PCEF Options History — April 2011

In April 2011, PCEF traded between $25.53 and $26.01. ATM implied volatility averaged 13.6%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 8.0% (HV 20d: 5.6%). 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 4 of 20 days.

Notable Days

  • 2011-04-07: Highest Volume — 75 contracts
  • 2011-04-14: Largest IV drop — 42.2% change
  • 2011-04-12: Highest IV Rank — 9.5%
  • 2011-04-01: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.77$25.53$26.01$25.73$26.01
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV13.6%8.9%21.6%13.9%10.2%
Expected Move3.1%2.5%4.0%4.0%2.9%
HV 20d5.6%3.8%7.9%7.8%4.5%
HV 60d6.7%6.5%6.9%6.8%6.5%
IV Rank3.1%0.3%9.5%2.8%1.2%
IV Percentile31.4%0.4%78.6%33.3%4.8%
Term Structure-1.6%-9.1%3.3%-9.1%1.9%
VWIV13.8%13.6%13.9%13.9%13.6%
Skew 25d-5.0%-25.2%8.2%-11.6%-25.2%
Skew 10d-1.3%-34.1%15.8%-4.4%-34.1%
Call IV 25d17.2%11.9%38.4%21.8%38.4%
Put IV 25d12.3%6.8%20.7%10.2%13.2%
Bid-Ask Spread %33.1610.1798.5112.8798.51
Gamma HHI1.000.991.001.001.00
Net GEX-64.0K-79.7K-37.9K-48.2K-57.1K
Net DEX310.3K127.5K399.4K267.6K339.7K
Net VEX-1.3K-1.7K-457-1.3K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume10.8075020
Total OI355.05264396264396

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$25.73$25.0013.9%4.0%7.8%2.8%0.0%-11.6%-9.1%-48.2K267.6K-1.3K0.0012.87N/AN/A000264
2011-04-04$25.72$25.0019.5%3.6%7.8%5.8%0.0%8.2%-0.5%-37.9K313.2K-1.3K0.0097.71N/AN/A0560264
2011-04-05$25.81$25.0014.7%2.5%7.9%3.3%0.0%-2.2%-1.7%-48.2K295.4K-1.4K0.0046.98N/AN/A000301
2011-04-06$25.84$25.0017.1%3.1%7.9%4.5%0.0%1.5%-0.1%-44.5K305.3K-1.4K0.0030.74N/AN/A000301
2011-04-07$25.87$25.0014.5%3.4%7.5%3.1%13.9%3.7%-0.1%-42.5K310.7K-1.4K0.0021.08N/AN/A0750301
2011-04-08$25.82$25.0018.9%3.5%7.5%5.5%0.0%4.3%-0.2%-58.7K393.7K-1.7K0.0022.70N/AN/A000376
2011-04-11$25.74$25.0017.2%3.3%7.3%4.6%0.0%3.8%-0.5%-61.6K397.2K-1.6K0.0020.03N/AN/A000376
2011-04-12$25.66$25.0021.6%3.1%5.9%9.5%0.0%2.8%3.3%-69.3K399.4K-1.6K0.0018.75N/AN/A090376
2011-04-13$25.71$25.0020.2%3.1%4.5%8.6%0.0%1.8%-0.7%-79.7K300.6K-1.1K0.0017.67N/AN/A000367
2011-04-14$25.74$25.0011.7%3.4%4.2%2.3%13.6%2.8%-1.0%-79.1K302.3K-1.1K0.0020.57N/AN/A090367
2011-04-15$25.59$25.009.6%2.7%4.9%0.8%0.0%-4.6%-0.3%-70.0K368.3K-1.5K0.0045.45N/AN/A000376
2011-04-18$25.53$25.009.9%2.8%3.8%1.0%0.0%-12.9%1.0%-72.1K372.3K-1.5K0.0032.39N/AN/A000351
2011-04-19$25.59$25.008.9%2.6%3.9%0.3%0.0%-13.1%2.9%-71.0K343.1K-1.5K0.0031.32N/AN/A030351
2011-04-20$25.74$25.009.5%2.7%4.3%0.7%0.0%-8.2%-5.7%-74.3K275.2K-1.2K0.0012.84N/AN/A0420354
2011-04-21$25.83$25.0010.6%3.0%4.4%1.5%0.0%-8.5%-5.5%-78.7K279.3K-1.4K0.0011.86N/AN/A000396
2011-04-25$25.80$25.0011.1%3.2%4.3%1.9%0.0%-8.7%-2.1%-72.5K351.9K-1.7K0.0086.72N/AN/A000396
2011-04-26$25.90$25.0011.6%3.3%4.5%2.2%0.0%-8.5%-5.9%-65.1K305.5K-1.4K0.0012.40N/AN/A020396
2011-04-27$25.93$25.0012.2%3.5%4.5%2.7%0.0%-8.6%-6.3%-75.4K157.6K-5410.0010.17N/AN/A000396
2011-04-28$25.93$25.009.3%2.7%4.5%0.6%0.0%-16.5%-1.5%-74.9K127.5K-4570.0012.40N/AN/A000396
2011-04-29$26.01$25.0010.2%2.9%4.5%1.2%0.0%-25.2%1.9%-57.1K339.7K-1.6K0.0098.51N/AN/A0200396