PCEF Options History — February 2012 In February 2012, PCEF traded between $24.91 and $25.29. ATM implied volatility averaged 7.1%, placing in the 0.3% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.7% (HV 20d: 5.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-02-02 : Highest Volume — 20 contracts2012-02-21 : Largest IV spike — 22.1% change2012-02-21 : Highest IV Rank — 0.8%2012-02-10 : Largest Expected Move — 2.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.07 $24.91 $25.29 $24.92 $25.26 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 7.1% 5.7% 8.3% 7.2% 6.8% Expected Move 2.0% 1.6% 2.4% 2.1% 1.9% HV 20d 5.4% 4.6% 6.2% 6.0% 4.6% HV 60d 9.9% 8.5% 11.0% 11.0% 8.5% IV Rank 0.3% 0.0% 0.8% 0.0% 0.6% IV Percentile 1.6% 0.0% 5.2% 0.0% 2.0% Term Structure 1.0% -0.4% 2.5% 1.9% -0.2% VWIV 16.7% 6.2% 42.0% 6.2% 9.1% Skew 25d -1.7% -15.8% 24.1% 22.6% -12.5% Skew 10d -6.1% -20.5% 22.1% 21.2% -10.8% Call IV 25d 18.2% 10.6% 29.3% 11.6% 29.3% Put IV 25d 16.5% 10.2% 35.5% 34.2% 16.8% Bid-Ask Spread % 52.46 21.56 70.08 60.49 25.01 Gamma HHI 0.98 0.63 1.00 1.00 1.00 Net GEX -31.1K -46.9K -17.0K -24.9K -38.5K Net DEX 123.5K 73.7K 158.4K 136.6K 88.8K Net VEX -391 -503 -337 -344 -339 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.1 0 20 0 5 Total OI 202.15 173 209 173 208
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 2012-02-01 $24.92 $0.00 7.2% 2.1% 6.0% 0.0% 0.0% 22.6% 1.9% -24.9K 136.6K -344 0.00 60.49 N/A N/A 0 0 2 171 2012-02-02 $24.91 $0.00 7.4% 2.1% 6.1% 0.1% 0.0% 24.1% 0.7% -26.6K 144.7K -342 0.00 56.30 N/A N/A 20 0 2 171 2012-02-03 $24.93 $25.00 7.0% 1.8% 6.1% 0.0% 6.2% 4.7% 1.1% -17.7K 138.2K -376 0.00 53.49 N/A N/A 0 10 22 171 2012-02-06 $24.94 $25.00 7.2% 1.8% 6.1% 0.1% 0.0% 4.6% 1.0% -20.6K 153.8K -407 0.00 56.33 N/A N/A 0 0 22 181 2012-02-07 $25.05 $25.00 7.8% 1.7% 6.2% 0.4% 0.0% 2.6% 1.2% -23.2K 142.8K -422 0.00 56.71 N/A N/A 0 0 22 181 2012-02-08 $25.07 $25.00 8.2% 1.9% 6.0% 0.7% 0.0% 3.1% 0.2% -29.9K 145.8K -414 0.00 47.47 N/A N/A 0 0 22 181 2012-02-09 $25.15 $25.00 7.7% 2.2% 5.3% 0.4% 0.0% -2.6% -0.4% -27.5K 118.7K -431 0.00 51.77 N/A N/A 0 0 22 181 2012-02-10 $24.99 $25.00 8.3% 2.4% 6.2% 0.7% 0.0% -4.8% 0.6% -21.9K 124.5K -422 0.00 55.62 N/A N/A 0 0 22 181 2012-02-13 $25.05 $25.00 6.9% 2.0% 4.9% 0.0% 0.0% -6.6% -0.2% -31.8K 124.4K -409 0.00 56.31 N/A N/A 0 0 22 181 2012-02-14 $25.05 $25.00 7.8% 2.2% 5.0% 0.5% 9.7% -6.0% 2.4% -25.3K 121.7K -400 0.00 62.63 N/A N/A 0 6 22 181 2012-02-15 $24.92 $25.00 7.2% 2.1% 5.4% 0.2% 0.0% -2.6% 1.6% -31.9K 158.4K -391 0.00 55.43 N/A N/A 0 0 22 187 2012-02-16 $25.00 $25.00 6.4% 1.8% 5.4% 0.0% 0.0% -6.5% 1.4% -30.1K 138.8K -407 0.00 65.29 N/A N/A 0 0 22 187 2012-02-17 $25.05 $25.00 6.1% 1.8% 5.3% 0.0% 42.0% 6.0% 1.5% -17.0K 133.8K -503 0.00 70.08 N/A N/A 1 0 22 187 2012-02-21 $25.09 $25.00 7.5% 2.2% 5.2% 0.8% 0.0% -2.8% 0.5% -38.9K 123.5K -391 0.00 49.73 N/A N/A 0 0 21 187 2012-02-22 $25.10 $25.00 6.2% 1.8% 5.2% 0.0% 0.0% -5.4% 1.4% -44.3K 111.3K -385 0.00 54.32 N/A N/A 0 0 21 187 2012-02-23 $25.16 $25.00 6.8% 2.0% 4.7% 0.4% 0.0% -6.8% 0.8% -44.4K 104.5K -377 0.00 46.65 N/A N/A 0 0 21 187 2012-02-24 $25.23 $25.00 6.2% 1.8% 4.6% 0.0% 0.0% -15.0% 0.6% -39.9K 94.5K -374 0.00 52.11 N/A N/A 0 0 21 187 2012-02-27 $25.24 $25.00 7.1% 2.0% 4.6% 0.6% 0.0% -15.8% 0.5% -40.7K 92.3K -353 0.00 51.84 N/A N/A 0 0 21 187 2012-02-28 $25.29 $25.00 5.7% 1.6% 4.6% 0.0% 0.0% -14.8% 2.5% -46.9K 73.7K -337 0.00 21.56 N/A N/A 0 0 21 187 2012-02-29 $25.26 $25.00 6.8% 1.9% 4.6% 0.6% 9.1% -12.5% -0.2% -38.5K 88.8K -339 0.00 25.01 N/A N/A 5 0 21 187
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