PCEF Options History — January 2012 In January 2012, PCEF traded between $23.74 and $24.76. ATM implied volatility averaged 17.8%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 8.0% (HV 20d: 9.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2012-01-18 : Highest Volume — 12 contracts2012-01-25 : Largest IV spike — 1171.3% change2012-01-25 : Highest IV Rank — 53.0%2012-01-25 : Largest Expected Move — 28.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.18 $23.74 $24.76 $23.74 $24.76 ATM IV 17.8% 7.3% 99.3% 13.1% 7.6% Expected Move 5.1% 2.1% 28.5% 3.7% 2.2% HV 20d 9.7% 6.3% 12.8% 12.8% 6.4% HV 60d 12.3% 11.0% 13.4% 13.4% 11.0% IV Rank 5.4% 0.0% 53.0% 2.4% 0.2% IV Percentile 26.9% 0.0% 91.7% 31.0% 0.8% Term Structure -10.8% -100.7% 0.6% -1.5% -0.7% Skew 25d 2.4% -3.7% 12.7% 1.4% -3.7% Skew 10d 5.6% -5.2% 102.7% 0.7% -5.2% Call IV 25d 18.6% 6.9% 136.9% 12.1% 17.6% Put IV 25d 21.0% 10.6% 140.8% 13.5% 13.9% Bid-Ask Spread % 39.94 15.21 167.54 15.33 55.31 Gamma HHI 0.72 0.49 1.00 0.51 1.00 Net GEX -13.0K -18.9K -8.1K -12.7K -18.8K Net DEX 167.7K 153.7K 180.0K 168.4K 160.0K Net VEX -310 -664 -221 -255 -306 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.6 0 12 0 0 Total OI 166.4 161 173 161 173
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-01-03 $23.74 $0.00 13.1% 3.7% 12.8% 2.4% 0.0% 1.4% -1.5% -12.7K 168.4K -255 0.00 15.33 N/A N/A 0 0 2 159 2012-01-04 $23.78 $0.00 15.9% 4.6% 12.8% 4.1% 0.0% 1.9% -2.8% -12.4K 166.1K -265 0.00 17.63 N/A N/A 0 0 2 159 2012-01-05 $23.81 $0.00 15.2% 4.4% 12.8% 3.7% 0.0% 1.6% -3.0% -11.7K 165.4K -258 0.00 15.21 N/A N/A 0 0 2 159 2012-01-06 $23.89 $0.00 51.3% 20.2% 12.8% 24.7% 0.0% 12.7% -74.2% -8.1K 175.4K -664 0.00 162.41 N/A N/A 0 0 2 159 2012-01-09 $23.96 $0.00 16.2% 3.2% 11.8% 4.3% 0.0% 2.2% -2.7% -10.7K 158.9K -256 0.00 52.09 N/A N/A 0 0 2 159 2012-01-10 $24.11 $0.00 16.4% 3.0% 11.6% 4.4% 0.0% 2.4% -2.5% -11.1K 153.7K -268 0.00 21.26 N/A N/A 0 0 2 159 2012-01-11 $23.98 $0.00 17.0% 3.2% 10.8% 4.7% 0.0% 1.3% -2.8% -10.3K 158.4K -249 0.00 22.05 N/A N/A 0 0 2 159 2012-01-12 $24.07 $0.00 10.9% 3.1% 10.8% 1.2% 0.0% 1.7% -2.4% -12.7K 164.2K -269 0.00 21.36 N/A N/A 0 0 2 159 2012-01-13 $23.88 $0.00 12.2% 3.5% 11.1% 1.9% 0.0% 1.4% -2.8% -12.4K 169.1K -242 0.00 50.98 N/A N/A 0 0 2 159 2012-01-17 $23.89 $0.00 10.9% 3.1% 10.1% 1.2% 0.0% -0.5% -3.2% -11.6K 168.1K -221 0.00 21.69 N/A N/A 0 0 2 159 2012-01-18 $24.04 $0.00 10.8% 3.1% 10.2% 1.1% 0.0% 1.0% -3.0% -11.0K 162.5K -231 0.00 23.80 N/A N/A 0 12 2 159 2012-01-19 $24.12 $0.00 10.3% 3.0% 9.7% 0.8% 0.0% 1.4% -2.9% -11.5K 177.7K -310 0.00 24.25 N/A N/A 0 0 2 171 2012-01-20 $24.25 $0.00 9.5% 2.7% 8.1% 0.4% 0.0% 2.4% -2.8% -12.8K 175.6K -321 0.00 22.69 N/A N/A 0 0 2 171 2012-01-23 $24.34 $0.00 8.1% 2.3% 8.1% 0.0% 0.0% 2.7% -1.6% -14.2K 177.0K -271 0.00 16.74 N/A N/A 0 0 2 171 2012-01-24 $24.36 $0.00 7.8% 2.2% 7.3% 0.0% 0.0% -1.8% -1.7% -14.0K 176.6K -267 0.00 17.12 N/A N/A 0 0 2 171 2012-01-25 $24.55 $0.00 99.3% 28.5% 7.6% 53.0% 0.0% 4.0% -100.7% -10.2K 180.0K -639 0.00 167.54 N/A N/A 0 0 2 171 2012-01-26 $24.63 $0.00 7.3% 2.1% 7.4% 0.0% 0.0% 4.2% -2.5% -17.4K 169.9K -304 0.00 20.95 N/A N/A 0 0 2 171 2012-01-27 $24.72 $0.00 7.3% 2.1% 6.3% 0.0% 0.0% 5.8% -2.4% -18.9K 165.1K -301 0.00 25.22 N/A N/A 0 0 2 171 2012-01-30 $24.73 $0.00 7.9% 2.3% 6.4% 0.3% 0.0% 6.3% 0.6% -18.3K 161.5K -308 0.00 25.22 N/A N/A 0 0 2 171 2012-01-31 $24.76 $0.00 7.6% 2.2% 6.4% 0.2% 0.0% -3.7% -0.7% -18.8K 160.0K -306 0.00 55.31 N/A N/A 0 0 2 171
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