PCEF Options History — December 2010

In December 2010, PCEF traded between $24.71 and $25.93. ATM implied volatility averaged 14.7%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.8% (HV 20d: 10.9%). 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 3.41.

Notable Days

  • 2010-12-17: Highest Volume — 103 contracts
  • 2010-12-06: Largest IV drop — 43.4% change
  • 2010-12-14: Highest IV Rank — 6.2%
  • 2010-12-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.30$24.71$25.93$25.93$25.38
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV14.7%8.9%20.3%17.1%16.4%
Expected Move4.2%3.0%4.9%4.9%4.7%
HV 20d10.9%8.8%13.2%13.2%9.6%
HV 60d9.5%8.9%10.0%9.1%10.0%
IV Rank3.3%0.2%6.2%4.5%4.2%
IV Percentile30.1%0.5%59.8%43.3%43.3%
Term Structure1.6%-2.6%8.5%-0.9%-0.1%
VWIV14.8%8.9%20.6%20.6%15.9%
Skew 25d1.6%-4.8%7.2%3.6%0.9%
Skew 10d1.7%-6.0%8.1%2.3%6.6%
Call IV 25d19.4%12.6%26.3%20.5%21.4%
Put IV 25d21.0%15.5%26.3%24.1%22.3%
Bid-Ask Spread %29.029.1792.9922.7825.83
Gamma HHI0.980.951.001.000.97
Net GEX-72.0K-153.9K-35.0K-38.7K-55.8K
Net DEX327.5K160.9K607.8K162.6K229.2K
Net VEX-1.4K-1.8K-883-957-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.0010.338.000.00
Total Volume22.591010305
Total OI414.273269522269522

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$25.93$25.0017.1%4.9%13.2%4.5%0.0%3.6%-0.9%-38.7K162.6K-9570.0022.78N/AN/A0010259
2010-12-02$25.93$25.0015.1%4.3%13.1%3.4%0.0%3.9%7.7%-41.9K160.9K-8830.0014.73N/AN/A01010259
2010-12-03$25.89$25.0015.8%4.5%12.7%3.8%0.0%-0.7%-1.9%-45.7K163.7K-8910.0026.53N/AN/A03210269
2010-12-06$25.90$25.008.9%3.7%12.6%0.2%20.6%7.2%8.5%-49.5K193.3K-9768.009.17N/AN/A54010301
2010-12-07$25.78$25.0012.3%3.5%12.6%2.0%14.9%0.5%-2.6%-54.7K178.4K-1.1K0.0012.26N/AN/A03215341
2010-12-08$25.55$25.0012.3%4.3%12.8%2.0%15.7%0.5%0.8%-81.1K276.4K-1.3K0.0014.55N/AN/A02515373
2010-12-09$25.45$25.0016.5%3.2%12.8%4.2%8.9%-0.0%5.1%-137.2K314.1K-1.3K0.5017.93N/AN/A10515398
2010-12-10$25.36$25.0012.4%4.4%12.6%2.0%0.0%0.8%-0.5%-100.4K337.7K-1.4K0.0015.92N/AN/A01424398
2010-12-13$25.16$25.0017.4%4.3%12.2%4.7%0.0%1.4%0.3%-128.8K426.4K-1.4K0.0044.22N/AN/A0024388
2010-12-14$25.10$25.0020.3%4.1%11.4%6.2%0.0%1.6%1.1%-90.0K450.8K-1.3K0.0046.95N/AN/A0024388
2010-12-15$24.71$25.0016.8%4.8%10.8%4.4%16.6%2.0%-0.7%-89.7K607.8K-1.3K10.3339.34N/AN/A33124388
2010-12-16$24.95$25.0014.2%4.1%10.0%3.0%14.3%2.7%0.9%-149.7K555.4K-1.4K0.0046.40N/AN/A07127419
2010-12-17$24.92$25.0016.2%4.6%8.9%4.0%16.2%2.4%-0.6%-153.9K602.0K-1.5K0.1137.73N/AN/A931027457
2010-12-20$24.85$25.0016.1%4.6%8.9%4.0%16.7%4.3%-0.5%-35.0K375.1K-1.7K0.0044.95N/AN/A02106331
2010-12-21$24.80$25.0013.0%3.7%8.8%2.3%0.0%1.3%2.0%-37.9K401.9K-1.6K0.0019.33N/AN/A07106333
2010-12-22$25.06$25.0011.4%3.3%9.8%1.5%9.7%-1.0%4.3%-43.3K300.5K-1.7K0.0021.05N/AN/A40106333
2010-12-23$25.12$25.0010.4%3.0%9.3%1.0%0.0%-3.4%4.4%-50.4K273.6K-1.6K0.0018.03N/AN/A010107333
2010-12-27$25.17$25.0013.2%3.8%9.4%2.5%13.0%-4.8%2.6%-50.1K276.7K-1.6K5.0023.21N/AN/A630107343
2010-12-28$25.12$25.0015.9%4.6%9.4%3.9%15.9%3.5%0.1%-44.7K324.3K-1.7K3.3321.07N/AN/A1240108362
2010-12-29$25.20$25.0016.2%4.7%9.5%4.1%0.0%2.4%1.6%-54.7K320.4K-1.8K0.0092.99N/AN/A00120402
2010-12-30$25.26$25.0016.2%4.6%9.3%4.0%0.0%5.3%2.9%-50.7K274.3K-1.8K0.0023.56N/AN/A00120402
2010-12-31$25.38$25.0016.4%4.7%9.6%4.2%0.0%0.9%-0.1%-55.8K229.2K-1.8K0.0025.83N/AN/A50120402