5%-3.9%-41.8K1.3M-5.6K0.00160.68N/AN/A00451,141
2010-06-24$24.23$25.0052.2%15.0%15.0%0.0%0.0%11.3%-0.7%-42.2K1.3M-5.5K0.00160.06N/AN/A00451,141
2010-06-25$24.38$25.0011.8%3.4%12.4%0.0%0.0%3.0%-0.9%-143.6K1.4M-5.4K0.00128.09N/AN/A00451,141
2010-06-28$24.53$25.0014.9%4.3%12.4%0.0%0.0%5.1%6.6%-154.1K1.9M-4.6K0.0096.93N/AN/A00451,141
2010-06-29$24.16$25.0017.7%5.1%13.7%0.0%0.0%12.9%3.5%-119.6K2.0M-4.2K0.0087.21N/AN/A01451,141
2010-06-30$24.09$25.0020.0%5.7%13.5%0.0%0.0%13.2%3.2%-114.3K2.0M-4.3K0.0086.99N/AN/A00451,140