PCEF Options History — May 2011

In May 2011, PCEF traded between $25.91 and $26.38. ATM implied volatility averaged 13.9%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 8.4% (HV 20d: 5.5%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-05-18: Highest Volume — 10 contracts
  • 2011-05-12: Largest IV drop — 62.2% change
  • 2011-05-11: Highest IV Rank — 22.3%
  • 2011-05-31: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.12$25.91$26.38$26.07$26.38
Max Pain$29.05$25.00$30.00$25.00$30.00
ATM IV13.9%9.6%26.4%15.2%19.1%
Expected Move3.4%2.7%5.5%4.4%5.5%
HV 20d5.5%4.5%6.3%4.6%6.1%
HV 60d6.5%6.2%6.8%6.5%6.2%
IV Rank5.4%1.3%22.3%4.9%14.3%
IV Percentile35.4%2.4%88.5%51.6%85.3%
Term Structure-2.2%-4.9%5.5%-3.9%-3.4%
VWIV8.1%8.1%8.1%8.1%8.1%
Skew 25d-4.3%-12.4%-0.4%-10.3%-3.2%
Skew 10d-3.7%-9.6%3.2%-8.2%2.6%
Call IV 25d17.2%12.5%29.5%27.2%19.8%
Put IV 25d12.8%9.4%17.6%16.9%16.6%
Bid-Ask Spread %95.5085.06109.09108.3294.73
Gamma HHI1.000.991.001.000.99
Net GEX-47.2K-72.1K-18.5K-51.0K-33.1K
Net DEX148.6K48.2K260.8K260.8K235.5K
Net VEX-645-1.3K-94-1.3K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.61901000
Total OI373.429317396396317

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$26.07$25.0015.2%4.4%4.6%4.9%0.0%-10.3%-3.9%-51.0K260.8K-1.3K0.00108.32N/AN/A000396
2011-05-03$26.07$25.0015.0%4.3%4.6%4.8%0.0%-10.1%-2.9%-57.3K103.8K-3240.00108.47N/AN/A000396
2011-05-04$26.04$25.0015.6%4.5%4.5%5.2%0.0%-11.1%-4.9%-56.0K97.5K-2940.00108.52N/AN/A000396
2011-05-05$25.91$25.0014.8%4.2%4.9%4.6%0.0%-12.4%-4.0%-72.1K226.7K-1.2K0.00109.09N/AN/A000396
2011-05-06$26.01$30.0016.1%2.7%5.0%5.6%0.0%-2.1%-2.3%-57.3K96.1K-2910.0098.48N/AN/A000396
2011-05-09$26.11$30.0018.9%2.9%5.1%7.6%0.0%-2.0%-2.8%-28.0K56.9K-1300.0098.07N/AN/A000396
2011-05-10$26.25$30.0021.2%3.0%5.2%9.3%0.0%-2.0%-3.3%-18.5K48.2K-940.0097.62N/AN/A000396
2011-05-11$26.14$30.0026.4%2.9%5.3%22.3%0.0%-2.5%4.1%-32.0K240.9K-1.1K0.0097.85N/AN/A000396
2011-05-12$26.27$30.0010.0%2.9%5.5%1.8%0.0%-0.9%-2.2%-48.6K116.3K-5020.0097.55N/AN/A000396
2011-05-13$26.08$30.009.6%2.7%6.3%1.3%0.0%-2.9%-2.4%-59.3K130.2K-5230.0098.13N/AN/A000396
2011-05-16$26.03$30.0011.2%3.2%5.9%3.3%0.0%-1.1%1.8%-58.2K228.3K-1.0K0.0098.37N/AN/A000396
2011-05-17$25.97$30.0011.1%3.2%5.9%3.2%0.0%-1.6%-2.8%-66.4K147.4K-5550.0098.53N/AN/A000396
2011-05-18$26.10$30.0011.5%3.3%6.0%3.7%8.1%-5.5%-3.6%-52.9K219.7K-9900.0085.21N/AN/A0100396
2011-05-19$26.14$30.0010.2%2.9%5.7%2.2%0.0%-3.5%-3.2%-48.0K123.5K-6430.0085.27N/AN/A000396
2011-05-20$26.16$30.0010.2%2.9%5.7%2.3%0.0%-3.1%-3.2%-45.5K93.0K-3560.0085.18N/AN/A000396
2011-05-23$26.02$30.0010.4%3.0%6.0%2.6%0.0%-4.7%-3.8%-51.1K132.0K-6310.0085.65N/AN/A000317
2011-05-24$26.09$30.0010.8%3.1%5.9%3.1%0.0%-3.8%-0.4%-46.5K202.1K-9490.0085.40N/AN/A000317
2011-05-25$26.18$30.0010.4%3.0%6.0%2.6%0.0%-3.9%-4.0%-39.3K77.2K-2730.0085.19N/AN/A000317
2011-05-26$26.22$30.0011.0%3.2%6.0%3.3%0.0%-4.2%-4.4%-36.6K73.0K-2680.0085.06N/AN/A000317
2011-05-27$26.31$30.0013.4%3.8%6.1%6.5%0.0%-0.4%5.5%-33.0K211.1K-1.1K0.0094.89N/AN/A300317
2011-05-31$26.38$30.0019.1%5.5%6.1%14.3%0.0%-3.2%-3.4%-33.1K235.5K-1.1K0.0094.73N/AN/A000317