PCEF Options History — January 2011

In January 2011, PCEF traded between $25.14 and $25.52. ATM implied volatility averaged 14.0%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 6.9% (HV 20d: 7.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2011-01-21: Highest Volume — 71 contracts
  • 2011-01-13: Largest IV spike — 40.7% change
  • 2011-01-20: Highest IV Rank — 4.4%
  • 2011-01-20: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.37$25.14$25.52$25.52$25.40
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV14.0%10.9%17.0%13.9%14.9%
Expected Move4.2%3.3%4.9%4.0%4.3%
HV 20d7.1%5.1%9.8%9.8%5.6%
HV 60d9.8%9.5%10.0%10.0%9.8%
IV Rank2.9%1.3%4.4%2.8%3.3%
IV Percentile27.1%6.7%50.5%24.8%34.8%
Term Structure1.2%-1.1%5.2%4.8%-0.4%
VWIV14.8%12.0%16.7%16.0%14.9%
Skew 25d-3.9%-23.7%4.6%-0.9%-13.9%
Skew 10d-2.0%-17.9%10.0%7.3%-17.2%
Call IV 25d21.7%15.8%40.0%20.3%31.0%
Put IV 25d17.8%15.1%20.5%19.4%17.2%
Bid-Ask Spread %43.4021.2398.3030.4330.79
Gamma HHI0.990.981.000.981.00
Net GEX-68.0K-119.3K-41.8K-55.6K-47.5K
Net DEX224.8K77.0K363.9K148.0K304.9K
Net VEX-1.5K-1.7K-1.2K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.003.550.001.00
Total Volume9.807104
Total OI453.6286535527314

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$25.52$25.0013.9%4.0%9.8%2.8%0.0%-0.9%4.8%-55.6K148.0K-1.7K0.0030.43N/AN/A00125402
2011-01-04$25.48$25.0013.7%3.9%9.8%2.7%0.0%-0.5%5.2%-58.1K159.5K-1.7K0.0031.30N/AN/A20125402
2011-01-05$25.42$25.0012.6%3.6%9.8%2.1%0.0%-13.5%3.5%-65.3K168.2K-1.6K0.0030.48N/AN/A00123402
2011-01-06$25.38$25.0011.4%3.3%9.3%1.5%0.0%-23.7%5.0%-73.4K156.7K-1.6K0.0098.30N/AN/A00123402
2011-01-07$25.41$25.0013.5%4.7%9.2%2.6%0.0%3.7%0.2%-61.5K186.6K-1.6K0.0045.24N/AN/A00123402
2011-01-10$25.43$25.0014.2%4.7%9.1%3.0%0.0%3.6%-1.1%-76.2K129.3K-1.5K0.0045.57N/AN/A010123402
2011-01-11$25.45$25.0010.9%4.5%8.6%1.3%0.0%3.1%-0.7%-66.7K91.6K-1.5K0.0046.26N/AN/A00123412
2011-01-12$25.47$25.0011.3%4.5%8.5%1.5%0.0%4.6%0.4%-60.7K77.0K-1.5K0.0080.93N/AN/A00123412
2011-01-13$25.48$25.0015.9%4.6%5.9%3.9%16.0%4.2%-0.2%-53.3K93.3K-1.5K0.1247.79N/AN/A334123412
2011-01-14$25.28$25.0015.7%4.5%6.0%3.8%0.0%-0.4%0.3%-87.3K254.9K-1.5K0.0022.42N/AN/A0279414
2011-01-18$25.28$25.0015.9%4.6%6.0%3.9%0.0%-0.7%0.6%-90.7K254.6K-1.4K0.0023.16N/AN/A0079416
2011-01-19$25.15$25.0016.7%4.8%6.2%4.3%16.7%-1.1%0.2%-107.4K343.8K-1.4K0.0021.23N/AN/A02079416
2011-01-20$25.14$25.0017.0%4.9%6.1%4.4%0.0%0.5%-0.2%-119.3K363.9K-1.4K0.0080.93N/AN/A0079436
2011-01-21$25.24$25.0012.2%3.5%5.1%1.9%12.0%-14.2%2.7%-112.3K226.7K-1.4K0.1892.81N/AN/A601179436
2011-01-24$25.33$25.0014.2%4.1%5.2%3.0%0.0%-2.9%1.6%-41.8K306.0K-1.3K0.0028.44N/AN/A0016270
2011-01-25$25.33$25.0013.9%4.0%5.2%2.8%0.0%-3.1%1.3%-43.7K312.3K-1.2K0.0029.28N/AN/A0016270
2011-01-26$25.46$25.0014.2%4.1%5.4%3.0%14.3%1.3%0.5%-44.6K300.7K-1.2K3.5525.95N/AN/A113916270
2011-01-27$25.47$25.0013.2%3.8%5.3%2.4%0.0%-13.2%1.4%-46.3K298.8K-1.4K0.0029.08N/AN/A0027287
2011-01-28$25.32$25.0014.3%4.1%5.7%3.1%0.0%-11.8%-0.7%-47.6K318.6K-1.4K0.0027.64N/AN/A0027287
2011-01-31$25.40$25.0014.9%4.3%5.6%3.3%14.9%-13.9%-0.4%-47.5K304.9K-1.4K1.0030.79N/AN/A2227287