PCEF Options History — March 2011

In March 2011, PCEF traded between $25.06 and $25.81. ATM implied volatility averaged 12.5%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 4.7% (HV 20d: 7.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-03-25: Highest Volume — 37 contracts
  • 2011-03-10: Largest IV drop — 31.8% change
  • 2011-03-09: Highest IV Rank — 4.2%
  • 2011-03-16: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.60$25.06$25.81$25.67$25.72
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV12.5%9.8%16.6%13.0%10.5%
Expected Move3.4%2.8%4.4%3.7%3.0%
HV 20d7.9%7.0%9.5%7.3%7.9%
HV 60d7.1%6.5%7.6%7.6%6.8%
IV Rank2.1%0.7%4.2%2.4%1.0%
IV Percentile19.0%1.6%54.3%17.8%5.2%
Term Structure-2.9%-7.5%-0.0%-2.4%-4.0%
Skew 25d-6.8%-21.7%3.8%-10.2%-21.7%
Skew 10d-3.4%-25.5%8.5%-4.7%-25.5%
Call IV 25d19.9%12.9%34.4%21.8%34.4%
Put IV 25d13.0%7.8%20.5%11.7%12.7%
Bid-Ask Spread %35.2211.7797.4544.0615.09
Gamma HHI1.000.991.001.001.00
Net GEX-70.0K-148.9K-33.2K-70.3K-46.4K
Net DEX325.5K247.4K499.2K357.1K278.4K
Net VEX-1.2K-1.4K-1.0K-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.600.600.600.60
Total Volume3.69603700
Total OI327.391209384375264

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$25.67$25.0013.0%3.7%7.3%2.4%0.0%-10.2%-2.4%-70.3K357.1K-1.4K0.0044.06N/AN/A000375
2011-03-02$25.71$25.0014.1%4.1%7.0%3.0%0.0%-10.5%-3.9%-67.5K357.8K-1.4K0.0044.52N/AN/A000375
2011-03-03$25.80$25.0015.2%4.4%7.0%3.5%0.0%-12.5%-6.0%-63.9K336.2K-1.4K0.0042.44N/AN/A000375
2011-03-04$25.76$25.0012.9%4.0%7.0%2.3%0.0%2.6%-4.2%-69.2K333.0K-1.4K0.0025.31N/AN/A000375
2011-03-07$25.74$25.0015.3%3.3%7.0%3.6%0.0%2.8%-1.2%-71.0K336.7K-1.3K0.0034.25N/AN/A000375
2011-03-08$25.81$25.0014.9%3.2%7.0%3.3%0.0%0.8%-1.0%-69.5K312.2K-1.3K0.0038.65N/AN/A050375
2011-03-09$25.79$25.0016.6%3.2%7.0%4.2%0.0%0.8%-0.3%-68.7K341.0K-1.3K0.0038.35N/AN/A000380
2011-03-10$25.63$25.0011.3%3.2%7.3%1.5%0.0%2.9%-1.4%-75.4K378.4K-1.3K0.0036.16N/AN/A010380
2011-03-11$25.73$25.0011.5%3.3%7.5%1.6%0.0%2.2%-0.9%-70.4K353.9K-1.3K0.0031.92N/AN/A000380
2011-03-14$25.60$25.0012.2%3.5%7.5%1.9%0.0%3.8%-1.6%-76.6K289.0K-1.0K0.0027.63N/AN/A040380
2011-03-15$25.30$25.0013.7%3.9%8.5%2.7%0.0%-0.9%-0.2%-117.1K369.2K-1.2K0.0022.72N/AN/A000384
2011-03-16$25.06$25.0015.3%4.4%8.7%3.6%0.0%3.7%-2.4%-128.0K499.2K-1.2K0.0097.45N/AN/A000384
2011-03-17$25.20$25.0013.0%3.7%8.8%2.3%0.0%-1.0%-0.2%-148.9K400.8K-1.1K0.0037.18N/AN/A000384
2011-03-18$25.26$25.0012.7%3.6%8.8%2.2%0.0%-5.6%-0.3%-134.2K365.6K-1.1K0.0035.50N/AN/A000384
2011-03-21$25.49$25.009.8%2.8%9.5%0.7%0.0%-16.7%-0.0%-33.2K256.3K-1.0K0.0045.15N/AN/A0300209
2011-03-22$25.50$25.0010.4%3.0%8.3%1.0%0.0%-17.1%-3.2%-39.0K288.5K-1.2K0.0047.13N/AN/A000239
2011-03-23$25.58$25.0010.1%2.9%8.3%0.8%0.0%-18.8%-1.6%-37.6K283.8K-1.2K0.0045.52N/AN/A000239
2011-03-24$25.63$25.0010.3%3.0%8.3%0.9%0.0%-19.8%-5.2%-41.2K256.0K-1.2K0.0044.62N/AN/A000239
2011-03-25$25.70$25.0010.6%3.0%8.0%1.1%0.0%-9.8%-6.1%-42.7K247.4K-1.1K0.0014.42N/AN/A0370239
2011-03-28$25.69$25.0011.6%3.3%7.9%1.6%0.0%-10.3%-7.5%-47.9K283.0K-1.3K0.6015.09N/AN/A530267
2011-03-29$25.70$25.0011.7%3.3%7.9%1.7%0.0%-10.8%-6.8%-43.3K290.8K-1.3K0.0015.09N/AN/A000264
2011-03-30$25.75$25.0011.9%3.4%8.0%1.8%0.0%-10.9%-6.6%-47.0K272.4K-1.3K0.0011.77N/AN/A000264
2011-03-31$25.72$25.0010.5%3.0%7.9%1.0%0.0%-21.7%-4.0%-46.4K278.4K-1.3K0.0015.09N/AN/A000264