PCEF Options History — November 2011

In November 2011, PCEF traded between $22.80 and $24.02. ATM implied volatility averaged 34.6%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 20.7% (HV 20d: 13.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2011-11-07: Highest Volume — 10 contracts
  • 2011-11-25: Largest IV spike — 712.5% change
  • 2011-11-01: Highest IV Rank — 66.8%
  • 2011-11-01: Largest Expected Move — 35.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.47$22.80$24.02$23.58$23.50
Max Pain$24.74$20.00$25.00$20.00$25.00
ATM IV34.6%12.3%123.4%123.4%15.7%
Expected Move9.5%3.2%35.4%35.4%4.5%
HV 20d13.9%12.0%15.7%15.7%13.2%
HV 60d16.1%14.9%20.0%20.0%15.5%
IV Rank15.0%2.0%66.8%66.8%4.0%
IV Percentile67.0%26.2%96.8%96.8%54.4%
Term Structure-12.6%-90.4%-0.5%-40.6%-0.5%
VWIV31.2%11.5%50.9%50.9%11.5%
Skew 25d0.9%-50.7%97.8%97.8%4.2%
Skew 10d-6.1%-94.4%29.8%29.8%5.8%
Call IV 25d22.5%11.4%68.8%68.8%13.7%
Put IV 25d23.4%10.2%166.6%166.6%17.9%
Bid-Ask Spread %100.1713.62165.93165.9313.62
Gamma HHI0.640.500.880.880.54
Net GEX-12.6K-17.6K-6.2K-8.7K-14.6K
Net DEX292.4K196.8K379.5K274.3K304.5K
Net VEX-916-1.2K-634-1.1K-674
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.001.001.000.00
Total Volume0.90501001
Total OI305.286294311294306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$23.58$0.00123.4%35.4%15.7%66.8%0.0%97.8%-40.6%-8.7K274.3K-1.1K0.00165.93N/AN/A0054240
2011-11-02$23.71$0.0023.3%6.7%15.1%8.4%50.9%0.3%-6.6%-14.1K288.8K-9631.00120.20N/AN/A2254240
2011-11-03$23.88$20.0021.5%6.2%14.6%7.4%0.0%-1.2%-4.8%-17.2K266.8K-1.0K0.00120.43N/AN/A0056242
2011-11-04$23.84$25.0023.5%4.7%14.7%8.5%0.0%5.4%-3.4%-16.4K273.2K-1.0K0.00111.29N/AN/A0056242
2011-11-07$23.90$25.0018.1%3.2%13.2%5.4%0.0%6.0%-3.2%-16.1K264.6K-9680.0088.17N/AN/A01056242
2011-11-08$24.02$25.0024.3%4.6%13.2%9.0%0.0%8.1%-3.4%-12.1K196.8K-6790.00110.44N/AN/A0056252
2011-11-09$23.61$25.0028.3%4.8%14.8%11.3%11.5%-5.1%-2.2%-14.9K309.1K-9750.00106.19N/AN/A0156252
2011-11-10$23.67$25.0068.5%19.6%14.7%34.7%0.0%-0.4%-34.0%-9.2K242.9K-1.2K0.00153.85N/AN/A0056252
2011-11-11$23.83$25.0018.3%5.2%14.8%5.5%0.0%0.9%-4.2%-17.6K267.2K-1.0K0.00105.20N/AN/A0356252
2011-11-14$23.67$25.0018.3%5.2%14.5%5.5%0.0%-1.2%-3.2%-16.7K276.8K-9850.00105.92N/AN/A0056255
2011-11-15$23.60$25.0018.3%5.2%13.9%5.5%0.0%-2.4%-3.0%-16.1K285.1K-9730.00107.07N/AN/A0056255
2011-11-16$23.47$25.0018.5%5.3%14.0%5.6%0.0%-4.5%-3.7%-14.8K298.3K-9350.00107.57N/AN/A0056255
2011-11-17$23.30$25.0018.3%5.3%14.3%5.5%0.0%-4.1%-3.1%-13.2K314.9K-9270.00109.70N/AN/A0056255
2011-11-18$23.28$25.0018.7%5.4%13.6%5.7%0.0%-4.4%-3.5%-13.0K316.6K-9020.00110.01N/AN/A0056255
2011-11-21$23.01$25.00104.1%29.8%13.9%55.5%0.0%-18.8%-90.4%-8.3K258.0K-1.1K0.00159.80N/AN/A0054252
2011-11-22$23.12$25.0012.4%3.6%13.6%2.0%0.0%-3.6%-5.0%-9.6K352.9K-7200.0049.25N/AN/A0054252
2011-11-23$22.80$25.0014.0%4.0%13.7%3.0%0.0%0.2%-0.6%-6.2K379.5K-6690.0044.92N/AN/A0054252
2011-11-25$22.90$25.00113.5%32.5%12.1%61.0%0.0%-50.7%-40.7%-8.0K256.6K-1.1K0.00159.96N/AN/A0054252
2011-11-28$23.02$25.0012.3%3.5%12.3%2.0%0.0%-6.4%-7.0%-8.9K366.5K-6640.0020.73N/AN/A0054252
2011-11-29$23.09$25.0013.1%3.8%12.0%2.5%0.0%-0.3%-1.6%-8.1K347.8K-6340.0033.28N/AN/A0054252
2011-11-30$23.50$25.0015.7%4.5%13.2%4.0%0.0%4.2%-0.5%-14.6K304.5K-6740.0013.62N/AN/A1054252