PCEF Options History — September 2010

In September 2010, PCEF traded between $25.50 and $26.14. ATM implied volatility averaged 18.0%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 10.5% (HV 20d: 7.4%). 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 9 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-09-08: Highest Volume — 41 contracts
  • 2010-09-24: Largest IV spike — 169.3% change
  • 2010-09-24: Highest IV Rank — 23.0%
  • 2010-09-24: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.87$25.50$26.14$25.50$26.14
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV18.0%10.4%52.0%13.4%18.9%
Expected Move5.2%3.0%14.9%3.8%5.4%
HV 20d7.4%5.4%8.9%8.6%5.4%
HV 60d8.8%7.5%9.8%9.8%7.5%
IV Rank6.7%2.9%23.0%5.9%5.5%
IV Percentile40.7%19.9%68.4%42.9%43.1%
Term Structure-1.4%-34.2%6.9%3.9%-3.4%
VWIV18.0%11.2%30.3%11.2%14.4%
Skew 25d-2.9%-47.6%8.0%1.5%-1.4%
Skew 10d5.6%-4.2%14.2%5.0%5.9%
Call IV 25d25.9%16.4%121.0%18.2%25.9%
Put IV 25d23.1%17.0%73.4%19.7%24.5%
Bid-Ask Spread %92.1659.73159.9659.7398.91
Gamma HHI0.980.941.001.000.99
Net GEX-117.6K-379.6K-9.5K-379.6K-18.9K
Net DEX283.7K-14.2K1.2M773.7K9.3K
Net VEX-1.2K-3.1K-552-2.6K-663
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.004.334.330.00
Total Volume6.5710411612
Total OI8361831,3291,308204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$25.50$25.0013.4%3.8%8.6%0.0%11.2%1.5%3.9%-379.6K773.7K-2.6K4.3359.73N/AN/A313811,227
2010-09-02$25.57$25.0010.4%3.0%8.7%0.0%30.3%0.4%6.9%-90.8K1.2M-3.1K0.0092.37N/AN/A020811,240
2010-09-03$25.67$25.0010.8%3.7%8.8%0.0%15.8%0.5%5.0%-93.7K1.1M-3.0K0.0090.64N/AN/A01811,247
2010-09-07$25.62$25.0012.2%3.8%8.7%0.0%0.0%0.9%4.7%-276.4K353.3K-1.6K0.0083.85N/AN/A00811,248
2010-09-08$25.74$25.0019.6%4.9%8.9%0.0%17.3%-1.8%-8.2%-362.0K472.7K-1.8K0.0088.38N/AN/A041811,248
2010-09-09$25.85$25.0013.9%4.0%7.3%0.0%0.0%-1.4%4.1%-194.8K638.8K-2.0K0.0087.21N/AN/A00811,245
2010-09-10$25.98$25.0013.6%3.9%7.4%0.0%0.0%6.2%2.4%-159.2K150.7K-1.1K0.0088.41N/AN/A00811,245
2010-09-13$26.04$25.0014.8%4.3%7.2%0.0%0.0%-1.8%-3.1%-131.0K86.9K-8610.0088.18N/AN/A01811,245
2010-09-14$26.01$25.0014.8%4.3%7.1%0.0%0.0%8.0%2.4%-126.5K90.1K-8880.0082.48N/AN/A00811,246
2010-09-15$25.78$25.0019.7%5.6%7.8%5.9%0.0%-0.3%-1.9%-200.9K322.8K-1.1K0.0083.93N/AN/A011371,246
2010-09-16$25.77$25.0020.6%5.9%7.8%6.4%0.0%0.1%-3.8%-182.0K282.0K-1.1K0.0088.94N/AN/A20371,257
2010-09-17$25.77$25.0019.9%5.7%7.4%6.0%0.0%-0.8%-2.4%-113.5K176.0K-8790.0076.56N/AN/A00391,257
2010-09-20$25.91$25.0018.9%5.4%7.6%5.5%19.0%-0.0%-1.2%-16.6K38.5K-7050.0084.25N/AN/A01639144
2010-09-21$25.89$25.0018.4%5.3%7.6%5.2%0.0%-4.3%0.9%-16.6K45.8K-7410.0095.94N/AN/A01239147
2010-09-22$25.90$25.0018.6%5.3%7.3%5.3%0.0%-4.6%-1.5%-17.4K43.7K-7330.0089.01N/AN/A0039149
2010-09-23$25.88$25.0019.3%5.5%7.3%5.7%0.0%-4.6%-0.9%-18.7K56.1K-7710.0095.94N/AN/A0039159
2010-09-24$26.02$25.0052.0%14.9%6.6%23.0%0.0%-47.6%-34.2%-9.5K58.4K-8770.00159.96N/AN/A0039159
2010-09-27$26.02$25.0017.1%4.9%6.4%4.5%0.0%-0.3%5.4%-19.1K35.0K-7060.0099.57N/AN/A6039159
2010-09-28$26.11$25.0016.3%4.7%6.1%4.1%0.0%-1.1%-1.8%-23.4K-14.2K-5520.0095.59N/AN/A0045159
2010-09-29$26.12$25.0014.1%4.0%6.1%2.9%0.0%-7.7%-1.8%-19.5K17.7K-6430.00105.58N/AN/A0045159
2010-09-30$26.14$25.0018.9%5.4%5.4%5.5%14.4%-1.4%-3.4%-18.9K9.3K-6630.0098.91N/AN/A12045159