PCEF Options History — June 2011

In June 2011, PCEF traded between $25.33 and $26.33. ATM implied volatility averaged 14.6%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 6.7% (HV 20d: 7.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-06-03: Highest Volume — 25 contracts
  • 2011-06-09: Largest IV drop — 32.2% change
  • 2011-06-08: Highest IV Rank — 17.3%
  • 2011-06-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.85$25.33$26.33$26.33$26.07
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV14.6%10.6%21.4%19.3%18.3%
Expected Move3.8%2.9%5.5%5.5%5.2%
HV 20d7.9%5.9%9.9%6.1%9.9%
HV 60d6.5%5.7%7.1%6.2%7.1%
IV Rank8.2%2.7%17.3%14.4%13.1%
IV Percentile47.9%11.5%92.9%86.1%84.9%
Term Structure-4.0%-11.8%-0.1%-3.7%-5.8%
VWIV24.6%22.6%26.6%26.6%22.6%
Skew 25d-11.1%-23.4%-3.4%-3.8%-14.2%
Skew 10d-6.2%-20.5%3.7%2.6%-6.4%
Call IV 25d24.1%18.2%33.3%20.4%28.7%
Put IV 25d13.0%9.3%18.7%16.6%14.5%
Bid-Ask Spread %104.0694.83107.2594.83105.78
Gamma HHI1.000.991.000.990.99
Net GEX-40.2K-96.9K-14.2K-34.5K-14.2K
Net DEX190.8K97.8K292.4K238.9K153.4K
Net VEX-909-1.2K-514-1.1K-855
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.001.501.500.00
Total Volume2.95502505
Total OI262168331317170

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$26.33$30.0019.3%5.5%6.1%14.4%0.0%-3.8%-3.7%-34.5K238.9K-1.1K0.0094.83N/AN/A000317
2011-06-02$26.29$30.0018.9%5.4%6.2%14.0%0.0%-3.4%-3.3%-35.6K235.9K-1.1K0.0094.89N/AN/A070317
2011-06-03$26.18$0.0019.0%3.8%6.1%14.1%0.0%-9.3%-11.8%-43.1K209.8K-1.0K1.50105.52N/AN/A10150317
2011-06-06$26.07$0.0020.6%3.8%6.1%16.2%0.0%-7.7%-3.0%-40.6K251.3K-1.2K0.00105.73N/AN/A0010317
2011-06-07$26.17$0.0017.7%2.9%6.1%12.3%0.0%-6.8%-2.3%-27.5K98.6K-5140.00105.64N/AN/A0010317
2011-06-08$26.05$0.0021.4%3.8%6.0%17.3%0.0%-7.7%-2.9%-42.2K254.0K-1.1K0.00105.87N/AN/A0010317
2011-06-09$26.11$0.0014.5%4.2%5.9%8.0%0.0%-7.8%-3.9%-39.0K260.9K-1.1K0.00105.62N/AN/A0010317
2011-06-10$25.85$0.0012.8%3.7%6.6%5.7%0.0%-6.5%-3.4%-44.7K292.4K-1.1K0.00106.30N/AN/A0010317
2011-06-13$25.69$0.0011.8%3.4%6.5%4.4%0.0%-5.3%-2.5%-62.4K168.4K-7170.00101.49N/AN/A01010317
2011-06-14$25.85$0.0011.7%3.4%6.9%4.3%26.6%-11.0%-4.8%-44.1K119.0K-6290.00106.34N/AN/A0410317
2011-06-15$25.45$30.0010.6%3.0%8.8%2.7%0.0%-16.0%-0.1%-78.4K248.0K-9890.00102.64N/AN/A0010317
2011-06-16$25.33$30.0011.4%3.3%8.6%3.9%0.0%-13.1%-1.1%-96.9K259.1K-9530.00100.06N/AN/A4010317
2011-06-17$25.38$30.0011.7%3.3%8.6%4.2%0.0%-13.3%-0.7%-85.3K234.2K-9320.00100.03N/AN/A0014317
2011-06-20$25.41$30.0011.6%3.3%8.6%4.1%0.0%-16.1%-1.7%-26.3K182.5K-8810.00102.69N/AN/A0014154
2011-06-21$25.72$30.0011.6%3.3%9.7%4.1%0.0%-12.2%-7.4%-29.4K97.8K-5730.00107.00N/AN/A0014154
2011-06-22$25.73$30.0011.7%3.3%9.6%4.2%0.0%-12.8%-4.3%-26.1K141.4K-8600.00106.77N/AN/A0514154
2011-06-23$25.79$30.0012.2%3.5%9.6%4.9%0.0%-13.4%-7.7%-24.3K157.1K-8970.00106.75N/AN/A0014159
2011-06-24$25.69$30.0011.0%3.2%9.6%3.4%0.0%-23.4%-1.8%-27.0K148.0K-8760.00107.25N/AN/A0014159
2011-06-27$25.76$30.0014.0%4.0%9.6%7.4%0.0%-14.0%-10.8%-21.4K172.8K-8830.00106.75N/AN/A0014159
2011-06-28$25.89$30.0014.8%4.2%9.7%8.4%0.0%-14.2%-3.5%-26.2K115.4K-7970.00106.35N/AN/A0014159
2011-06-29$25.99$30.0014.8%4.3%9.9%8.5%0.0%-12.3%-1.4%-15.7K159.6K-8711.50105.10N/AN/A2314159
2011-06-30$26.07$30.0018.3%5.2%9.9%13.1%22.6%-14.2%-5.8%-14.2K153.4K-8550.00105.78N/AN/A5014156