PCEF Options History — August 2010

In August 2010, PCEF traded between $25.15 and $25.77. ATM implied volatility averaged 15.2%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 7.0% (HV 20d: 8.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2010-08-09: Highest Volume — 44 contracts
  • 2010-08-09: Largest IV spike — 81.8% change
  • 2010-08-13: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.46$25.15$25.77$25.49$25.26
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV15.2%9.3%18.3%10.4%15.6%
Expected Move4.3%3.0%5.2%3.0%4.5%
HV 20d8.1%7.0%8.9%8.7%8.0%
HV 60d12.8%9.7%16.5%16.5%9.7%
Term Structure1.1%-7.0%6.6%6.6%2.9%
VWIV16.1%15.3%17.4%15.3%16.1%
Skew 25d-8.2%-37.8%5.3%-19.4%1.5%
Skew 10d-6.2%-39.5%9.5%-21.2%3.2%
Call IV 25d27.6%11.2%54.6%34.9%19.4%
Put IV 25d19.4%14.1%27.6%15.5%20.9%
Bid-Ask Spread %66.5045.3290.1589.9456.56
Gamma HHI0.990.991.000.991.00
Net GEX-287.0K-412.5K-193.7K-267.2K-341.4K
Net DEX925.0K414.6K1.3M887.0K1.2M
Net VEX-3.4K-4.0K-2.6K-4.0K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.001.00
Total Volume11.136044220
Total OI1,286.4551,2571,3121,2641,308

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$25.49$25.0010.4%3.0%8.7%0.0%0.0%-19.4%6.6%-267.2K887.0K-4.0K0.0089.94N/AN/A220981,166
2010-08-03$25.53$25.0011.7%3.4%8.7%0.0%0.0%-23.0%-2.6%-312.6K734.7K-3.6K0.0090.15N/AN/A001031,166
2010-08-04$25.62$25.0011.9%3.4%7.6%0.0%0.0%0.5%1.6%-372.4K573.3K-3.2K0.0089.16N/AN/A201031,166
2010-08-05$25.61$25.0015.1%4.3%7.6%0.0%15.3%-24.9%-7.0%-331.5K650.1K-3.3K0.0084.81N/AN/A4001011,166
2010-08-06$25.68$25.009.3%3.0%7.3%0.0%0.0%-22.7%2.2%-412.5K414.6K-2.6K0.0069.02N/AN/A2001011,166
2010-08-09$25.77$25.0016.9%3.6%7.2%0.0%0.0%-9.2%4.1%-312.1K535.8K-2.8K0.0055.94N/AN/A0441011,166
2010-08-10$25.76$25.0016.9%3.7%7.0%0.0%15.5%-24.9%5.0%-312.3K587.1K-3.1K0.0056.01N/AN/A0221011,192
2010-08-11$25.40$25.0011.8%4.1%8.9%0.0%0.0%-37.8%0.3%-350.2K981.9K-3.5K0.0060.60N/AN/A001011,192
2010-08-12$25.42$25.0013.4%3.8%8.5%0.0%0.0%-25.1%6.1%-213.3K1.1M-3.9K0.0063.50N/AN/A001011,192
2010-08-13$25.32$25.0018.3%5.2%8.5%0.0%0.0%-27.0%-0.5%-193.7K1.2M-4.0K0.0059.90N/AN/A0111011,192
2010-08-16$25.44$25.0017.4%5.0%8.6%0.0%17.4%2.8%-0.5%-226.7K1.0M-3.8K0.0063.60N/AN/A011011,203
2010-08-17$25.54$25.0017.1%4.9%8.5%0.0%0.0%2.6%-0.1%-211.1K895.4K-3.6K0.0066.12N/AN/A071011,204
2010-08-18$25.59$25.0017.1%4.9%8.4%0.0%0.0%2.6%-0.5%-234.5K846.0K-3.5K0.0066.12N/AN/A001011,211
2010-08-19$25.43$25.0017.2%4.9%8.1%0.0%0.0%2.8%-0.9%-267.3K1.0M-3.5K0.0064.25N/AN/A001011,211
2010-08-20$25.46$25.0015.2%4.4%8.1%0.0%0.0%5.0%-1.7%-201.7K1.0M-3.6K0.0087.69N/AN/A2501011,211
2010-08-23$25.48$25.0017.2%4.9%7.9%0.0%0.0%5.3%0.4%-302.4K977.1K-3.1K1.0052.30N/AN/A1010711,186
2010-08-24$25.34$25.0017.2%4.9%8.2%0.0%0.0%3.4%3.3%-230.6K1.1M-3.4K0.0066.52N/AN/A08811,196
2010-08-25$25.36$25.0016.5%4.7%8.1%0.0%0.0%1.5%1.0%-312.2K1.1M-3.3K0.0053.63N/AN/A00811,204
2010-08-26$25.15$25.0016.8%4.8%8.6%0.0%0.0%1.9%0.6%-262.0K1.3M-3.4K0.0055.20N/AN/A00811,204
2010-08-27$25.30$25.0014.5%4.2%8.8%0.0%0.0%1.4%2.7%-328.1K1.1M-3.2K0.0045.32N/AN/A00811,204
2010-08-30$25.20$25.0016.1%4.6%8.0%0.0%16.1%1.8%1.5%-318.0K1.2M-3.1K0.0066.61N/AN/A023811,204
2010-08-31$25.26$25.0015.6%4.5%8.0%0.0%0.0%1.5%2.9%-341.4K1.2M-3.0K0.0056.56N/AN/A00811,227