PCEF Options History — July 2010

In July 2010, PCEF traded between $23.94 and $25.21. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 9.6% (HV 20d: 11.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2010-07-07: Highest Volume — 47 contracts
  • 2010-07-08: Largest IV spike — 386.4% change
  • 2010-07-08: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.67$23.94$25.21$23.95$25.21
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV20.6%8.5%82.8%22.6%8.5%
Expected Move5.2%2.4%20.7%6.5%2.4%
HV 20d11.1%8.3%13.5%13.5%8.3%
HV 60d20.7%20.4%20.8%20.5%20.4%
Term Structure-1.5%-16.7%5.3%-6.3%2.5%
VWIV13.4%11.4%16.9%16.9%11.5%
Skew 25d2.9%-13.8%73.5%4.0%-12.2%
Skew 10d0.9%-10.0%76.5%-3.9%-10.0%
Call IV 25d21.4%13.6%31.7%16.0%31.7%
Put IV 25d24.2%12.2%92.3%19.9%19.5%
Bid-Ask Spread %92.6473.21158.6195.8395.00
Gamma HHI0.990.951.000.971.00
Net GEX-196.7K-395.2K-41.8K-111.3K-377.2K
Net DEX1.7M1.2M2.2M2.1M1.2M
Net VEX-4.3K-5.3K-3.1K-3.7K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.500.001.22
Total Volume6.85704700
Total OI1,221.3331,1851,2641,1851,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$23.95$25.0022.6%6.5%13.5%0.0%0.0%4.0%-6.3%-111.3K2.1M-3.7K0.0095.83N/AN/A00451,140
2010-07-02$23.94$25.0023.1%6.6%11.4%0.0%0.0%4.1%-7.4%-111.5K2.2M-3.4K0.0095.83N/AN/A00451,140
2010-07-06$23.94$0.0024.7%5.0%11.4%0.0%0.0%-1.4%5.3%-112.1K2.2M-3.1K0.00105.89N/AN/A90451,140
2010-07-07$24.29$0.0017.0%4.4%12.4%0.0%16.9%-5.3%-0.5%-131.3K1.8M-4.5K0.00102.03N/AN/A470541,140
2010-07-08$24.42$25.0082.8%20.7%12.5%0.0%0.0%-13.8%-16.7%-41.8K1.3M-5.3K0.00148.51N/AN/A00791,140
2010-07-09$24.62$25.0019.9%4.3%11.3%0.0%0.0%5.4%0.1%-163.0K1.8M-4.5K0.0085.69N/AN/A00791,140
2010-07-12$24.60$25.0023.3%4.4%11.2%0.0%0.0%5.6%-0.3%-158.0K1.8M-4.4K0.0085.80N/AN/A00791,140
2010-07-13$24.79$25.0023.0%4.2%11.4%0.0%0.0%5.6%-0.6%-197.8K1.7M-4.5K0.0082.88N/AN/A05791,140
2010-07-14$24.71$25.0027.3%4.6%11.2%0.0%0.0%5.8%-1.7%-196.6K1.8M-4.3K0.0083.96N/AN/A00791,145
2010-07-15$24.57$25.0013.9%4.0%11.3%0.0%13.9%7.1%-0.3%-168.1K1.8M-4.4K2.5079.20N/AN/A820791,145
2010-07-16$24.49$25.0013.7%3.9%11.4%0.0%0.0%8.7%-0.3%-171.8K1.9M-4.1K0.0082.52N/AN/A00871,145
2010-07-19$24.55$25.0013.6%3.9%11.4%0.0%0.0%7.1%-0.3%-182.7K1.9M-4.0K0.0082.57N/AN/A00771,140
2010-07-20$24.70$25.0012.6%3.6%11.6%0.0%0.0%3.6%-0.5%-215.7K1.8M-4.2K0.0079.76N/AN/A03771,140
2010-07-21$24.69$25.0042.4%12.2%10.7%0.0%0.0%73.5%-8.8%-66.6K1.3M-4.8K0.00158.61N/AN/A30771,137
2010-07-22$24.97$25.0011.2%3.2%11.3%0.0%0.0%-1.1%1.7%-231.6K1.5M-4.5K0.0076.55N/AN/A110801,137
2010-07-23$25.06$25.0011.0%3.2%10.9%0.0%0.0%-3.4%1.9%-266.2K1.4M-4.5K0.0073.24N/AN/A00891,137
2010-07-26$25.17$25.0011.4%3.3%10.8%0.0%11.4%-9.6%1.6%-231.3K1.3M-4.5K1.2273.21N/AN/A911891,137
2010-07-27$25.16$25.0010.2%2.9%10.7%0.0%0.0%-9.0%-0.1%-280.7K1.3M-4.5K0.0086.59N/AN/A07981,148
2010-07-28$25.07$25.009.7%2.8%9.0%0.0%0.0%-7.0%0.9%-320.1K1.4M-4.4K0.0088.21N/AN/A010981,155
2010-07-29$25.15$25.0011.2%3.2%8.8%0.0%11.5%-7.8%-1.2%-395.2K1.3M-4.3K0.0083.61N/AN/A01981,165
2010-07-30$25.21$25.008.5%2.4%8.3%0.0%0.0%-12.2%2.5%-377.2K1.2M-4.3K0.0095.00N/AN/A00981,166