PCEF Options History — July 2011 In July 2011, PCEF traded between $25.06 and $26.33. ATM implied volatility averaged 22.2%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 13.8% (HV 20d: 8.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2011-07-25 : Highest Volume — 50 contracts2011-07-18 : Largest IV spike — 713.9% change2011-07-18 : Highest IV Rank — 100.0%2011-07-18 : Largest Expected Move — 23.7%Monthly Statistics Metric Avg Min Max Open Close Price $25.90 $25.06 $26.33 $26.22 $25.06 Max Pain $26.00 $25.00 $30.00 $30.00 $25.00 ATM IV 22.2% 10.2% 82.6% 20.4% 13.1% Expected Move 4.7% 2.9% 23.7% 5.9% 3.8% HV 20d 8.4% 6.3% 10.1% 10.1% 9.0% HV 60d 7.6% 7.2% 8.5% 7.2% 8.5% IV Rank 23.5% 2.2% 100.0% 16.0% 6.1% IV Percentile 57.8% 5.2% 100.0% 93.3% 36.1% Term Structure -2.9% -19.5% 1.1% -7.1% -1.9% VWIV 14.0% 13.3% 14.6% 14.6% 13.3% Skew 25d -3.1% -16.1% 63.7% -13.3% -11.2% Skew 10d -0.4% -24.5% 13.9% -5.7% -20.4% Call IV 25d 20.2% 12.5% 51.8% 29.7% 29.2% Put IV 25d 17.0% 7.6% 115.5% 16.4% 18.0% Bid-Ask Spread % 95.92 72.39 155.84 105.48 88.21 Gamma HHI 0.99 0.92 1.00 0.97 0.99 Net GEX -24.0K -49.1K -6.6K -13.2K -49.1K Net DEX 153.0K 62.8K 309.3K 146.3K 309.3K Net VEX -731 -882 -388 -858 -882 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 6.1 0 50 0 20 Total OI 177.9 163 255 170 255
Daily Data (20 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 2011-07-01 $26.22 $30.00 20.4% 5.9% 10.1% 16.0% 0.0% -13.3% -7.1% -13.2K 146.3K -858 0.00 105.48 N/A N/A 0 0 14 156 2011-07-05 $26.20 $0.00 20.5% 3.4% 9.9% 16.2% 0.0% -4.9% -1.1% -15.0K 138.9K -823 0.00 95.02 N/A N/A 0 0 14 156 2011-07-06 $26.19 $0.00 23.6% 3.7% 9.9% 20.3% 0.0% -5.7% -1.2% -13.7K 147.2K -835 0.00 95.02 N/A N/A 0 0 14 156 2011-07-07 $26.33 $0.00 27.3% 4.0% 9.9% 25.3% 0.0% -5.7% -1.6% -12.7K 142.4K -820 0.00 94.75 N/A N/A 0 0 14 156 2011-07-08 $26.27 $0.00 28.7% 4.0% 9.9% 46.3% 0.0% -5.8% -1.7% -12.9K 146.4K -822 0.00 94.82 N/A N/A 0 0 13 156 2011-07-11 $26.08 $0.00 32.2% 3.7% 9.6% 54.4% 0.0% -3.8% -1.7% -14.6K 153.6K -803 0.00 95.26 N/A N/A 0 0 13 156 2011-07-12 $26.08 $0.00 36.0% 3.8% 9.2% 63.2% 0.0% 0.0% -1.8% -14.7K 153.3K -798 0.00 95.26 N/A N/A 0 0 13 156 2011-07-13 $26.09 $0.00 40.9% 3.8% 9.0% 74.5% 0.0% -4.0% -1.8% -15.0K 155.6K -780 0.00 95.26 N/A N/A 0 0 11 156 2011-07-14 $25.97 $0.00 10.4% 3.0% 7.0% 4.3% 0.0% 0.5% -1.1% -22.9K 126.5K -720 0.00 86.84 N/A N/A 0 0 11 156 2011-07-15 $25.88 $0.00 10.2% 2.9% 6.9% 3.7% 0.0% -6.5% -0.8% -28.6K 92.3K -470 0.00 95.95 N/A N/A 0 0 9 156 2011-07-18 $25.72 $0.00 82.6% 23.7% 7.4% 100.0% 0.0% 63.7% -19.5% -6.6K 164.5K -789 0.00 155.84 N/A N/A 0 0 9 154 2011-07-19 $25.84 $0.00 10.2% 2.9% 7.5% 2.2% 0.0% -6.8% 1.1% -24.0K 138.5K -660 0.00 96.16 N/A N/A 0 0 9 154 2011-07-20 $25.91 $0.00 10.7% 3.1% 6.3% 3.0% 0.0% -4.7% -1.0% -28.9K 78.1K -453 0.00 95.95 N/A N/A 0 0 9 154 2011-07-21 $26.06 $0.00 13.0% 3.7% 6.6% 6.0% 0.0% -6.5% -1.5% -21.0K 123.7K -631 0.00 95.32 N/A N/A 0 0 9 154 2011-07-22 $26.06 $0.00 11.6% 3.3% 6.5% 4.2% 0.0% -4.9% -1.3% -25.2K 62.8K -388 0.00 95.48 N/A N/A 0 0 9 154 2011-07-25 $25.78 $0.00 14.3% 4.1% 7.5% 7.8% 14.6% -1.5% -2.6% -27.1K 122.8K -676 0.00 81.36 N/A N/A 0 50 9 154 2011-07-26 $25.73 $25.00 10.9% 3.1% 7.5% 3.1% 0.0% -7.8% -6.8% -42.7K 154.6K -761 0.00 96.65 N/A N/A 0 0 9 204 2011-07-27 $25.32 $25.00 13.3% 3.8% 9.2% 6.4% 13.3% -14.4% -2.9% -48.6K 241.6K -839 0.00 87.42 N/A N/A 0 10 9 204 2011-07-28 $25.20 $25.00 13.8% 4.0% 9.0% 7.1% 0.0% -16.1% -1.9% -44.2K 261.4K -811 0.00 72.39 N/A N/A 0 42 9 204 2011-07-29 $25.06 $25.00 13.1% 3.8% 9.0% 6.1% 0.0% -11.2% -1.9% -49.1K 309.3K -882 0.00 88.21 N/A N/A 0 20 9 246
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