PCEF Options History — October 2010

In October 2010, PCEF traded between $25.98 and $26.56. ATM implied volatility averaged 16.1%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 10.0% (HV 20d: 6.2%). 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 8 of 21 days. Put/call ratio averaged 3.05.

Notable Days

2010-10-12: Highest Volume — 41 contracts
2010-10-14: Largest IV drop — 58.9% change
2010-10-13: Highest IV Rank — 13.1%
2010-10-15: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.23	$25.98	$26.56	$26.25	$26.15
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	16.1%	10.4%	33.3%	15.4%	12.1%
Expected Move	3.8%	3.0%	5.2%	4.4%	3.5%
HV 20d	6.2%	4.1%	7.2%	5.5%	6.7%
HV 60d	7.2%	7.0%	7.5%	7.4%	7.0%
IV Rank	4.0%	1.0%	13.1%	3.6%	1.9%
IV Percentile	24.7%	3.3%	61.0%	25.4%	13.9%
Term Structure	0.0%	-2.4%	6.9%	-2.4%	-1.1%
VWIV	20.5%	17.8%	22.0%	17.8%	21.8%
Skew 25d	2.3%	-5.6%	9.1%	-5.6%	-1.1%
Skew 10d	2.7%	-11.0%	10.6%	-11.0%	-5.1%
Call IV 25d	15.8%	12.8%	26.1%	26.1%	17.5%
Put IV 25d	18.0%	12.8%	23.1%	20.5%	16.4%
Bid-Ask Spread %	87.72	67.94	105.43	105.43	95.08
Gamma HHI	0.98	0.92	1.00	0.99	1.00
Net GEX	-23.4K	-34.6K	-9.8K	-16.5K	-31.8K
Net DEX	60.3K	-63.5K	136.4K	-33.9K	79.3K
Net VEX	-648	-826	-446	-616	-517
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.05	0.00	15.00	0.00	15.00
Total Volume	5.762	0	41	0	0
Total OI	217.762	201	229	214	218

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-10-01	$26.25	$25.00	15.4%	4.4%	5.5%	3.6%	0.0%	-5.6%	-2.4%	-16.5K	-33.9K	-616	0.00	105.43	N/A	N/A	0	0	55	159
2010-10-04	$26.13	$25.00	13.8%	4.1%	5.8%	2.8%	17.8%	1.3%	-0.8%	-18.8K	-17.0K	-621	0.00	81.25	N/A	N/A	0	21	55	159
2010-10-05	$26.26	$25.00	15.9%	4.2%	5.8%	3.9%	0.0%	5.8%	0.5%	-14.6K	-25.1K	-688	0.00	67.94	N/A	N/A	0	0	55	174
2010-10-06	$26.24	$25.00	15.8%	4.1%	5.7%	3.9%	0.0%	6.9%	1.9%	-14.2K	-14.7K	-695	0.00	82.70	N/A	N/A	0	0	55	168
2010-10-07	$26.29	$25.00	19.2%	3.9%	5.6%	5.7%	0.0%	6.3%	-0.7%	-9.8K	1.7K	-826	0.00	84.86	N/A	N/A	0	0	55	168
2010-10-08	$26.38	$25.00	20.4%	4.0%	5.5%	6.3%	0.0%	7.4%	2.0%	-20.5K	-63.5K	-446	0.00	84.34	N/A	N/A	1	0	55	168
2010-10-11	$26.39	$25.00	25.5%	3.8%	5.4%	9.0%	0.0%	6.5%	-1.9%	-11.7K	-11.4K	-748	0.00	88.18	N/A	N/A	8	0	56	168
2010-10-12	$26.48	$25.00	32.9%	4.4%	5.5%	12.9%	22.0%	9.0%	-2.1%	-11.9K	5.3K	-744	0.00	79.39	N/A	N/A	0	41	49	168
2010-10-13	$26.56	$25.00	33.3%	4.4%	4.1%	13.1%	21.8%	9.1%	-2.4%	-15.9K	101.2K	-704	0.00	77.80	N/A	N/A	0	3	9	209
2010-10-14	$26.40	$25.00	13.7%	3.9%	4.9%	2.7%	0.0%	7.7%	-2.3%	-17.5K	106.5K	-732	0.00	88.18	N/A	N/A	3	0	9	212
2010-10-15	$26.08	$25.00	18.0%	5.2%	6.8%	5.0%	0.0%	0.6%	-1.2%	-29.8K	105.3K	-639	0.25	79.88	N/A	N/A	4	1	9	212
2010-10-18	$26.13	$25.00	10.6%	3.0%	6.6%	1.1%	0.0%	-1.9%	-0.6%	-24.1K	121.0K	-661	0.00	81.87	N/A	N/A	0	21	4	197
2010-10-19	$25.98	$25.00	13.4%	3.8%	6.9%	2.6%	0.0%	0.9%	5.8%	-33.0K	124.0K	-701	0.00	88.99	N/A	N/A	0	2	4	207
2010-10-20	$26.12	$25.00	10.4%	3.0%	7.2%	1.0%	0.0%	-0.3%	0.4%	-28.2K	136.4K	-691	0.00	95.09	N/A	N/A	0	0	4	209
2010-10-21	$26.14	$25.00	10.5%	3.0%	7.2%	1.0%	0.0%	-2.5%	6.9%	-30.5K	100.0K	-590	15.00	94.99	N/A	N/A	1	15	4	209
2010-10-22	$26.17	$25.00	14.0%	4.0%	6.9%	2.9%	0.0%	1.2%	-1.2%	-33.6K	104.9K	-615	0.00	86.10	N/A	N/A	0	0	5	213
2010-10-25	$26.21	$25.00	10.7%	3.1%	7.0%	1.2%	0.0%	-1.1%	0.7%	-28.5K	127.4K	-675	0.00	94.98	N/A	N/A	0	0	5	213
2010-10-26	$26.18	$25.00	11.2%	3.2%	6.9%	1.4%	0.0%	-1.8%	-0.3%	-34.6K	78.4K	-513	0.00	94.99	N/A	N/A	0	0	5	213
2010-10-27	$26.16	$25.00	10.9%	3.1%	6.9%	1.2%	0.0%	-0.1%	0.6%	-34.4K	118.3K	-561	0.00	95.09	N/A	N/A	0	0	5	213
2010-10-28	$26.15	$25.00	11.2%	3.2%	6.9%	1.4%	0.0%	-0.3%	-0.8%	-31.2K	123.0K	-615	0.00	95.09	N/A	N/A	0	0	5	213
2010-10-29	$26.15	$25.00	12.1%	3.5%	6.7%	1.9%	0.0%	-1.1%	-1.1%	-31.8K	79.3K	-517	0.00	95.08	N/A	N/A	0	0	5	213