PCEF Options History — February 2011 In February 2011, PCEF traded between $25.41 and $25.77. ATM implied volatility averaged 14.3%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 8.1% (HV 20d: 6.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-02-14 : Highest Volume — 63 contracts2011-02-14 : Largest IV spike — 46.6% change2011-02-09 : Highest IV Rank — 4.2%2011-02-14 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $25.62 $25.41 $25.77 $25.56 $25.69 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 14.3% 10.9% 16.5% 15.5% 13.7% Expected Move 4.1% 3.1% 4.6% 4.4% 3.9% HV 20d 6.1% 5.0% 7.6% 5.7% 7.3% HV 60d 8.3% 7.2% 9.7% 9.7% 7.6% IV Rank 3.0% 1.2% 4.2% 3.7% 2.7% IV Percentile 30.0% 5.7% 49.6% 37.8% 24.2% Term Structure -1.2% -4.2% 3.3% 0.0% -3.9% VWIV 15.8% 14.5% 17.8% 17.8% 14.5% Skew 25d -2.6% -14.7% 3.9% -5.0% -9.7% Skew 10d 0.9% -15.2% 9.7% -2.9% -4.4% Call IV 25d 18.5% 13.2% 29.4% 21.7% 21.8% Put IV 25d 15.8% 12.0% 21.9% 16.7% 12.0% Bid-Ask Spread % 33.78 16.71 90.96 36.99 43.64 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -56.0K -73.4K -43.1K -43.1K -65.9K Net DEX 300.9K 176.2K 433.4K 285.0K 367.1K Net VEX -1.3K -1.5K -911 -1.3K -1.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 7.789 0 63 0 1 Total OI 341.316 311 395 316 374
Daily Data (19 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 2011-02-01 $25.56 $25.00 15.5% 4.4% 5.7% 3.7% 0.0% -5.0% 0.0% -43.1K 285.0K -1.3K 0.00 36.99 N/A N/A 0 0 29 287 2011-02-02 $25.61 $25.00 13.0% 3.7% 5.7% 2.4% 0.0% -10.1% -1.7% -45.6K 270.0K -1.3K 0.00 45.20 N/A N/A 0 10 29 287 2011-02-03 $25.65 $25.00 14.2% 4.1% 5.6% 3.0% 17.8% -10.5% -2.2% -43.5K 266.0K -1.3K 0.00 44.71 N/A N/A 2 0 29 287 2011-02-04 $25.59 $25.00 14.2% 4.3% 5.6% 3.0% 0.0% 0.7% -1.8% -45.0K 278.5K -1.3K 0.00 45.48 N/A N/A 0 0 29 287 2011-02-07 $25.66 $25.00 13.9% 4.3% 5.7% 2.8% 0.0% 3.5% -0.9% -44.9K 252.3K -1.3K 0.00 23.82 N/A N/A 0 0 29 287 2011-02-08 $25.68 $25.00 15.7% 4.5% 5.7% 3.8% 0.0% 3.9% -1.5% -44.6K 254.3K -1.3K 0.00 20.63 N/A N/A 0 0 29 287 2011-02-09 $25.63 $25.00 16.5% 4.0% 5.8% 4.2% 0.0% -14.7% -4.2% -46.6K 250.7K -1.3K 0.00 36.77 N/A N/A 0 0 29 287 2011-02-10 $25.62 $25.00 13.8% 3.9% 5.8% 2.8% 0.0% 2.6% -1.1% -53.1K 228.0K -1.2K 0.00 24.61 N/A N/A 0 0 29 287 2011-02-11 $25.72 $25.00 10.9% 3.1% 5.9% 1.2% 0.0% 2.1% 3.3% -52.1K 199.8K -1.1K 0.00 24.86 N/A N/A 0 0 29 287 2011-02-14 $25.77 $25.00 16.0% 4.6% 5.0% 3.9% 16.1% 2.7% -3.3% -49.5K 176.2K -911 0.00 16.71 N/A N/A 0 63 24 287 2011-02-15 $25.56 $25.00 14.8% 4.3% 6.0% 3.3% 14.9% -0.2% -1.0% -59.8K 332.9K -1.4K 0.00 20.89 N/A N/A 0 25 2 350 2011-02-16 $25.68 $25.00 12.8% 3.7% 5.7% 2.2% 0.0% -1.8% 0.4% -64.7K 315.8K -1.4K 0.00 35.44 N/A N/A 0 0 0 375 2011-02-17 $25.72 $25.00 14.4% 4.1% 5.7% 3.1% 14.5% -0.7% -0.7% -60.0K 321.6K -1.4K 0.00 27.48 N/A N/A 0 20 0 375 2011-02-18 $25.74 $25.00 14.8% 4.2% 5.6% 3.3% 0.0% -0.6% -1.6% -61.9K 329.8K -1.5K 0.00 19.15 N/A N/A 0 0 0 395 2011-02-22 $25.41 $25.00 14.0% 4.0% 7.4% 2.9% 0.0% -1.7% 0.3% -66.2K 378.7K -1.4K 0.00 30.45 N/A N/A 0 17 0 347 2011-02-23 $25.45 $25.00 13.6% 3.9% 7.4% 2.7% 0.0% -12.3% -0.7% -73.4K 402.3K -1.5K 0.00 31.75 N/A N/A 0 10 0 364 2011-02-24 $25.43 $25.00 15.2% 4.4% 7.2% 3.5% 0.0% 3.8% -1.9% -71.8K 433.4K -1.5K 0.00 22.33 N/A N/A 0 0 0 374 2011-02-25 $25.61 $25.00 13.9% 4.0% 7.6% 2.8% 0.0% -2.0% -0.2% -72.5K 374.9K -1.5K 0.00 90.96 N/A N/A 0 0 0 374 2011-02-28 $25.69 $25.00 13.7% 3.9% 7.3% 2.7% 0.0% -9.7% -3.9% -65.9K 367.1K -1.4K 0.00 43.64 N/A N/A 0 1 0 374
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