PCEF Options History — December 2011

In December 2011, PCEF traded between $22.88 and $23.75. ATM implied volatility averaged 34.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 21.9% (HV 20d: 13.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-12-02: Highest Volume — 44 contracts
  • 2011-12-20: Largest IV spike — 829.5% change
  • 2011-12-27: Highest IV Rank — 56.0%
  • 2011-12-27: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.43$22.88$23.75$23.51$23.51
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.9%10.0%104.9%17.0%11.6%
Expected Move9.3%2.9%30.1%4.9%3.3%
HV 20d13.1%12.1%14.1%13.1%12.4%
HV 60d15.0%13.5%15.4%15.2%13.5%
IV Rank15.2%0.6%56.0%4.7%1.6%
IV Percentile60.6%3.2%93.3%61.5%17.1%
Term Structure-7.7%-29.0%5.1%-3.3%0.2%
VWIV18.6%18.5%18.6%18.5%18.6%
Skew 25d16.1%-4.6%88.5%4.1%-1.1%
Skew 10d31.6%-1.8%155.5%5.8%3.4%
Call IV 25d20.7%9.9%56.9%14.6%15.7%
Put IV 25d36.8%9.5%140.9%18.7%14.5%
Bid-Ask Spread %75.7615.52168.2115.5296.44
Gamma HHI0.540.490.680.530.52
Net GEX-16.5K-23.7K-7.0K-14.8K-15.9K
Net DEX289.0K178.8K392.2K305.5K212.3K
Net VEX-576-726-256-657-520
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.76204420
Total OI216.238158307307161

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$23.51$25.0017.0%4.9%13.1%4.7%18.5%4.1%-3.3%-14.8K305.5K-6570.0015.52N/AN/A0255252
2011-12-02$23.56$25.0019.0%5.4%12.8%5.9%18.6%3.7%-5.3%-13.2K304.3K-7260.0015.64N/AN/A44055251
2011-12-05$23.65$0.0022.5%3.3%12.9%7.9%0.0%-1.0%-2.5%-22.4K374.5K-6380.0051.75N/AN/A0011251
2011-12-06$23.67$0.0023.4%3.4%12.9%8.5%0.0%-0.7%-2.4%-22.7K373.5K-6380.0052.61N/AN/A0011251
2011-12-07$23.75$0.0025.0%3.4%12.8%9.4%0.0%0.3%-2.5%-23.7K370.7K-6580.0052.29N/AN/A01011251
2011-12-08$23.45$0.0021.6%4.6%12.1%7.4%0.0%4.9%-1.3%-20.3K375.0K-5870.0029.54N/AN/A0011243
2011-12-09$23.67$0.0043.5%22.2%12.5%20.2%0.0%13.3%-26.5%-22.4K349.4K-6750.00165.30N/AN/A0211243
2011-12-12$23.38$0.0026.8%3.2%13.0%10.4%0.0%3.6%-1.9%-20.5K383.7K-5610.0054.28N/AN/A0011243
2011-12-13$23.42$0.0026.1%3.2%12.8%10.0%0.0%-1.2%-1.6%-17.3K386.2K-5190.0052.57N/AN/A0011243
2011-12-14$23.30$0.0024.4%3.8%12.9%9.0%0.0%-1.9%-5.1%-21.9K376.5K-5490.0053.35N/AN/A0011243
2011-12-15$23.05$0.0012.3%3.5%13.3%2.0%0.0%-3.0%-3.8%-17.6K392.2K-4720.0056.14N/AN/A0011243
2011-12-16$23.01$0.0012.8%3.7%13.1%2.3%0.0%-3.4%-5.0%-18.0K244.5K-4560.0056.76N/AN/A01611178
2011-12-19$22.88$0.0010.0%2.9%13.2%0.6%0.0%0.2%5.1%-15.7K241.0K-4670.0042.62N/AN/A002158
2011-12-20$23.28$0.0093.0%26.7%14.1%49.1%0.0%74.6%-21.7%-8.4K207.7K-6710.00168.21N/AN/A022158
2011-12-21$23.28$0.0012.4%3.5%14.0%2.0%0.0%-4.6%0.1%-15.8K224.5K-4840.0017.73N/AN/A002156
2011-12-22$23.56$0.0015.0%4.3%13.5%3.6%0.0%-3.5%-1.5%-17.3K190.6K-2560.0017.45N/AN/A002156
2011-12-23$23.63$0.0097.2%27.9%13.4%51.5%0.0%82.1%-23.7%-9.0K182.6K-6900.00166.29N/AN/A002156
2011-12-27$23.57$0.00104.9%30.1%13.4%56.0%0.0%88.5%-28.3%-7.2K178.8K-6910.00166.29N/AN/A002156
2011-12-28$23.38$0.00103.1%29.6%13.8%54.9%0.0%82.8%-29.0%-7.0K182.4K-6840.00163.84N/AN/A002156
2011-12-29$23.44$0.0012.0%3.4%12.3%1.8%0.0%-0.2%-1.7%-15.8K213.3K-4890.0096.37N/AN/A032156
2011-12-30$23.51$0.0011.6%3.3%12.4%1.6%0.0%-1.1%0.2%-15.9K212.3K-5200.0096.44N/AN/A002159