PCEF Options History — September 2011

In September 2011, PCEF traded between $22.86 and $24.45. ATM implied volatility averaged 87.7%, placing in the 54.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 69.7% (HV 20d: 18.0%). 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 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-09-12: Highest Volume — 66 contracts
  • 2011-09-21: Largest IV spike — 696.6% change
  • 2011-09-02: Highest IV Rank — 100.0%
  • 2011-09-30: Largest Expected Move — 32.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.74$22.86$24.45$24.45$22.86
Max Pain$25.48$25.00$30.00$30.00$25.00
ATM IV87.7%11.8%180.4%83.1%113.7%
Expected Move18.0%3.4%32.6%23.8%32.6%
HV 20d18.0%12.7%37.2%37.2%13.4%
HV 60d23.8%23.6%24.2%23.6%24.2%
IV Rank54.4%1.7%100.0%96.3%61.1%
IV Percentile90.7%24.2%100.0%99.6%98.4%
Term Structure-5.9%-61.4%37.4%-56.3%-36.3%
VWIV93.4%93.4%93.4%93.4%93.4%
Skew 25d55.9%-15.3%118.4%7.3%-15.3%
Skew 10d35.1%-85.0%118.4%11.4%-69.5%
Call IV 25d33.9%10.1%157.3%157.3%35.4%
Put IV 25d89.7%18.5%164.6%164.6%20.1%
Bid-Ask Spread %145.0534.42200.00159.79154.40
Gamma HHI0.580.510.700.600.54
Net GEX-13.4K-18.7K-5.0K-18.7K-10.1K
Net DEX339.6K90.2K502.2K323.2K332.8K
Net VEX-1.6K-1.8K-478-1.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.23806601
Total OI375.04884458410356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$24.45$30.0083.1%23.8%37.2%96.3%0.0%7.3%-56.3%-18.7K323.2K-1.7K0.00159.79N/AN/A0054356
2011-09-02$24.22$30.0089.8%25.7%37.1%100.0%0.0%-8.9%-61.4%-17.4K354.8K-1.7K0.00164.43N/AN/A0054356
2011-09-06$24.01$25.00148.1%20.8%25.5%100.0%0.0%48.8%-25.6%-11.7K347.0K-1.7K0.00151.02N/AN/A0054356
2011-09-07$24.34$25.00113.1%8.1%20.8%74.8%0.0%27.0%37.2%-17.9K347.3K-1.6K0.00142.45N/AN/A0054356
2011-09-08$24.24$25.00126.7%8.4%20.2%84.6%0.0%45.9%37.2%-17.0K359.0K-1.6K0.00143.21N/AN/A0054356
2011-09-09$23.92$25.00118.5%6.3%18.2%78.8%0.0%28.1%37.2%-17.7K368.6K-1.6K0.00133.14N/AN/A0054356
2011-09-12$23.83$25.0066.9%8.3%18.1%41.7%0.0%84.1%37.4%-18.3K398.5K-1.6K0.00161.09N/AN/A06654356
2011-09-13$23.99$25.00180.4%13.3%17.5%100.0%0.0%88.5%34.2%-17.6K479.8K-1.7K0.00160.96N/AN/A03054389
2011-09-14$24.04$25.0023.5%6.7%17.3%8.5%0.0%0.0%-5.3%-5.0K90.2K-4780.00200.00N/AN/A00183
2011-09-15$24.05$25.0049.5%14.2%17.1%23.7%0.0%101.3%33.7%-11.8K500.2K-1.8K0.00152.03N/AN/A0054404
2011-09-16$24.04$25.0048.3%13.9%14.3%23.0%0.0%103.9%33.6%-9.8K502.2K-1.8K0.00153.18N/AN/A01054404
2011-09-19$23.92$25.0012.3%3.5%13.3%2.0%0.0%8.8%-0.8%-17.6K291.5K-1.6K0.0058.12N/AN/A0354305
2011-09-20$23.90$25.0011.8%3.4%13.3%1.7%0.0%9.6%0.4%-17.1K285.6K-1.6K0.0034.42N/AN/A0054302
2011-09-21$23.62$25.0093.9%26.9%12.9%49.6%0.0%99.1%-22.2%-10.8K291.6K-1.7K0.00162.24N/AN/A0054302
2011-09-22$23.16$25.0096.6%27.7%14.5%51.1%0.0%102.6%-24.6%-10.0K304.5K-1.7K0.00162.89N/AN/A0054302
2011-09-23$23.08$25.0098.5%28.2%14.5%52.2%0.0%-10.3%-25.9%-10.0K315.9K-1.6K0.00146.88N/AN/A0054302
2011-09-26$23.19$25.0094.1%27.0%13.9%49.7%0.0%100.9%-22.7%-10.5K313.6K-1.6K0.00151.02N/AN/A0054302
2011-09-27$23.40$25.00105.2%30.2%12.7%56.1%0.0%111.7%-29.3%-10.6K302.8K-1.6K0.00153.95N/AN/A0054302
2011-09-28$23.16$25.0057.8%16.6%12.9%28.5%0.0%66.3%-31.7%-11.7K315.4K-1.6K0.00153.45N/AN/A0054302
2011-09-29$23.19$25.00110.3%31.6%12.8%59.1%0.0%118.4%-33.0%-10.2K307.9K-1.6K0.00147.34N/AN/A0054302
2011-09-30$22.86$25.00113.7%32.6%13.4%61.1%93.4%-15.3%-36.3%-10.1K332.8K-1.5K0.00154.40N/AN/A1054302