PCEF Options History — August 2011

In August 2011, PCEF traded between $22.46 and $25.41. ATM implied volatility averaged 25.4%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 6.3% (HV 20d: 31.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 11.81.

Notable Days

  • 2011-08-22: Highest Volume — 98 contracts
  • 2011-08-30: Largest IV spike — 296.3% change
  • 2011-08-31: Highest IV Rank — 100.0%
  • 2011-08-31: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.06$22.46$25.41$25.41$24.49
Max Pain$29.13$25.00$30.00$25.00$30.00
ATM IV25.4%10.9%85.9%10.9%85.9%
Expected Move6.9%2.8%24.6%3.1%24.6%
HV 20d31.7%10.3%39.1%10.3%39.1%
HV 60d19.7%9.0%23.7%9.0%23.6%
IV Rank22.2%2.7%100.0%2.7%100.0%
IV Percentile71.1%15.1%100.0%15.1%100.0%
Term Structure-9.0%-52.9%2.1%-0.0%-52.9%
VWIV19.7%9.8%27.6%9.8%27.6%
Skew 25d0.8%-23.4%12.4%-23.4%7.2%
Skew 10d-4.6%-24.2%8.9%-23.7%8.9%
Call IV 25d32.4%11.5%153.9%36.4%153.9%
Put IV 25d33.2%11.3%161.1%13.0%161.1%
Bid-Ask Spread %102.7482.04164.6189.90164.33
Gamma HHI0.800.591.001.000.59
Net GEX-27.1K-58.9K-11.9K-56.4K-16.5K
Net DEX406.2K259.4K572.9K259.4K315.6K
Net VEX-1.1K-1.8K-665-974-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.810.0046.000.001.23
Total Volume15.47809850
Total OI316.826264410275410

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$25.41$25.0010.9%3.1%10.3%2.7%0.0%-23.4%-0.0%-56.4K259.4K-9740.0089.90N/AN/A059266
2011-08-02$25.26$25.0012.2%3.5%10.4%4.5%0.0%-18.7%-0.9%-58.9K307.1K-1.0K0.0089.30N/AN/A009271
2011-08-03$25.30$25.0011.9%3.4%10.4%4.0%0.0%-20.2%-0.7%-58.3K292.6K-1.0K0.0087.71N/AN/A009271
2011-08-04$24.47$25.0011.3%3.2%15.0%3.2%9.8%1.8%-4.2%-22.3K372.1K-9410.0096.93N/AN/A0229271
2011-08-05$24.16$30.0014.8%2.8%15.3%8.1%0.0%-1.5%-3.1%-24.3K446.2K-1.1K0.00105.99N/AN/A0219272
2011-08-08$22.46$30.0034.6%7.0%28.9%34.9%0.0%-0.3%-6.4%-11.9K565.8K-6650.00112.09N/AN/A209290
2011-08-09$23.48$30.0032.1%5.8%34.2%31.4%0.0%1.8%-7.5%-21.7K513.0K-6650.00116.13N/AN/A0209290
2011-08-10$23.18$30.0026.4%6.7%34.2%23.7%23.5%1.6%-7.0%-17.3K572.9K-8560.00104.42N/AN/A069300
2011-08-11$23.87$30.0026.6%7.6%36.4%24.1%0.0%-7.9%-14.1%-24.6K538.9K-1.0K0.00108.73N/AN/A309306
2011-08-12$24.02$30.0015.2%4.4%36.6%8.6%0.0%10.7%-4.8%-28.6K476.6K-9010.0097.36N/AN/A03612306
2011-08-15$24.36$30.0014.5%4.2%37.2%7.7%0.0%3.2%-4.8%-31.3K431.6K-8030.0084.70N/AN/A0119270
2011-08-16$24.16$30.0014.2%4.1%37.1%7.3%0.0%-4.7%-5.5%-26.5K397.6K-9320.0089.37N/AN/A009281
2011-08-17$24.33$30.0017.3%5.0%37.2%11.4%0.0%-1.7%-6.1%-32.3K426.1K-8560.0087.83N/AN/A009281
2011-08-18$23.71$30.0026.4%7.6%37.9%23.8%0.0%10.3%-8.7%-21.6K456.4K-1.1K0.0087.32N/AN/A029281
2011-08-19$23.37$30.0025.6%7.3%38.0%22.6%16.4%1.4%-10.6%-20.1K493.3K-96446.00104.29N/AN/A1469283
2011-08-22$23.40$30.0026.3%7.5%38.0%23.6%25.8%8.0%-5.9%-17.7K421.6K-9851.2382.04N/AN/A445410254
2011-08-23$23.77$30.0014.6%4.2%38.7%7.7%15.1%11.5%-5.3%-18.7K349.3K-1.4K0.0097.10N/AN/A01354283
2011-08-24$23.84$30.0014.1%4.0%38.5%7.1%0.0%11.7%-4.4%-20.7K343.3K-1.5K0.0096.03N/AN/A0254289
2011-08-25$23.70$30.0026.0%7.5%38.5%23.2%0.0%10.0%-2.3%-19.7K365.0K-1.5K0.0096.02N/AN/A05054289
2011-08-26$23.96$30.0020.6%5.9%38.8%15.9%27.6%12.4%2.1%-25.8K379.6K-1.6K0.00100.20N/AN/A01854339
2011-08-29$24.38$30.0020.8%6.0%39.0%16.1%0.0%-1.2%-3.3%-31.7K283.5K-8190.00100.55N/AN/A0054356
2011-08-30$24.40$30.0082.4%23.6%39.0%99.7%0.0%7.1%-50.6%-17.0K334.9K-1.8K0.00164.61N/AN/A0054356
2011-08-31$24.49$30.0085.9%24.6%39.1%100.0%0.0%7.2%-52.9%-16.5K315.6K-1.8K0.00164.33N/AN/A0054356