PCEF Options History — October 2011

In October 2011, PCEF traded between $22.02 and $24.11. ATM implied volatility averaged 97.5%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 79.7% (HV 20d: 17.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.06.

Notable Days

  • 2011-10-04: Highest Volume — 22 contracts
  • 2011-10-06: Largest IV spike — 163.5% change
  • 2011-10-12: Highest IV Rank — 80.4%
  • 2011-10-06: Largest Expected Move — 38.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.20$22.02$24.11$22.30$23.84
Max Pain$23.13$22.50$25.00$25.00$22.50
ATM IV97.5%49.0%146.7%121.4%78.1%
Expected Move24.4%14.1%38.1%34.8%22.4%
HV 20d17.8%15.3%19.4%15.3%15.9%
HV 60d25.4%24.6%25.9%24.6%25.0%
IV Rank51.6%23.4%80.4%65.6%40.4%
IV Percentile93.6%87.3%99.2%98.8%87.3%
Term Structure-13.8%-49.2%44.2%-40.5%24.0%
VWIV123.2%123.2%123.2%123.2%123.2%
Skew 25d54.8%-14.5%120.8%118.4%94.4%
Skew 10d27.7%-18.2%121.5%84.9%38.6%
Call IV 25d79.5%23.7%146.1%41.1%64.7%
Put IV 25d134.4%99.1%177.2%159.5%159.2%
Bid-Ask Spread %164.79160.60167.17160.60165.52
Gamma HHI0.570.500.780.520.61
Net GEX-9.8K-15.5K-7.7K-9.0K-8.4K
Net DEX276.9K205.5K396.8K340.7K215.9K
Net VEX-1.4K-1.6K-1.3K-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.190.000.19
Total Volume4.048022200
Total OI357.762294395357294

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$22.30$25.00121.4%34.8%15.3%65.6%123.2%118.4%-40.5%-9.0K340.7K-1.4K0.00160.60N/AN/A20055302
2011-10-04$22.02$22.5085.2%24.4%15.6%44.5%0.0%110.7%35.8%-7.7K311.0K-1.5K0.00162.35N/AN/A02275302
2011-10-05$22.36$22.5050.4%14.4%15.8%24.2%0.0%120.8%44.2%-9.9K396.8K-1.4K0.00164.64N/AN/A0075320
2011-10-06$22.66$22.50132.8%38.1%17.0%72.2%0.0%31.1%-49.2%-8.4K310.5K-1.6K0.00165.95N/AN/A0075320
2011-10-07$22.66$0.00138.5%17.5%16.6%75.6%0.0%0.7%-18.2%-7.8K302.5K-1.6K0.00167.11N/AN/A0075320
2011-10-10$23.12$0.00145.3%18.0%18.5%79.5%0.0%3.5%-18.7%-9.1K298.4K-1.6K0.00167.11N/AN/A0075320
2011-10-11$23.12$0.00125.8%24.4%18.2%68.2%0.0%0.7%-19.3%-9.0K343.0K-1.4K0.00167.04N/AN/A0075320
2011-10-12$23.24$0.00146.7%24.6%18.4%80.4%0.0%2.1%-19.6%-8.9K287.5K-1.6K0.00166.33N/AN/A02075320
2011-10-13$23.16$0.0087.0%24.9%18.4%45.5%0.0%2.8%-19.2%-8.9K278.4K-1.5K0.00167.17N/AN/A0075310
2011-10-14$23.28$0.0087.9%25.2%18.5%46.1%0.0%4.2%-19.5%-9.4K260.9K-1.5K0.00166.60N/AN/A0075310
2011-10-17$23.06$0.0049.0%14.1%18.7%23.4%0.0%-14.5%-22.3%-9.5K276.9K-1.5K0.00166.67N/AN/A0075310
2011-10-18$23.36$0.0093.0%26.7%19.4%49.1%0.0%5.1%-22.2%-10.5K235.6K-1.4K0.00166.34N/AN/A4075310
2011-10-19$23.28$0.0094.7%27.2%19.0%50.1%0.0%4.2%-23.3%-12.8K266.7K-1.4K0.19166.74N/AN/A16371310
2011-10-20$23.28$0.0096.3%27.6%17.7%51.0%0.0%91.7%-24.2%-15.5K285.2K-1.4K0.00162.89N/AN/A0055307
2011-10-21$23.55$0.0097.3%27.9%18.0%51.5%0.0%98.7%-24.2%-12.8K263.3K-1.4K0.00162.25N/AN/A0055307
2011-10-24$23.69$0.00102.4%29.4%18.1%54.5%0.0%104.0%-26.9%-10.2K238.0K-1.3K0.00161.90N/AN/A0054240
2011-10-25$23.42$0.0064.6%18.5%18.3%32.5%0.0%92.4%-0.5%-9.5K248.6K-1.3K0.00162.07N/AN/A0054240
2011-10-26$23.66$0.00106.7%30.6%18.3%57.0%0.0%108.4%-29.5%-9.6K229.1K-1.3K0.00161.56N/AN/A0054240
2011-10-27$24.06$0.0071.0%20.3%19.1%36.2%0.0%85.4%-43.3%-10.8K219.7K-1.3K0.00165.03N/AN/A0054240
2011-10-28$24.11$0.0072.5%20.8%18.1%37.1%0.0%87.2%26.1%-8.8K205.5K-1.3K0.00164.66N/AN/A0054240
2011-10-31$23.84$0.0078.1%22.4%15.9%40.4%0.0%94.4%24.0%-8.4K215.9K-1.3K0.00165.52N/AN/A0054240